EX-99.2 3 a2019q2nlyex992.htm EXHIBIT 99.2
Second Quarter 2019 Financial Summary July 31, 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 6/30/2019 3/31/2019 GAAP net income per average common share (1) ($1.24) ($0.63) Core earnings (excluding PAA) per average common share *(1) $0.25 $0.29 Core earnings per average common share *(1) $0.15 $0.23 Income Statement PAA cost (benefit) per average common share (2) $0.10 $0.06 Annualized GAAP return (loss) on average equity (45.13%) (22.72%) Annualized core return on average equity (excluding PAA)* 9.94% 11.59% Book value per common share $9.33 $9.67 Leverage at period-end (3) 7.2x 6.1x Balance Sheet Economic leverage at period-end (4) 7.6x 7.0x Capital ratio at period-end (5) 11.4% 12.0% Securities $119,926,869 $104,993,271 Loans, net 3,546,468 3,879,324 Mortgage servicing rights 425,328 500,745 Portfolio Assets transferred or pledged to securitization vehicles 4,211,582 4,365,300 Real estate, net 733,196 734,239 Total residential and commercial investments $128,843,443 $114,472,879 Net interest margin (6) 0.87% 1.25% Net interest margin (excluding PAA) *(6) 1.28% 1.51% Average yield on interest earning assets (7) 3.03% 3.15% Key Statistics Average yield on interest earning assets (excluding PAA) *(7) 3.48% 3.45% Average cost of interest bearing liabilities (8) 2.41% 2.15% Net interest spread 0.62% 1.00% Net interest spread (excluding PAA) * 1.07% 1.30% Operating expenses to core earnings (excluding PAA) *(9) 19.27% 17.03% Efficiency Annualized operating expenses as a % of average total assets (9) 0.24% 0.26% Annualized operating expenses as a % of average total equity (9) 1.91% 1.97% * 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 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Agency mortgage-backed securities $118,202,040 $103,093,526 $90,752,995 $89,290,128 $86,593,058 Credit risk transfer securities 491,969 607,945 552,097 688,521 563,796 Non-agency mortgage-backed securities 1,097,752 1,116,569 1,161,938 1,173,467 1,006,785 Commercial mortgage-backed securities 135,108 175,231 156,758 186,495 315,050 Total securities $119,926,869 $104,993,271 $92,623,788 $91,338,611 $88,478,689 Residential mortgage loans $1,061,124 $1,311,720 $1,359,806 $1,217,139 $1,142,300 Commercial real estate debt and preferred equity 623,705 722,962 1,296,803 1,435,865 1,251,138 Corporate debt 1,792,837 1,758,082 1,887,182 1,528,874 1,256,276 Loans held for sale 68,802 86,560 42,184 42,325 42,458 Portfolio-Related Total loans, net $3,546,468 $3,879,324 $4,585,975 $4,224,203 $3,692,172 Data Mortgage servicing rights $425,328 $500,745 $557,813 $588,833 $599,014 Residential mortgage loans transferred or pledged to securitization vehicles $2,106,981 $1,425,668 $1,094,831 $765,876 $523,857 Commercial real estate debt transferred or pledged to securitization vehicles 2,104,601 2,939,632 2,738,369 3,521,945 2,542,413 Assets transferred or pledged to securitization vehicles $4,211,582 $4,365,300 $3,833,200 $4,287,821 $3,066,270 Real estate, net $733,196 $734,239 $739,473 $753,014 $477,887 Total residential and commercial investments $128,843,443 $114,472,879 $102,340,249 $101,192,482 $96,314,032 Total assets $131,800,776 $119,172,549 $105,787,527 $105,961,803 $98,832,997 Average TBA contract and CMBX balances $12,757,975 $14,927,490 $14,788,453 $12,216,863 $9,407,819 Residential Securities: % Fixed-rate 96% 94% 93% 92% 91% % Adjustable-rate 4% 6% 7% 8% 9% Summary Portfolio Weighted average experienced CPR for the period 11.2% 7.3% 7.9% 10.3% 10.1% Statistics Weighted average projected long-term CPR at period-end 14.5% 11.6% 10.1% 9.1% 9.1% Net premium and discount balance in Residential Securities $5,625,788 $5,217,013 $5,118,478 $5,769,426 $5,896,755 Net premium and discount balance as % of stockholders' equity 35.83% 33.07% 36.27% 38.59% 42.83% 3

Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Repurchase agreements $105,181,241 $88,554,170 $81,115,874 $79,073,026 $75,760,655 Other secured financing 4,127,989 4,144,623 4,183,311 4,108,547 3,760,487 Debt issued by securitization vehicles 3,470,168 3,693,766 3,347,062 3,799,542 2,728,692 Mortgages payable 498,772 510,386 511,056 511,588 309,878 Total debt $113,278,170 $96,902,945 $89,157,303 $87,492,703 $82,559,712 Financing Data Total liabilities $116,093,369 $103,391,105 $91,669,726 $91,005,947 $85,059,141 Cumulative redeemable preferred stock $2,110,346 $1,778,168 $1,778,168 $1,778,168 $1,723,168 Common equity(1) 13,592,335 13,998,049 12,333,944 13,171,826 12,045,422 Total Annaly stockholders' equity 15,702,681 15,776,217 14,112,112 14,949,994 13,768,590 Non-controlling interests 4,726 5,227 5,689 5,862 5,266 Total equity $15,707,407 $15,781,444 $14,117,801 $14,955,856 $13,773,856 Weighted average days to maturity of repurchase agreements 70 72 77 55 71 Weighted average rate on repurchase agreements, for the quarter(2)(3) 2.66% 2.64% 2.43% 2.25% 1.99% Weighted average rate on repurchase agreements, at period-end(3) 2.69% 2.85% 2.96% 2.32% 2.17% Leverage at period-end 7.2x 6.1x 6.3x 5.9x 6.0x Economic leverage at period-end 7.6x 7.0x 7.0x 6.7x 6.4x Key Capital and Capital ratio at period-end 11.4% 12.0% 12.1% 12.6% 13.2% Hedging Metrics Book value per common share $9.33 $9.67 $9.39 $10.03 $10.35 Total common shares outstanding 1,456,263 1,448,103 1,313,763 1,303,080 1,164,334 Hedge ratio(4) 74% 85% 94% 96% 95% Weighted average pay rate on interest rate swaps, at period-end 2.12% 2.20% 2.17% 2.10% 2.08% Weighted average receive rate on interest rate swaps, at period-end 2.46% 2.66% 2.68% 2.33% 2.31% Weighted average net rate on interest rate swaps, at period-end (0.34%) (0.46%) (0.51%) (0.23%) (0.23%) 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 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Total interest income $927,598 $866,186 $859,674 $816,596 $776,806 Total interest expense 750,217 647,695 586,774 500,973 442,692 Net interest income $177,381 $218,491 $272,900 $315,623 $334,114 Total economic interest expense *(1) $666,564 $513,660 $520,885 $449,624 $411,217 Economic net interest income * $261,034 $352,526 $338,789 $366,972 $365,589 Total interest income (excluding PAA) * $1,067,361 $948,057 $905,146 $819,982 $784,322 Economic net interest income (excluding PAA) * $400,797 $434,397 $384,261 $370,358 $373,105 GAAP net income (loss) ($1,776,413) ($849,251) ($2,254,872) $385,429 $595,887 (2) Summary Income GAAP net income (loss) available (related) to common stockholders ($1,808,752) ($881,644) ($2,287,383) $353,903 $564,542 Statement GAAP net income (loss) per average common share (2) ($1.24) ($0.63) ($1.74) $0.29 $0.49 Core earnings (excluding PAA) * $391,153 $433,155 $417,169 $389,666 $382,813 Core earnings (excluding PAA) available to common stockholders *(2) $358,731 $400,661 $384,675 $357,991 $351,436 Core earnings (excluding PAA) per average common share *(2) $0.25 $0.29 $0.29 $0.30 $0.30 Core earnings * $251,390 $351,284 $371,697 $386,280 $375,297 Core earnings available to common stockholders *(2) $218,968 $318,790 $339,203 $354,605 $343,920 Core earnings per average common share *(2) $0.15 $0.23 $0.26 $0.29 $0.30 PAA cost (benefit) $139,763 $81,871 $45,472 $3,386 $7,516 PAA cost (benefit) per average common share (3) $0.10 $0.06 $0.03 $0.01 $— * 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 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Dividends declared per common share $0.25 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared $396,388 $467,121 $426,816 $397,163 $380,677 Annualized GAAP return (loss) on average equity (45.13%) (22.72%) (62.05%) 10.73% 17.20% Annualized GAAP return (loss) on average equity per unit of economic leverage (5.94%) (3.25%) (8.86%) 1.60% 2.69% Annualized core return on average equity (excluding PAA) * 9.94% 11.59% 11.48% 10.85% 11.05% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.31% 1.66% 1.64% 1.62% 1.73% Key Earnings Metrics Net interest margin 0.87% 1.25% 1.34% 1.49% 1.53% Net interest margin (excluding PAA) * 1.28% 1.51% 1.49% 1.50% 1.56% Average yield on interest earning assets 3.03% 3.15% 3.21% 3.21% 3.04% Average yield on interest earning assets (excluding PAA) * 3.48% 3.45% 3.38% 3.22% 3.07% Average cost of interest bearing liabilities 2.41% 2.15% 2.22% 2.08% 1.89% Net interest spread 0.62% 1.00% 0.99% 1.13% 1.15% Net interest spread (excluding PAA) * 1.07% 1.30% 1.16% 1.14% 1.18% * Represents a non-GAAP financial measure. 6

Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Interest income: Residential Securities $777,891 $709,774 $708,146 $680,037 $662,750 Residential mortgage loans 35,025 29,991 27,703 21,184 18,868 Commercial investment portfolio 92,131 100,952 107,650 97,531 79,343 U.S. Treasury securities — — — 160 — Reverse repurchase agreements 22,551 25,469 16,175 17,684 15,845 Total interest income $927,598 $866,186 $859,674 $816,596 $776,806 Economic Net Economic interest expense: Interest Income Repurchase agreements $683,647 $579,514 $521,546 $445,535 $400,475 Net interest component of interest rate swaps (83,653) (134,035) (65,889) (51,349) (31,475) Debt issued by securitization vehicles 34,151 34,207 34,769 29,391 18,201 Other 32,419 33,974 30,459 26,047 24,016 Total economic interest expense * $666,564 $513,660 $520,885 $449,624 $411,217 Economic net interest income * $261,034 $352,526 $338,789 $366,972 $365,589 PAA cost (benefit) 139,763 81,871 45,472 3,386 7,516 Economic net interest income (excluding PAA) * $400,797 $434,397 $384,261 $370,358 $373,105 * Represents a non-GAAP financial measure. 7

GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 GAAP net income (loss) ($1,776,413) ($849,251) ($2,254,872) $385,429 $595,887 Net income (loss) attributable to noncontrolling interests (83) (101) 17 (149) (32) Net income (loss) attributable to Annaly ($1,776,330) ($849,150) ($2,254,889) $385,578 $595,919 Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps 167,491 588,256 — (575) — Unrealized (gains) losses on interest rate swaps 1,276,019 390,556 1,313,882 (417,203) (343,475) Net (gains) losses on disposal of investments 38,333 93,916 747,505 324,294 66,117 Net (gains) losses on other derivatives 506,411 115,159 484,872 (94,827) (34,189) Net unrealized (gains) losses on instruments measured at fair value through earnings 4,881 (47,629) 18,169 39,944 48,376 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) 10,147 10,114 11,000 9,278 — Non-core (income) loss allocated to equity method investments (2) 11,327 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) 3,046 9,982 3,816 60,081 — Income tax effect of non-core income (loss) items (3,507) 726 3,334 886 — Adjustments to add back components of realized and unrealized (gains) losses: TBA dollar roll income and CMBX coupon income (5) 33,229 38,134 69,572 56,570 62,491 MSR amortization (6) (19,657) (13,979) (18,753) (19,913) (19,942) Core earnings * 251,390 351,284 371,697 386,280 375,297 Less: Premium amortization adjustment cost (benefit) 139,763 81,871 45,472 3,386 7,516 Core earnings (excluding PAA) * $391,153 $433,155 $417,169 $389,666 $382,813 Dividends on preferred stock (7) 32,422 32,494 32,494 31,675 31,377 Core earnings attributable to common stockholders * $218,968 $318,790 $339,203 $354,605 $343,920 Core earnings attributable to common stockholders (excluding PAA) * $358,731 $400,661 $384,675 $357,991 $351,436 * 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 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Book value per common share, beginning of period $9.67 $9.39 $10.03 $10.35 $10.53 Net income (loss) available (related) to common stockholders (1.24) (0.63) (1.74) 0.29 0.49 Book Value Other comprehensive income (loss) attributable to common stockholders 1.15 1.19 1.40 (0.32) (0.37) Rollforward Common dividends declared (0.25) (0.30) (0.30) (0.30) (0.30) Issuance of common stock / redemption of preferred stock 0.00 0.02 0.00 0.01 0.00 Book value per common share, end of period $9.33 $9.67 $9.39 $10.03 $10.35 Prior quarter net interest margin 1.25% 1.34% 1.49% 1.53% 1.94% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and 0.12% 0.04% 0.02% 0.03% 0.08% CMBX balances) Net Interest Margin Net amortization of premiums (0.16%) (0.08%) (0.07%) 0.06% (0.38%) TBA dollar roll income and CMBX coupon income (0.02%) (0.11%) 0.03% (0.03%) (0.09%) Interest expense and net interest component of interest rate swaps (0.32%) 0.06% (0.13%) (0.10%) (0.02%) Current quarter net interest margin 0.87% 1.25% 1.34% 1.49% 1.53% Prior quarter net interest margin (excluding PAA) * 1.51% 1.49% 1.50% 1.56% 1.52% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and CMBX balances) 0.12% 0.04% 0.02% 0.03% 0.08% Net Interest Margin (excluding PAA)* Net amortization of premiums, excluding PAA (0.01%) 0.03% 0.07% 0.04% 0.07% TBA dollar roll income and CMBX coupon income (0.02%) (0.11%) 0.03% (0.03%) (0.09%) Interest expense and net interest component of interest rate swaps (0.32%) 0.06% (0.13%) (0.10%) (0.02%) Current quarter net interest margin (excluding PAA) * 1.28% 1.51% 1.49% 1.50% 1.56% * Represents a non-GAAP financial measure. 9

Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Prior quarter net interest spread 1.00% 0.99% 1.13% 1.15% 1.55% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.03% 0.03% 0.08% 0.13% 0.00% Net Interest Spread Net amortization of premiums (0.15%) (0.09%) (0.08%) 0.04% (0.41%) Average cost of interest bearing liabilities (0.26%) 0.07% (0.14%) (0.19%) 0.01% Current quarter net interest spread 0.62% 1.00% 0.99% 1.13% 1.15% Prior quarter net interest spread (excluding PAA) * 1.30% 1.16% 1.14% 1.18% 1.09% Quarter-over-quarter changes in contribution: Net Interest Spread Coupon on average interest earning assets 0.03% 0.03% 0.08% 0.12% 0.00% * (excluding PAA) Net amortization of premiums, excluding PAA 0.00% 0.04% 0.08% 0.03% 0.08% Average cost of interest bearing liabilities (0.26%) 0.07% (0.14%) (0.19%) 0.01% Current quarter net interest spread (excluding PAA) * 1.07% 1.30% 1.16% 1.14% 1.18% * Represents a non-GAAP financial measure. 10

Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Prior quarter annualized GAAP return (loss) on average equity (22.72%) (62.05%) 10.73% 17.20% 36.86% Quarter-over-quarter changes in contribution: Coupon income 2.00% 0.16% 1.78% (0.21%) 1.10% Net amortization of premiums and accretion of discounts (1.61%) (0.64%) (0.86%) 0.53% (3.10%) Interest expense and net interest component of interest rate swaps (3.19%) 0.59% (1.81%) (0.65%) (0.33%) Annualized GAAP Return (Loss) on Realized (gains) losses on termination or maturity of interest rate swaps 11.48% (15.74%) (0.02%) 0.02% (0.02%) Average Equity Unrealized (gains) losses on interest rate swaps (21.97%) 25.70% (47.77%) 1.70% (17.22%) Realized and unrealized (gains) losses on investments and other derivatives (9.64%) 30.10% (27.00%) (5.18%) 0.05% Loan loss provision 0.15% (0.06%) (0.10%) 0.00% 0.00% Other(1) 0.37% (0.78%) 3.00% (2.68%) (0.14%) Current quarter annualized GAAP return (loss) on average equity (45.13%) (22.72%) (62.05%) 10.73% 17.20% Prior quarter annualized core return on average equity (excluding PAA) * 11.59% 11.48% 10.85% 11.05% 10.70% Quarter-over-quarter changes in contribution: Coupon income 2.00% 0.16% 1.78% (0.21%) 1.10% Annualized Core Return on Average Net amortization of premiums (excluding PAA) (0.25%) 0.30% 0.29% 0.41% 0.41% Equity (excluding Interest expense and net interest component of interest rate swaps (3.19%) 0.59% (1.81%) (0.65%) (0.33%) PAA)* TBA dollar roll income and CMBX coupon income (0.18%) (0.89%) 0.34% (0.23%) (0.65%) Other(2) (0.03%) (0.05%) 0.03% 0.48% (0.18%) Current quarter core return on annualized average equity (excluding PAA) * 9.94% 11.59% 11.48% 10.85% 11.05% * 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 June 30, 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) $4,350,703 4.0% 3.44% 101.8% 105.8% 12.0% $4,602,979 20 years 2,833,445 2.6% 3.53% 104.0% 104.0% 10.0% 2,945,977 >=30 years (2) 100,848,352 93.4% 4.02% 104.3% 105.5% 10.1% 106,421,267 Total/Weighted Avg. $108,032,500 100.0% 3.98% 104.2% 105.5% 10.1% $113,970,223 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $852,000 9.0% 3.15% $869,687 $871,805 30-year 8,617,000 91.0% 3.46% 8,760,226 8,791,565 Total/Weighted Avg. $9,469,000 100.0% 3.43% $9,629,913 $9,663,370 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 $3,083,773 93.6% 3.80% 105.4% 103.4% 44.6% $3,188,309 25 - 40 months 23,200 0.7% 3.42% 103.7% 103.0% 16.3% 23,901 41 - 60 months 63,709 1.9% 2.53% 99.3% 101.1% 14.1% 64,401 61 - 90 months 124,369 3.8% 2.97% 102.0% 102.5% 15.6% 127,457 Total/Weighted Avg. $3,295,051 100.0% 3.74% 105.1% 103.3% 44.4% $3,404,068 Detailed endnotes are included within the Appendix at the end of this presentation. 12

Residential Investments & TBA Derivative Overview as of June 30, 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 $1,932,989 37.3% 3.34% 14.3% 11.4% 8.3% $219,939 Inverse Interest-only 3,242,623 62.7% 3.70% 22.8% 18.7% 11.5% 607,810 Total/Weighted Avg. $5,175,612 100.0% 3.57% 19.6% 16.0% 10.5% $827,749 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $40,417,196 3.82% 0.24% 39 $425,328 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 $481,758 10.3% 5.99% 100.5% 102.1% $491,969 Alt-A 204,398 4.0% 4.85% 85.5% 93.7% 191,488 Prime 257,216 5.5% 4.76% 93.0% 99.7% 256,480 Prime Interest-only 188,979 —% 0.59% 1.3% 1.2% 2,245 Subprime 439,485 8.9% 3.46% 87.1% 96.6% 424,470 NPL/RPL 8,431 0.2% 4.39% 99.8% 100.1% 8,436 Prime Jumbo 204,020 4.3% 3.97% 98.4% 100.9% 205,774 Prime Jumbo Interest-only 611,050 0.2% 0.38% 1.6% 1.4% 8,859 Residential Mortgage Loans 3,076,415 66.6% 5.07% 101.5% 103.0% 3,168,105 Total/Weighted Avg. $5,471,752 100.0% 4.94% $4,757,826 Detailed endnotes are included within the Appendix at the end of this presentation. 13

(1) Residential Credit Investments Detail as of June 30, 2019 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit Product Fair Value Senior Subordinate Coupon Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $464,846 $— $464,846 5.91% 1.12% 0.35% 9.75% Private Label Credit Risk Transfer 27,123 — 27,123 7.60% 0.29% 0.24% 8.91% Alt-A 191,488 104,950 86,538 4.85% 10.88% 7.46% 12.65% Prime 256,480 81,040 175,440 4.76% 6.93% 4.62% 15.96% Prime Interest-only 2,245 2,245 — 0.59% —% 0.25% 22.49% Subprime 424,470 182,628 241,842 3.46% 13.67% 17.38% 6.07% Re-Performing Loan Securitizations 5,000 5,000 — 3.97% 38.54% —% —% Non-Performing Loan Securitizations 3,436 — 3,436 5.00% 65.01% 41.79% 2.27% Prime Jumbo 205,774 170,174 35,600 3.97% 15.18% 0.15% 17.71% Prime Jumbo Interest-only 8,859 8,859 — 0.38% —% 0.26% 7.22% Total $1,589,721 $554,896 $1,034,825 4.94% 8.89% 6.89% 16.37% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $464,846 $— $— $464,846 $— Private Label Credit Risk Transfer 27,123 — — 27,123 — Alt-A 191,488 54,923 113,244 23,321 — Prime 256,480 105,020 151,460 — — Prime Interest-only 2,245 — — — 2,245 Subprime 424,470 32,459 66,589 325,422 — Re-Performing Loan Securitizations 5,000 — 5,000 — — Non-Performing Loan Securitizations 3,436 — 3,436 — — Prime Jumbo 205,774 — 205,774 — — Prime Jumbo Interest-only 8,859 — — — 8,859 Total $1,589,721 $192,402 $545,503 $840,712 $11,104 Detailed endnotes are included within the Appendix at the end of this presentation. 14

Commercial Real Estate Overview as of June 30, 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 $350,398 9.6% 67.8% 2.9 $142,265 10.9% Mezzanine Loans 15 273,307 7.5% 75.0% 2.7 220,265 9.7% Held for Sale 1 41,896 1.2% 30.5% 3.9 20,935 9.5% Total Loans 31 665,601 18.3% 68.4% 2.9 383,465 10.2% Securities CMBS (AAA) 2 57,622 1.6% 25.2% 0.7 7,165 11.7% CMBS (Credit) 2 41,968 1.1% 56.6% 7.6 18,827 18.0% CMBS (Conduit) 4 35,518 1.0% 35.0% 4.7 35,518 4.5% Total Securities 8 135,108 3.7% 37.5% 3.9 61,510 9.5% Assets transferred or pledged to securitization vehicles NLY 2019-FL2 21 789,900 21.7% 67.8% 3.8 187,902 13.3% Commercial Trusts 27 1,314,701 36.1% 64.5% 2.0 32,924 31.9% Total Assets transferred or pledged to securitization vehicles 48 2,104,601 57.8% 65.7% 2.7 220,826 16.1% Total Debt Investments 87 2,905,310 79.8% 65.0% 2.8 665,801 12.1% Equity Investments Real Estate Held for Investment 47 642,962 17.7% 237,920 13.4% Investment in Unconsolidated Joint Ventures (5) 31 90,234 2.5% 130,492 5.4% Total Equity Investments 78 733,196 20.2% 368,412 10.6% Total Investment Portfolio 165 $3,638,506 100.0% $1,034,213 11.5% Range of Implied Net Weighted Derivatives Net Notional Ratings Market Value Average Coupon CMBX (6) $306,000 AAA to BBB- $310,615 1.2% Detailed endnotes are included within the Appendix at the end of this presentation. 15

Middle Market Lending Overview as of June 30, 2019 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Aircraft and Parts $— $41,195 $41,195 $0 - $20 million $302,123 16.6% Coating, Engraving and Allied Services — 51,625 51,625 $20 - $40 million 273,297 15.0% Computer Programming, Data Processing & Other Computer Related Services — 331,192 331,192 $40 - $60 million 517,864 28.5% Drugs — 35,909 35,909 Greater than $60 million 726,459 39.9% Electric Work — 42,026 42,026 Total (1) $1,819,743 100.0% Electronic Components & Accessories — 24,000 24,000 Engineering, Architectural, and Surveying — 92,486 92,486 Grocery Stores — 23,338 23,338 Tenor Dispersion Insurance Agents, Brokers and Services — 48,361 48,361 Remaining Term Amount Percentage Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,779 14,779 One year or less $6,830 0.4% Management and Public Relations Services — 330,459 330,459 One to three years 89,242 4.9% Medical and Dental Laboratories — 38,620 38,620 Three to five years 580,122 31.9% Metal Cans & Shipping Containers — 118,368 118,368 Greater than five years 1,143,549 62.8% (1) Miscellaneous Business Services — 19,552 19,552 Total $1,819,743 100.0% Miscellaneous Equipment Rental and Leasing — 49,689 49,689 Miscellaneous Health and Allied Services, not elsewhere classified — 75,910 75,910 Lien Position Amount Percentage Miscellaneous Plastic Products — 10,000 10,000 First lien loans $1,196,198 65.7% Motor Vehicles and Motor Vehicle Parts and Supplies — 28,996 28,996 Second lien loans 623,545 34.3% Nonferrous Foundries (Castings) — 12,914 12,914 Total (1) $1,819,743 100.0% Offices and Clinics of Doctors of Medicine — 102,719 102,719 Offices and Clinics of Other Health Practitioners — 20,992 20,992 Public Warehousing and Storage — 82,912 82,912 Research, Development and Testing Services — 45,610 45,610 Schools and Educational Services, not elsewhere classified — 19,678 19,678 Surgical, Medical, and Dental Instruments and Supplies — 97,113 97,113 Telephone Communications — 61,300 61,300 Total (1) $— $1,819,743 $1,819,743 Detailed endnotes are included within the Appendix at the end of this presentation. 16

Hedging and Liabilities as of June 30, 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 $34,092,400 1.82% 2.44% 1.37 Long $3,200,000 2.87% 3M LIBOR 10.54 8.73 >3 to 6 years 12,300,800 2.00% 2.47% 4.45 > 6 to 10 years 17,122,500 2.52% 2.51% 8.79 Greater than 10 years 3,578,000 3.59% 2.44% 17.56 Total / Weighted Avg. $67,093,700 2.12% 2.46% 4.63 Repurchase Agreements & Other Secured Financing Futures Positions Weighted Avg. Principal Rate Notional Notional Weighted Avg. Maturity Balance At Period End Long Short Years to Type Positions Positions Maturity(2) Within 30 days $35,112,137 2.79% 2 year swap equivalent Eurodollar Contracts $— $— 2.00 30 to 59 days 6,778,783 2.62% U.S. Treasury Futures - 2 year — (2,872,400) 1.94 60 to 89 days 26,845,611 2.63% U.S. Treasury Futures - 5 year — (7,716,500) 4.39 90 to 119 days 13,002,459 2.64% (3) U.S. Treasury Futures - 10 year & Greater 900,000 (8,430,900) 7.75 Over 120 days 27,570,240 2.69% Total $900,000 ($19,019,800) 5.61 Total / Weighted Avg. $109,309,230 2.70% Weighted Average Rate Principal Balance At Period End(4) For the Quarter(4) Days to Maturity(5) Repurchase agreements $105,181,241 2.69% 2.65% 70 Other secured financing 4,127,989 3.03% 3.10% 628 Debt issued by securitization vehicles 3,514,572 3.89% 3.85% 6,998 Mortgages payable 504,361 4.12% 4.19% 4,649 Total indebtedness $113,328,163 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 June 30, 2019 and March 31, 2019 ▪ 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 June 30, 2019 As of March 31, 2019 Estimated Percentage Change in Estimated Change as a % of Estimated Percentage Change in Estimated Change as a % of Interest Rate Change (bps) Portfolio Value(2) NAV(2)(3) Portfolio Value(2) NAV(2)(3) (75) (0.2%) (2.0%) (0.1%) (0.9%) (50) (0.1%) (0.9%) —% —% (25) —% (0.2%) 0.1% 0.5% 25 (0.1%) (0.6%) (0.2%) (1.3%) 50 (0.3%) (2.4%) (0.5%) (3.6%) 75 (0.6%) (5.3%) (0.9%) (6.8%) MBS Spread Sensitivity (1) As of June 30, 2019 As of March 31, 2019 Estimated Change in Portfolio Estimated Change as a % of Estimated Change in Portfolio Estimated Change as a % of MBS Spread Shock (bps) Market Value (2) NAV(2)(3) Market Value (2) NAV(2)(3) (25) 1.2% 10.7% 1.4% 10.8% (15) 0.7% 6.4% 0.8% 6.5% (5) 0.2% 2.1% 0.3% 2.2% 5 (0.2%) (2.1%) (0.3%) (2.0%) 15 (0.7%) (6.3%) (0.8%) (6.2%) 25 (1.2%) (10.4%) (1.3%) (10.3%) 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 June 30, 2019, March 31, 2019, December 31, 2018, September 30, 2018 and June 30, 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, 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Premium Amortization Reconciliation Premium amortization expense $318,587 $247,446 $220,131 $187,537 $202,426 Less: PAA cost (benefit) 139,763 81,871 45,472 3,386 7,516 Premium amortization expense (excluding PAA) $178,824 $165,575 $174,659 $184,151 $194,910 Interest Income (excluding PAA) Reconciliation GAAP interest income $927,598 $866,186 $859,674 $816,596 $776,806 PAA cost (benefit) 139,763 81,871 45,472 3,386 7,516 Interest Income (excluding PAA) * $1,067,361 $948,057 $905,146 $819,982 $784,322 Economic Interest Expense Reconciliation GAAP interest expense $750,217 $647,695 $586,774 $500,973 $442,692 Add: Net interest component of interest rate swaps (83,653) (134,035) (65,889) (51,349) (31,475) Economic interest expense * $666,564 $513,660 $520,885 $449,624 $411,217 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $1,067,361 $948,057 $905,146 $819,982 $784,322 Less: Economic interest expense * 666,564 513,660 520,885 449,624 411,217 Economic net interest income (excluding PAA) * $400,797 $434,397 $384,261 $370,358 $373,105 * Represents a non-GAAP financial measure. 21

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 6/30/2019 3/31/2019 12/31/2018 9/30/2018 6/30/2018 Economic Metrics (excluding PAA) Average interest earning assets $122,601,881 $109,946,527 $107,232,861 $101,704,957 $102,193,435 Interest income (excluding PAA) * $1,067,361 $948,057 $905,146 $819,982 $784,322 Average yield on interest earning assets (excluding PAA) * 3.48% 3.45% 3.38% 3.22% 3.07% Average interest bearing liabilities $109,628,007 $95,529,819 $91,746,160 $86,638,082 $87,103,807 Economic interest expense * 666,564 513,660 520,885 449,624 411,217 Average cost of interest bearing liabilities 2.41% 2.15% 2.22% 2.08% 1.89% Economic net interest income (excluding PAA)* $400,797 $434,397 $384,261 $370,358 $373,105 Net interest spread (excluding PAA) * 1.07% 1.30% 1.16% 1.14% 1.18% Interest income (excluding PAA) * $1,067,361 $948,057 $905,146 $819,982 $784,322 TBA dollar roll income and CMBX coupon income (1) 33,229 38,134 69,572 56,570 62,491 Interest expense (750,217) (647,695) (586,774) (500,973) (442,692) Net interest component of interest rate swaps 83,653 134,035 65,889 51,349 31,475 Subtotal $434,026 $472,531 $453,833 $426,928 $435,596 Average interest earning assets $122,601,881 $109,946,527 $107,232,861 $101,704,957 $102,193,435 Average TBA contract and CMBX balances (1) 12,757,975 14,927,490 14,788,453 12,216,863 9,407,819 Subtotal $135,359,856 $124,874,017 $122,021,314 $113,921,820 $111,601,254 Net interest margin (excluding PAA) * 1.28% 1.51% 1.49% 1.50% 1.56% * 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. The quarter ended June 30, 2019 includes cumulative and (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, (loss) and accumulated deficit. 2019. (2) The quarters ended June 30, 2019, March 31, 2019 and December 31, 2018 utilize an actual/360 (2) The Company separately calculates core earnings per average common share and core earnings factor, all other periods apply a 30/360 factor; applying an actual/360 factor results in an average (excluding PAA) per average common share, with the difference between these two per share repurchase agreement rate of 2.20% and 1.97% for the quarters ended September 30, 2018 and amounts attributed to the PAA cost (benefit) per average common share. As such, the reported value June 30, 2018, respectively. of the PAA cost (benefit) per average common share may not reflect the result of dividing the PAA (3) The average and period-end rates for the quarters ended June 30, 2019, March 31, 2019 and cost (benefit) by the weighted average number of common shares outstanding due to rounding. December 31, 2018 are net of reverse repurchase agreements. Without netting reverse repurchase (3) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages agreements, the average rate was 2.65%, 2.64% and 2.43% and the period-end rate was 2.69%, payable. Certain credit facilities (included within other secured financing), securitized debt and 2.86% and 2.97% for the quarters ended June 30, 2019, March 31, 2019 and December 31, 2018, mortgages payable are non-recourse to the Company. 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. The quarter ended June 30, 2019 includes cumulative and CMBX balances. Net interest margin (excluding PAA) excludes the premium amortization undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, 2019. of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s (3) The Company separately calculates core earnings per average common share and core earnings Agency mortgage-backed securities. (excluding PAA) per average common share, with the difference between these two per share (7) Represents annualized interest income divided by average interest earning assets. Interest earning amounts attributed to the PAA cost (benefit) per average common share. As such, the reported assets reflects the average amortized cost of our investments during the period. Annualized yield value of the PAA cost (benefit) per average common share may not reflect the result of dividing on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding the PAA cost (benefit) by the weighted average number of common shares outstanding due to PAA). rounding. (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 two securitizations of residential whole loans for the quarter ended June 30, 2019 and 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. 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 June 30, 2019 represents costs incurred in connection with two securitizations origination/purchase date or at the time of underwriting. of residential whole loans. The quarter ended March 31, 2019 represents costs incurred in connection (2) Maturity dates assume all of the borrowers' extension options are exercised for loan portfolio. with a securitization of commercial loans and a securitization of residential whole loans. The quarters (3) Economic Interest is a non-GAAP measure to include gross asset values less related financings. ended December 31, 2018 and September 30, 2018 represent costs incurred in connection with the Equity investments are adjusted to exclude depreciation and amortization and grosses up real estate MTGE transaction and costs incurred in connection with a securitization of residential whole loans. investments accounted for under equity method accounting. Economic interest for NLY 2019-FL2 The quarter ended March 31, 2018 represents costs incurred in connection with a securitization of excludes the unused proceeds collateral to be deployed throught the CLO during the six month, residential whole loans. post-close ramp-up period. (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) (4) Levered returns comprise a trailing twelve-month (“TTM”) distribution yield for JV investments on other derivatives. CMBX coupon income totaled $0.8 million, $1.1 million, $1.2 million and and core return for wholly owned triple net lease properties. $1.2 million for the quarters ended June 30, 2019, March 31, 2019, December 31, 2018 and (5) Includes investment in unconsolidated debt fund of $21.7 million, investments in Community September 30, 2018. There were no adjustments for CMBX coupon income prior to September 30, Investment Impact Funds of $30.3 million and a portfolio of real estate properties of $38.2 million. 2018. (6) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit CMBS (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization bonds with various ratings. Positive net notional indicates selling protection and being long the of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net exposure to the underlying CMBS. CMBX positions are accounted for as derivatives with changes unrealized gains (losses) on instruments measured at fair value. in fair value presented in Net gains (losses) on other derivatives. (7) The quarter ended June 30, 2019 includes cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. Page 16 Page 11 (1) Includes loan held for sale of $26.9 million. (1) Includes other income (loss), general and administrative expenses and income taxes. Page 17 (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) There were no forward-starting interest rate swaps at June 30, 2019. administrative expenses (excluding transaction related expenses) and income taxes (excluding non- (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts core income tax). cheapest to deliver. (3) Approximately 4% of the total repurchase agreements and other secured financing have a remaining Page 12 maturity over one year. (4) The weighted average rates on repurchase agreements are presented in the table on a gross basis; (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.4 billion. when netting for reverse repurchase agreements the weighted average rate is 2.69% at period end (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $10.5 million. and 2.66% for the quarter. (3) Weighted by current face value. (5) Determined based on estimated weighted average lives of the underlying debt instruments. (4) Weighted by current notional value. 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 June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018. The impact to net interest margin (excluding PAA) in prior periods was immaterial. 25