Third Quarter 2019 Financial Summary October 30, 2019

Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), a publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes and is being furnished in connection with Annaly’s Third Quarter 2019 quarterly report. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation of an offer to buy, any security or instrument. Annaly is not a registered investment adviser. Annaly is managed by Annaly Management Company LLC ("AMCO"), a registered investment adviser. This presentation is not a communication by AMCO and is not designed to maintain any existing AMCO client or investor or solicit new AMCO clients or investors. Forward-Looking Statements 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. Such statements include those relating to our future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. 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 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. The information contained herein is not intended to provide, and should not be relied upon for accounting, legal or tax advice or investment recommendations for Annaly or any of its affiliates. Regardless of source, information is believed to be reliable for purposes used herein, but Annaly makes no representation or warranty as to the accuracy or completeness thereof and does not take any responsibility for information obtained from sources outside of Annaly. Certain information contained in the presentation discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice. 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 9/30/2019 6/30/2019 GAAP net income per average common share (1) ($0.54) ($1.24) Core earnings (excluding PAA) per average common share *(1) $0.21 $0.25 Core earnings per average common share *(1) $0.13 $0.15 Income Statement PAA cost (benefit) per average common share (2) $0.08 $0.10 Annualized GAAP return (loss) on average equity (19.32%) (45.13%) Annualized core return on average equity (excluding PAA)* 8.85% 9.94% Book value per common share $9.21 $9.33 Leverage at period-end (3) 7.3x 7.2x Balance Sheet Economic leverage at period-end (4) 7.7x 7.6x Capital ratio at period-end (5) 11.2% 11.4% Securities $116,094,061 $119,926,869 Loans, net 3,946,614 3,546,468 Mortgage servicing rights 386,051 425,328 Portfolio Assets transferred or pledged to securitization vehicles 4,688,144 4,211,582 Real estate, net 725,508 733,196 Total residential and commercial investments $125,840,378 $128,843,443 Net interest margin (6) 0.75% 0.87% Net interest margin (excluding PAA) *(6) 1.10% 1.28% Average yield on interest earning assets (7) 2.89% 3.03% Key Statistics Average yield on interest earning assets (excluding PAA) *(7) 3.26% 3.48% Average cost of interest bearing liabilities (8) 2.28% 2.41% Net interest spread 0.61% 0.62% Net interest spread (excluding PAA) * 0.98% 1.07% Operating expenses to core earnings (excluding PAA) *(9) 18.58% 19.27% Efficiency Annualized operating expenses as a % of average total assets (9) 0.19% 0.24% Annualized operating expenses as a % of average total equity (9) 1.64% 1.91% * 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 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Agency mortgage-backed securities $114,462,524 $118,202,040 $103,093,526 $90,752,995 $89,290,128 Credit risk transfer securities 474,765 491,969 607,945 552,097 688,521 Non-agency mortgage-backed securities 1,015,921 1,097,752 1,116,569 1,161,938 1,173,467 Commercial mortgage-backed securities 140,851 135,108 175,231 156,758 186,495 Total securities $116,094,061 $119,926,869 $104,993,271 $92,623,788 $91,338,611 Residential mortgage loans $1,219,402 $1,061,124 $1,311,720 $1,359,806 $1,217,139 Commercial real estate debt and preferred equity 611,429 623,705 722,962 1,296,803 1,435,865 Corporate debt 2,115,783 1,792,837 1,758,082 1,887,182 1,528,874 Loans held for sale — 68,802 86,560 42,184 42,325 Portfolio-Related Total loans, net $3,946,614 $3,546,468 $3,879,324 $4,585,975 $4,224,203 Data Mortgage servicing rights $386,051 $425,328 $500,745 $557,813 $588,833 Residential mortgage loans transferred or pledged to securitization vehicles $2,376,731 $2,106,981 $1,425,668 $1,094,831 $765,876 Commercial real estate debt transferred or pledged to securitization vehicles 2,311,413 2,104,601 2,939,632 2,738,369 3,521,945 Assets transferred or pledged to securitization vehicles $4,688,144 $4,211,582 $4,365,300 $3,833,200 $4,287,821 Real estate, net $725,508 $733,196 $734,239 $739,473 $753,014 Total residential and commercial investments $125,840,378 $128,843,443 $114,472,879 $102,340,249 $101,192,482 Total assets $128,956,120 $131,800,776 $119,172,549 $105,787,527 $105,961,803 Average TBA contract and CMBX balances $9,248,502 $12,757,975 $14,927,490 $14,788,453 $12,216,863 Residential Securities: % Fixed-rate 97% 96% 94% 93% 92% % Adjustable-rate 3% 4% 6% 7% 8% Summary Portfolio Weighted average experienced CPR for the period 14.6% 11.2% 7.3% 7.9% 10.3% Statistics Weighted average projected long-term CPR at period-end 16.3% 14.5% 11.6% 10.1% 9.1% Net premium and discount balance in Residential Securities $5,262,316 $5,625,788 $5,217,013 $5,118,478 $5,769,426 Net premium and discount balance as % of stockholders' equity 34.58% 35.83% 33.07% 36.27% 38.59% 3

Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Repurchase agreements $102,682,104 $105,181,241 $88,554,170 $81,115,874 $79,073,026 Other secured financing 4,466,030 4,127,989 4,144,623 4,183,311 4,108,547 Debt issued by securitization vehicles 3,856,082 3,470,168 3,693,766 3,347,062 3,799,542 Mortgages payable 485,657 498,772 510,386 511,056 511,588 Total debt $111,489,873 $113,278,170 $96,902,945 $89,157,303 $87,492,703 Financing Data Total liabilities $113,732,416 $116,093,369 $103,391,105 $91,669,726 $91,005,947 Cumulative redeemable preferred stock $1,982,026 $2,110,346 $1,778,168 $1,778,168 $1,778,168 Common equity(1) 13,237,270 13,592,335 13,998,049 12,333,944 13,171,826 Total Annaly stockholders' equity 15,219,296 15,702,681 15,776,217 14,112,112 14,949,994 Non-controlling interests 4,408 4,726 5,227 5,689 5,862 Total equity $15,223,704 $15,707,407 $15,781,444 $14,117,801 $14,955,856 Weighted average days to maturity of repurchase agreements 45 70 72 77 55 Weighted average rate on repurchase agreements, for the quarter(2)(3) 2.53% 2.66% 2.64% 2.43% 2.25% Weighted average rate on repurchase agreements, at period-end(3) 2.48% 2.69% 2.85% 2.96% 2.32% Leverage at period-end 7.3x 7.2x 6.1x 6.3x 5.9x Economic leverage at period-end 7.7x 7.6x 7.0x 7.0x 6.7x Key Capital and Capital ratio at period-end 11.2% 11.4% 12.0% 12.1% 12.6% Hedging Metrics Book value per common share $9.21 $9.33 $9.67 $9.39 $10.03 Total common shares outstanding 1,437,964 1,456,263 1,448,103 1,313,763 1,303,080 Hedge ratio(4) 73% 74% 85% 94% 96% Weighted average pay rate on interest rate swaps, at period-end 1.88% 2.12% 2.20% 2.17% 2.10% Weighted average receive rate on interest rate swaps, at period-end 2.16% 2.46% 2.66% 2.68% 2.33% Weighted average net rate on interest rate swaps, at period-end (0.28%) (0.34%) (0.46%) (0.51%) (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 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Total interest income $919,299 $927,598 $866,186 $859,674 $816,596 Total interest expense 766,905 750,217 647,695 586,774 500,973 Net interest income $152,394 $177,381 $218,491 $272,900 $315,623 Total economic interest expense *(1) $678,439 $666,564 $513,660 $520,885 $449,624 Economic net interest income * $240,860 $261,034 $352,526 $338,789 $366,972 Total interest income (excluding PAA) * $1,036,451 $1,067,361 $948,057 $905,146 $819,982 Economic net interest income (excluding PAA) * $358,012 $400,797 $434,397 $384,261 $370,358 GAAP net income (loss) ($747,169) ($1,776,413) ($849,251) ($2,254,872) $385,429 (2) Summary Income GAAP net income (loss) available (related) to common stockholders ($783,210) ($1,808,752) ($881,644) ($2,287,383) $353,903 Statement GAAP net income (loss) per average common share (2) ($0.54) ($1.24) ($0.63) ($1.74) $0.29 Core earnings (excluding PAA) * $341,931 $391,153 $433,155 $417,169 $389,666 Core earnings (excluding PAA) available to common stockholders *(2) $305,780 $358,731 $400,661 $384,675 $357,991 Core earnings (excluding PAA) per average common share *(2) $0.21 $0.25 $0.29 $0.29 $0.30 Core earnings * $224,779 $251,390 $351,284 $371,697 $386,280 Core earnings available to common stockholders *(2) $188,628 $218,968 $318,790 $339,203 $354,605 Core earnings per average common share *(2) $0.13 $0.15 $0.23 $0.26 $0.29 PAA cost (benefit) $117,152 $139,763 $81,871 $45,472 $3,386 PAA cost (benefit) per average common share (3) $0.08 $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 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Dividends declared per common share $0.25 $0.25 $0.30 $0.30 $0.30 Total common and preferred dividends declared $396,187 $396,388 $467,121 $426,816 $397,163 Annualized GAAP return (loss) on average equity (19.32%) (45.13%) (22.72%) (62.05%) 10.73% Annualized GAAP return (loss) on average equity per unit of economic leverage (2.51%) (5.94%) (3.25%) (8.86%) 1.60% Annualized core return on average equity (excluding PAA) * 8.85% 9.94% 11.59% 11.48% 10.85% Annualized core return on average equity per unit of economic leverage (excluding PAA) * 1.15% 1.31% 1.66% 1.64% 1.62% Key Earnings Metrics Net interest margin 0.75% 0.87% 1.25% 1.34% 1.49% Net interest margin (excluding PAA) * 1.10% 1.28% 1.51% 1.49% 1.50% Average yield on interest earning assets 2.89% 3.03% 3.15% 3.21% 3.21% Average yield on interest earning assets (excluding PAA) * 3.26% 3.48% 3.45% 3.38% 3.22% Average cost of interest bearing liabilities 2.28% 2.41% 2.15% 2.22% 2.08% Net interest spread 0.61% 0.62% 1.00% 0.99% 1.13% Net interest spread (excluding PAA) * 0.98% 1.07% 1.30% 1.16% 1.14% * Represents a non-GAAP financial measure. 6

Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Interest income: Residential Securities $784,228 $777,891 $709,774 $708,146 $680,037 Residential mortgage loans 37,673 35,025 29,991 27,703 21,184 Commercial investment portfolio 87,946 92,131 100,952 107,650 97,531 U.S. Treasury securities — — — — 160 Reverse repurchase agreements 9,452 22,551 25,469 16,175 17,684 Total interest income $919,299 $927,598 $866,186 $859,674 $816,596 Economic Net Economic interest expense: Interest Income Repurchase agreements $699,838 $683,647 $579,514 $521,546 $445,535 Net interest component of interest rate swaps (88,466) (83,653) (134,035) (65,889) (51,349) Debt issued by securitization vehicles 34,524 34,151 34,207 34,769 29,391 Other 32,543 32,419 33,974 30,459 26,047 Total economic interest expense * $678,439 $666,564 $513,660 $520,885 $449,624 Economic net interest income * $240,860 $261,034 $352,526 $338,789 $366,972 PAA cost (benefit) 117,152 139,763 81,871 45,472 3,386 Economic net interest income (excluding PAA) * $358,012 $400,797 $434,397 $384,261 $370,358 * Represents a non-GAAP financial measure. 7

GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 GAAP net income (loss) ($747,169) ($1,776,413) ($849,251) ($2,254,872) $385,429 Net income (loss) attributable to noncontrolling interests (110) (83) (101) 17 (149) Net income (loss) attributable to Annaly ($747,059) ($1,776,330) ($849,150) ($2,254,889) $385,578 Adjustments to exclude reported realized and unrealized (gains) losses: Realized (gains) losses on termination or maturity of interest rate swaps 682,602 167,491 588,256 — (575) Unrealized (gains) losses on interest rate swaps 326,309 1,276,019 390,556 1,313,882 (417,203) Net (gains) losses on disposal of investments (66,522) 38,333 93,916 747,505 324,294 Net (gains) losses on other derivatives 16,888 506,411 115,159 484,872 (94,827) Net unrealized (gains) losses on instruments measured at fair value through earnings 1,091 4,881 (47,629) 18,169 39,944 Loan loss provision 3,504 — 5,703 3,496 — Adjustments to exclude components of other (income) loss: Depreciation and amortization expense related to commercial real estate (1) 9,974 10,147 10,114 11,000 9,278 Non-core (income) loss allocated to equity method investments (2) 4,541 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) 2,622 3,046 9,982 3,816 60,081 Income tax effect of non-core income (loss) items (2,762) (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) 15,554 33,229 38,134 69,572 56,570 MSR amortization (6) (21,963) (19,657) (13,979) (18,753) (19,913) Core earnings * 224,779 251,390 351,284 371,697 386,280 Less: Premium amortization adjustment cost (benefit) 117,152 139,763 81,871 45,472 3,386 Core earnings (excluding PAA) * $341,931 $391,153 $433,155 $417,169 $389,666 Dividends on preferred stock (7) 36,151 32,422 32,494 32,494 31,675 Core earnings attributable to common stockholders * $188,628 $218,968 $318,790 $339,203 $354,605 Core earnings attributable to common stockholders (excluding PAA) * $305,780 $358,731 $400,661 $384,675 $357,991 * 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 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Book value per common share, beginning of period $9.33 $9.67 $9.39 $10.03 $10.35 Net income (loss) available (related) to common stockholders (0.54) (1.24) (0.63) (1.74) 0.29 Book Value Other comprehensive income (loss) attributable to common stockholders 0.66 1.15 1.19 1.40 (0.32) Rollforward Common dividends declared (0.25) (0.25) (0.30) (0.30) (0.30) Issuance / buyback of common stock / redemption of preferred stock 0.01 0.00 0.02 0.00 0.01 Book value per common share, end of period $9.21 $9.33 $9.67 $9.39 $10.03 Prior quarter net interest margin 0.87% 1.25% 1.34% 1.49% 1.53% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and 0.09% 0.12% 0.04% 0.02% 0.03% CMBX balances) Net Interest Margin Net amortization of premiums (0.14%) (0.16%) (0.08%) (0.07%) 0.06% TBA dollar roll income and CMBX coupon income (0.05%) (0.02%) (0.11%) 0.03% (0.03%) Interest expense and net interest component of interest rate swaps (0.02%) (0.32%) 0.06% (0.13%) (0.10%) Current quarter net interest margin 0.75% 0.87% 1.25% 1.34% 1.49% Prior quarter net interest margin (excluding PAA) * 1.28% 1.51% 1.49% 1.50% 1.56% Quarter-over-quarter changes in contribution: Coupon on average interest-earning assets (including average TBA dollar roll and CMBX balances) 0.09% 0.12% 0.04% 0.02% 0.03% Net Interest Margin (excluding PAA)* Net amortization of premiums (excluding PAA) (0.20%) (0.01%) 0.03% 0.07% 0.04% TBA dollar roll income and CMBX coupon income (0.05%) (0.02%) (0.11%) 0.03% (0.03%) Interest expense and net interest component of interest rate swaps (0.02%) (0.32%) 0.06% (0.13%) (0.10%) Current quarter net interest margin (excluding PAA) * 1.10% 1.28% 1.51% 1.49% 1.50% * Represents a non-GAAP financial measure. 9

Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Prior quarter net interest spread 0.62% 1.00% 0.99% 1.13% 1.15% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (0.02%) 0.03% 0.03% 0.08% 0.13% Net Interest Spread Net amortization of premiums (0.12%) (0.15%) (0.09%) (0.08%) 0.04% Average cost of interest bearing liabilities 0.13% (0.26%) 0.07% (0.14%) (0.19%) Current quarter net interest spread 0.61% 0.62% 1.00% 0.99% 1.13% Prior quarter net interest spread (excluding PAA) * 1.07% 1.30% 1.16% 1.14% 1.18% Quarter-over-quarter changes in contribution: Net Interest Spread Coupon on average interest earning assets (0.02%) 0.03% 0.03% 0.08% 0.12% * (excluding PAA) Net amortization of premiums, excluding PAA (0.20%) 0.00% 0.04% 0.08% 0.03% Average cost of interest bearing liabilities 0.13% (0.26%) 0.07% (0.14%) (0.19%) Current quarter net interest spread (excluding PAA) * 0.98% 1.07% 1.30% 1.16% 1.14% * Represents a non-GAAP financial measure. 10

Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Prior quarter annualized GAAP return (loss) on average equity (45.13%) (22.72%) (62.05%) 10.73% 17.20% Quarter-over-quarter changes in contribution: Coupon income 1.67% 2.00% 0.16% 1.78% (0.21%) Net amortization of premiums and accretion of discounts (1.46%) (1.61%) (0.64%) (0.86%) 0.53% Interest expense and net interest component of interest rate swaps (0.61%) (3.19%) 0.59% (1.81%) (0.65%) Annualized GAAP Return (Loss) on Realized (gains) losses on termination or maturity of interest rate swaps (13.40%) 11.48% (15.74%) (0.02%) 0.02% Average Equity Unrealized (gains) losses on interest rate swaps 23.98% (21.97%) 25.70% (47.77%) 1.70% Realized and unrealized (gains) losses on investments and other derivatives 15.22% (9.64%) 30.10% (27.00%) (5.18%) Loan loss provision (0.09%) 0.15% (0.06%) (0.10%) 0.00% Other(1) 0.50% 0.37% (0.78%) 3.00% (2.68%) Current quarter annualized GAAP return (loss) on average equity (19.32%) (45.13%) (22.72%) (62.05%) 10.73% Prior quarter annualized core return on average equity (excluding PAA) * 9.94% 11.59% 11.48% 10.85% 11.05% Quarter-over-quarter changes in contribution: Coupon income 1.67% 2.00% 0.16% 1.78% (0.21%) Annualized Core Return on Average Net amortization of premiums (excluding PAA) (1.98%) (0.25%) 0.30% 0.29% 0.41% Equity (excluding Interest expense and net interest component of interest rate swaps (0.61%) (3.19%) 0.59% (1.81%) (0.65%) PAA)* TBA dollar roll income and CMBX coupon income (0.44%) (0.18%) (0.89%) 0.34% (0.23%) Other(2) 0.27% (0.03%) (0.05%) 0.03% 0.48% Current quarter core return on annualized average equity (excluding PAA) * 8.85% 9.94% 11.59% 11.48% 10.85% * 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 September 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) $4,551,248 4.3% 3.38% 101.8% 107.1% 12.3% $4,873,749 20 years 2,710,499 2.6% 3.53% 103.8% 104.8% 11.4% 2,840,208 >=30 years (2) 97,330,350 93.1% 4.01% 104.2% 106.4% 14.0% 103,540,806 Total/Weighted Avg. $104,592,097 100.0% 3.97% 104.1% 106.4% 13.9% $111,254,763 TBA Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % (4) Coupon Basis Value 15-year $500,000 4.6% 2.50% $503,438 $504,297 30-year 10,323,000 95.4% 3.04% 10,495,951 10,482,425 Total/Weighted Avg. $10,823,000 100.0% 3.01% $10,999,389 $10,986,722 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 $2,214,801 92.5% 4.03% 105.7% 103.5% 45.4% $2,292,132 25 - 40 months 5,612 0.2% 3.15% 103.2% 102.8% 2.8% 5,770 41 - 60 months 59,458 2.5% 2.54% 99.4% 101.6% 18.0% 60,421 61 - 90 months 115,153 4.8% 2.97% 101.9% 103.2% 20.7% 118,830 Total/Weighted Avg. $2,395,024 100.0% 3.94% 105.4% 103.4% 45.3% $2,477,153 Detailed endnotes are included within the Appendix at the end of this presentation. 12

Residential Investments & TBA Derivative Overview as of September 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 $1,822,598 39.1% 3.34% 14.3% 10.8% 12.2% $196,346 Inverse Interest-only 2,834,441 60.9% 4.08% 22.5% 18.8% 13.3% 534,262 Total/Weighted Avg. $4,657,039 100.0% 3.79% 19.3% 15.7% 12.9% $730,608 Mortgage Servicing Rights Unpaid Excess Weighted Avg. Principal Weighted Avg. Servicing Loan Age Estimated Type Balance Coupon Spread (months) Fair Value Total/Weighted Avg. $38,436,399 3.82% 0.24% 42 $386,051 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 $463,982 9.3% 5.68% 99.9% 102.3% $474,765 Alt-A 153,891 2.9% 4.57% 85.3% 94.6% 145,637 Prime 267,196 5.3% 4.48% 94.0% 100.9% 269,720 Prime Interest-only 459,718 0.1% 0.47% 0.9% 0.8% 3,657 Subprime 380,293 7.1% 2.85% 84.0% 94.7% 360,099 NPL/RPL 28,669 0.5% 4.20% 99.7% 99.6% 28,554 Prime Jumbo 197,879 4.0% 3.96% 98.3% 101.8% 201,524 Prime Jumbo Interest-only 591,980 0.1% 0.37% 1.6% 1.1% 6,730 Residential Mortgage Loans 3,475,799 70.7% 5.03% 101.6% 103.5% 3,596,133 Total/Weighted Avg. $6,019,407 100.0% 4.84% $5,086,819 Detailed endnotes are included within the Appendix at the end of this presentation. 13

(1) Residential Credit Investments Detail as of September 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 $450,908 $— $450,908 5.59% 1.09% 0.39% 15.48% Private Label Credit Risk Transfer 23,857 — 23,857 7.47% —% 0.20% 13.41% Alt-A 145,637 83,805 61,832 4.57% 12.73% 8.40% 12.35% Prime 269,720 80,944 188,776 4.48% 6.94% 3.92% 15.72% Prime Interest-only 3,657 3,657 — 0.47% —% 0.10% 25.33% Subprime 360,099 125,261 234,838 2.85% 8.73% 21.81% 6.85% Re-Performing Loan Securitizations 28,554 28,554 — 4.20% 17.05% 9.30% 10.52% Prime Jumbo 201,524 161,417 40,107 3.96% 15.28% 0.16% 21.28% Prime Jumbo Interest-only 6,730 6,730 — 0.37% —% 0.18% 8.02% Total $1,490,686 $490,368 $1,000,318 4.71% 7.54% 7.63% 24.40% Bond Coupon Estimated Fair Product Value ARM Fixed Floater Interest Only Agency Credit Risk Transfer $450,908 $— $— $450,908 $— Private Label Credit Risk Transfer 23,857 — — 23,857 — Alt-A 145,637 31,897 94,046 19,694 — Prime 269,720 91,641 178,079 — — Prime Interest-only 3,657 — — — 3,657 Subprime 360,099 — 33,697 326,402 — Re-Performing Loan Securitizations 28,554 — 28,554 — — Prime Jumbo 201,524 — 201,524 — — Prime Jumbo Interest-only 6,730 — — — 6,730 Total $1,490,686 $123,538 $535,900 $820,861 $10,387 Detailed endnotes are included within the Appendix at the end of this presentation. 14

Commercial Real Estate Overview as of September 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 17 $432,460 11.5% 66.4% 3.2 $236,316 9.6% Mezzanine Loans 12 178,969 4.7% 76.3% 3.1 124,566 9.2% Total Loans 29 611,429 16.2% 69.3% 3.2 360,882 9.5% Securities CMBS (AAA) 2 57,667 1.5% 25.2% 0.8 7,087 13.2% CMBS (Credit) 3 47,104 1.2% 54.2% 7.1 24,090 17.8% CMBS (Conduit) 4 36,080 1.0% 48.3% 7.0 12,416 6.3% Total Securities 9 140,851 3.7% 40.8% 4.5 43,593 13.9% Assets transferred or pledged to securitization vehicles NLY 2019-FL2 22 810,005 21.4% 68.9% 3.5 188,050 13.1% Commercial Trusts 31 1,501,408 39.6% 63.0% 1.6 35,609 26.1% Total Assets transferred or pledged to securitization vehicles 53 2,311,413 61.0% 65.1% 2.3 223,659 15.2% Total Debt Investments 91 3,063,693 80.9% 64.8% 2.5 628,134 11.8% Equity Investments Real Estate Held for Investment 47 637,662 16.8% 251,524 13.5% Investment in Unconsolidated Joint Ventures (5) 37 87,846 2.3% 130,492 7.2% Total Equity Investments 84 725,508 19.1% 382,016 11.4% Total Investment Portfolio 175 $3,789,201 100.0% $1,010,150 11.7% Range of Implied Net Weighted Derivatives Net Notional Ratings Market Value Average Coupon CMBX (6) $395,000 AAA to BBB- $398,717 1.4% Detailed endnotes are included within the Appendix at the end of this presentation. 15

Middle Market Lending Overview as of September 30, 2019 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Aircraft and Parts $— $41,064 $41,064 $0 - $20 million $234,061 11.1% Coating, Engraving and Allied Services — 49,767 49,767 $20 - $40 million 372,880 17.6% Computer Programming, Data Processing & Other Computer Related Services — 347,287 347,287 $40 - $60 million 581,243 27.5% Drugs — 35,918 35,918 Greater than $60 million 927,599 43.8% Electric Work — 42,372 42,372 Total $2,115,783 100.0% Electronic Components & Accessories — 24,000 24,000 Engineering, Architectural, and Surveying — 77,284 77,284 Grocery Stores — 23,292 23,292 Tenor Dispersion Home Health Care Services — 29,391 29,391 Remaining Term Amount Percentage Insurance Agents, Brokers and Services — 76,444 76,444 One year or less $9,672 0.5% Mailing, Reproduction, Commercial Art and Photography, and Stenographic — 14,770 14,770 One to three years 110,261 5.2% Management and Public Relations Services — 339,319 339,319 Three to five years 622,430 29.4% Medical and Dental Laboratories — 41,467 41,467 Greater than five years 1,373,420 64.9% Metal Cans & Shipping Containers — 118,420 118,420 Total $2,115,783 100.0% Miscellaneous Business Services — 215,709 215,709 Miscellaneous Equipment Rental and Leasing — 49,732 49,732 Lien Position Amount  Percentage Miscellaneous Health and Allied Services, not elsewhere classified — 77,551 77,551 First lien loans $1,305,810 61.7% Miscellaneous Plastic Products — 10,000 10,000 Second lien loans 809,973 38.3% Motor Vehicles and Motor Vehicle Parts and Supplies — 28,877 28,877 Total $2,115,783 100.0% Nonferrous Foundries (Castings) — 12,918 12,918 Offices and Clinics of Doctors of Medicine — 107,066 107,066 Offices and Clinics of Other Health Practitioners — 10,123 10,123 Petroleum and Petroleum Products — 24,957 24,957 Public Warehousing and Storage — 94,877 94,877 Research, Development and Testing Services — 45,610 45,610 Schools and Educational Services, not elsewhere classified — 19,635 19,635 Surgical, Medical, and Dental Instruments and Supplies — 96,702 96,702 Telephone Communications — 61,231 61,231 Total $— $2,115,783 $2,115,783 16

Hedging and Liabilities as of September 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 Fixed Rate Floating Rate Years to Maturity Expiration 0 to 3 years $41,234,400 1.62% 2.11% 1.42 Long Pay $5,175,000 2.57% 3M LIBOR 9.55 7.23 >3 to 6 years 12,815,950 1.91% 2.19% 4.58 Long Receive $2,000,000 1.49% 3M LIBOR 10.55 6.47 > 6 to 10 years 16,071,500 2.23% 2.29% 9.24 Greater than 10 years 3,060,000 3.76% 2.11% 18.14 Total / Weighted Avg. $73,181,850 1.88% 2.16% 4.32 Futures Positions Repurchase Agreements & Other Secured Financing Notional Notional Weighted Avg. Weighted Avg. Long Short Years to Principal Rate Type Positions Positions Maturity(2) Maturity Balance At Period End U.S. Treasury Futures - 5 year $— $(5,314,900) 4.42 Within 30 days $52,622,214 2.57% U.S. Treasury Futures - 10 year & Greater 2,600,000 (5,151,400) 10.03 30 to 59 days 15,138,462 2.64% Total $2,600,000 ($10,466,300) 7.75 60 to 89 days 20,139,578 2.26% 90 to 119 days 5,077,560 2.44% Over 120 days(3) 14,170,320 2.37% Total / Weighted Avg. $107,148,134 2.49% Weighted Average Rate Principal Balance At Period End For the Quarter Days to Maturity(4) Repurchase agreements $102,682,104 2.48% 2.53% 45 Other secured financing 4,466,030 2.80% 2.95% 602 Debt issued by securitization vehicles 3,890,860 3.66% 3.66% 8,715 Mortgages payable 491,435 4.10% 4.20% 4,694 Total indebtedness $111,530,429 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 September 30, 2019 and June 30, 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 September 30, 2019 As of June 30, 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) 0.1% 0.9% (0.2%) (2.0%) (50) 0.1% 0.8% (0.1%) (0.9%) (25) 0.1% 0.6% —% (0.2%) 25 (0.1%) (1.2%) (0.1%) (0.6%) 50 (0.4%) (3.4%) (0.3%) (2.4%) 75 (0.7%) (6.5%) (0.6%) (5.3%) MBS Spread Sensitivity (1) As of September 30, 2019 As of June 30, 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% 10.5% 1.2% 10.7% (15) 0.7% 6.3% 0.7% 6.4% (5) 0.2% 2.1% 0.2% 2.1% 5 (0.2%) (2.1%) (0.2%) (2.1%) 15 (0.7%) (6.2%) (0.7%) (6.3%) 25 (1.2%) (10.4%) (1.2%) (10.4%) 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 September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, is provided on page 8 of this financial summary. 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, 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Premium Amortization Reconciliation Premium amortization expense $376,306 $318,587 $247,446 $220,131 $187,537 Less: PAA cost (benefit) 117,152 139,763 81,871 45,472 3,386 Premium amortization expense (excluding PAA) $259,154 $178,824 $165,575 $174,659 $184,151 Interest Income (excluding PAA) Reconciliation GAAP interest income $919,299 $927,598 $866,186 $859,674 $816,596 PAA cost (benefit) 117,152 139,763 81,871 45,472 3,386 Interest Income (excluding PAA) * $1,036,451 $1,067,361 $948,057 $905,146 $819,982 Economic Interest Expense Reconciliation GAAP interest expense $766,905 $750,217 $647,695 $586,774 $500,973 Add: Net interest component of interest rate swaps (88,466) (83,653) (134,035) (65,889) (51,349) Economic interest expense * $678,439 $666,564 $513,660 $520,885 $449,624 Economic Net Interest Income (excluding PAA) Reconciliation Interest income (excluding PAA) * $1,036,451 $1,067,361 $948,057 $905,146 $819,982 Less: Economic interest expense * 678,439 666,564 513,660 520,885 449,624 Economic net interest income (excluding PAA) * $358,012 $400,797 $434,397 $384,261 $370,358 * Represents a non-GAAP financial measure. 21

Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 9/30/2019 6/30/2019 3/31/2019 12/31/2018 9/30/2018 Economic Metrics (excluding PAA) Average interest earning assets $127,207,668 $122,601,881 $109,946,527 $107,232,861 $101,704,957 Interest income (excluding PAA) * $1,036,451 $1,067,361 $948,057 $905,146 $819,982 Average yield on interest earning assets (excluding PAA) * 3.26% 3.48% 3.45% 3.38% 3.22% Average interest bearing liabilities $116,391,094 $109,628,007 $95,529,819 $91,746,160 $86,638,082 Economic interest expense * 678,439 666,564 513,660 520,885 449,624 Average cost of interest bearing liabilities 2.28% 2.41% 2.15% 2.22% 2.08% Economic net interest income (excluding PAA)* $358,012 $400,797 $434,397 $384,261 $370,358 Net interest spread (excluding PAA) * 0.98% 1.07% 1.30% 1.16% 1.14% Interest income (excluding PAA) * $1,036,451 $1,067,361 $948,057 $905,146 $819,982 TBA dollar roll income and CMBX coupon income 15,554 33,229 38,134 69,572 56,570 Interest expense (766,905) (750,217) (647,695) (586,774) (500,973) Net interest component of interest rate swaps 88,466 83,653 134,035 65,889 51,349 Subtotal $373,566 $434,026 $472,531 $453,833 $426,928 Average interest earning assets $127,207,668 $122,601,881 $109,946,527 $107,232,861 $101,704,957 Average TBA contract and CMBX balances 9,248,502 12,757,975 14,927,490 14,788,453 12,216,863 Subtotal $136,456,170 $135,359,856 $124,874,017 $122,021,314 $113,921,820 Net interest margin (excluding PAA) * 1.10% 1.28% 1.51% 1.49% 1.50% * 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 September 30, 2019 excludes, and the quarter (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income ended June 30, 2019 includes, cumulative and undeclared dividends of $0.3 million on the (loss) and accumulated deficit. Company's Series I Preferred Stock as of June 30, 2019. (2) The quarters ended September 30, 2019, June 30, 2019, March 31, 2019 and December 31, 2018 (2) The Company separately calculates core earnings per average common share and core earnings utilize an actual/360 factor, the September 30, 2018 quarter applied a 30/360 factor; applying an (excluding PAA) per average common share, with the difference between these two per share actual/360 factor results in an average repurchase agreement rate of 2.20% for the quarter ended amounts attributed to the PAA cost (benefit) per average common share. As such, the reported value September 30, 2018. 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 September 30, 2019, June 30, 2019, March cost (benefit) by the weighted average number of common shares outstanding due to rounding. 31, 2019 and December 31, 2018 are net of reverse repurchase agreements. Without netting reverse (3) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages repurchase agreements, the average rate was 2.53%, 2.65%, 2.64% and 2.43% and the period-end payable. Certain credit facilities (included within other secured financing), securitized debt and rate was 2.48%, 2.69%, 2.86% and 2.97% for the quarters ended September 30, 2019, June 30, mortgages payable are non-recourse to the Company. 2019, March 31, 2019 and December 31, 2018, respectively. (4) Computed as the sum of recourse debt, to be announced ("TBA") derivative and credit derivatives (4) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver referencing the commercial mortgage-backed securities index ("CMBX") notional outstanding and swaptions) and futures relative to repurchase agreements, other secured financing and TBA notional net forward purchases (sales) of investments divided by total equity. Recourse debt consists of outstanding; excludes mortgage servicing rights ("MSRs") and the effects of term financing, both repurchase agreements and other secured financing (excluding certain non-recourse credit of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into facilities). Securitized debt, certain credit facilities (included within other secured financing) and consideration differences in duration between assets and liabilities. mortgages payable are non-recourse to the Company and are excluded from this measure. (5) Computed as the ratio of total equity to total assets (inclusive of total market value of TBA derivatives Page 5 and CMBX positions and exclusive of securitized debt of consolidated variable interest entities "VIEs"). (1) Includes GAAP interest expense and the net interest component of interest rate swaps. (6) Net interest margin represents the sum of the Company's interest income plus TBA dollar roll (2) Net of dividends on preferred stock. The quarter ended September 30, 2019 excludes, and the income and CMBX coupon income less interest expense and the net interest component of interest quarter ended June 30, 2019 includes, cumulative and undeclared dividends of $0.3 million on rate swaps divided by the sum of average interest earning assets plus average TBA contract and the Company's Series I Preferred Stock as of June 30, 2019. CMBX balances. Net interest margin (excluding PAA) excludes the PAA representing the (3) The Company separately calculates core earnings per average common share and core earnings cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in (excluding PAA) per average common share, with the difference between these two per share estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed amounts attributed to the PAA cost (benefit) per average common share. As such, the reported 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 securitizations of residential whole loans for the quarters ended September 30, 2019 and June 30, 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) The Company excludes non-core (income) loss allocated to equity method investments, which (2) Weighted by estimated fair value. represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other income (loss). The quarter ended December 31, 2018 also includes an Page 14 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. ("MTGE") in excess of the fair value of net assets acquired. This amount Page 15 is primarily 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 (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan same period. origination/purchase date or at the time of underwriting. (4) The quarters ended September 30, 2019 and June 30, 2019 represent costs incurred in connection (2) Maturity dates assume all of the borrowers' extension options are exercised for loan portfolio. with securitizations of residential whole loans. The quarter ended March 31, 2019 represents costs (3) Economic Interest is a non-GAAP measure to include gross asset values less related financings. incurred in connection with a securitization of commercial loans and a securitization of residential Equity investments are adjusted to exclude depreciation and amortization and grosses up real estate whole loans. The quarters ended December 31, 2018 and September 30, 2018 represent costs investments accounted for under equity method accounting. Economic interest for NLY 2019-FL2 incurred in connection with the MTGE transaction and costs incurred in connection with a excludes cash held in the collateralized loan obligation ("CLO") reinvestment account to be securitization of residential whole loans. deployed through the CLO. (5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) (4) Levered returns for equity investments comprise a trailing twelve-month (“TTM”) distribution on other derivatives. CMBX coupon income totaled $1.5 million, $0.8 million, $1.1 million, $1.2 yield for joint venture investments and core return for wholly owned triple net lease properties. million and $1.2 million for the quarters ended September 30, 2019, June 30, 2019, March 31, (5) Includes investment in unconsolidated debt fund of $22.0 million, investments in Community 2019, December 31, 2018 and September 30, 2018. Investment Impact Funds of $30.3 million and a portfolio of real estate properties of $35.5 million. (6) MSR amortization represents the portion of changes in fair value that is attributable to the realization (6) The Company sells/buys protection on CMBX tranches referencing baskets of Conduit CMBS of estimated cash flows on the Company’s MSR portfolio and is reported as a component of Net bonds with various ratings. Positive net notional indicates selling protection and being long the unrealized gains (losses) on instruments measured at fair value. exposure to the underlying CMBS. CMBX positions are accounted for as derivatives with changes (7) The quarter ended September 30, 2019 excludes, and the quarter ended June 30, 2019 includes, in fair value presented in Net gains (losses) on other derivatives. cumulative and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock as of June 30, 2019. Page 17 Page 11 (1) Notional amount includes $130.0 million forward-starting pay fixed interest rate swaps at (1) Includes other income (loss), general and administrative expenses and income taxes. September 30, 2019. (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts (2) Includes other income (loss) (excluding non-core items), MSR amortization (a component of Net cheapest to deliver. unrealized gains (losses) on instruments measured at fair value through earnings), general and (3) Approximately 4% of the total repurchase agreements and other secured financing have a remaining administrative expenses (excluding transaction related expenses) and income taxes (excluding non- maturity over one year. core income tax). (4) Determined based on estimated weighted average lives of the underlying debt instruments. Page 12 Page 18 (1) Includes Agency-backed multifamily securities with an estimated fair value of $2.8 billion. (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction (2) Includes fixed-rate collateralized mortgage obligations with an estimated fair value of $10.0 million. with internally derived inputs. Actual results could differ materially from these estimates. (3) Weighted by current face value. (2) Scenarios include Residential Investment Securities, residential mortgage loans, MSRs and (4) Weighted by current notional value. derivative instruments. (3) Net asset value (“NAV”) represents book value of common equity. 24