Exhibit 99.3

August 3, 2016 Second Quarter 2016 Financial Summary

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

Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per common share, annualized core return on average equity, core average yield on interest earning assets, core net interest margin and core net interest spread represent non-GAAP measures. This presentation also includes additional non-GAAP measures, including core interest income, economic interest expense and economic core net interest income. See the section entitled “Non-GAAP Reconciliations” in the Appendix for a reconciliation of non-GAAP financial measures to the most directly comparable GAAP financial measures. 2Q 2016 Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended June 30, March 31, 2016 2016 Income Statement GAAP net income per common share ($0.32) ($0.96) Annualized return on average equity (9.60%) (29.47%) Core earnings (1) per common share $0.29 $0.30 Annualized core return on average equity 9.73% 9.91% Balance Sheet Common stock book value per share $11.50 $11.61 Leverage at period end (2) 5.3x 5.3x Economic leverage at period end (3) 6.1x 6.2x Capital ratio (4) 13.2% 13.2% Portfolio Agency mortgage-backed securities and debentures $64,862,992 $65,596,859 Residential credit portfolio (5) $1,717,870 1,658,674 Commercial real estate investments (6) $6,168,723 6,385,579 Corporate debt $669,612 639,481 Total Residential Investment Securities and commercial investment portfolio $73,419,197 $74,280,593 Net interest margin 1.15% 0.79% Core net interest margin (7) 1.54% 1.54% Average yield on interest earning assets 2.48% 2.09% Core average yield on interest earning assets (8) 2.95% 3.00% Net interest spread 0.80% 0.36% Core net interest spread 1.27% 1.27% Other Information Annualized operating expenses as a % of average assets (9) 0.24% 0.25% Annualized operating expenses as a % of average equity (9) 1.62% 1.63% Expense ratio (9)(10) 14.3% 14.1%

Last Five Quarters Financial Performance Unaudited Core Earnings Per Average Common Share Annualized Core Return on Average Equity Core Average Yield on Interest Earning Assets Capital Ratio

Unaudited, dollars in thousands Last Five Quarters Summary Data Includes consolidated variable interest entities (“VIEs”) and loans held for sale. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Portfolio-Related Data: Agency mortgage-backed securities and debentures $64,862,992 $65,596,859 $65,870,262 $66,219,755 $68,035,132 Residential credit portfolio $1,717,870 $1,658,674 $1,363,232 $820,764 $214,130 Commercial real estate investments (1) $6,168,723 $6,385,579 $5,075,191 $4,976,251 $4,362,579 Corporate debt $669,612 $639,481 $488,508 $424,974 $311,640 Total Residential Investment Securities and commercial investment portfolio $73,419,197 $74,280,593 $72,797,193 $72,441,744 $72,923,481 Total assets $77,716,470 $77,443,965 $75,190,893 $75,338,687 $75,545,680 Average TBA position $14,592,236 $15,110,947 $14,366,749 $14,210,373 $14,624,862 Agency mortgage-backed securities and debentures: % Fixed-rate 92% 93% 93% 93% 94% % Adjustable-rate 8% 7% 7% 7% 6% Weighted average experienced CPR, for the period 12.7% 8.8% 9.7% 11.5% 12.1% Weighted average projected long-term CPR, as of period end 13.0% 11.8% 8.8% 9.2% 7.7% Net premium and discount balance in Residential Investment Securities $4,626,548 $4,741,900 $4,951,252 $4,827,791 $4,822,332 Net premium and discount balance as % of stockholders' equity 40.05% 40.71% 41.62% 39.32% 38.30%

Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Consists of common stock, additional paid in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements and TBA notional outstanding.Excludes forward starting swaps; weighted average fixed rate on forward starting pay fixed swaps was 1.44%, 2.04% and 1.77% as of December 31, 2015, September 30, 2015 and June 30, 2015, respectively; weighted average fixed rate on forward starting receive fixed swaps was 1.38% as of June 30, 2016. There were no forward starting swaps as of March 31, 2016. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Liabilities, Capital and Hedging Data: Repurchase agreements $53,868,385 $54,448,141 $56,230,860 $56,449,364 $57,459,552 Other secured financing $3,588,326 $3,588,326 $1,845,048 $359,970 $203,200 Securitized debt of consolidated VIEs $3,748,289 $3,802,682 $2,540,711 $2,553,398 $2,610,974 Participation sold $13,079 $13,182 $13,286 $13,389 $13,490 Mortgages payable $327,643 $334,765 $334,707 $166,697 $146,359 Total debt $61,545,722 $62,187,096 $60,964,612 $59,542,818 $60,433,575 Total liabilities $66,154,597 $65,785,958 $63,284,971 $63,054,354 $62,950,875 Cumulative redeemable preferred stock $913,059 $913,059 $913,059 $913,059 $913,059 Common equity(1) $10,640,156 $10,735,393 $10,982,915 $11,365,769 $11,676,940 Total Annaly stockholders' equity $11,553,215 $11,648,452 $11,895,974 $12,278,828 $12,589,999 Non-controlling interests $8,658 $9,555 $9,948 $5,505 $4,806 Total equity $11,561,873 $11,658,007 $11,905,922 $12,284,333 $12,594,805 Weighted average days to maturity of repurchase agreements 129 136 151 147 149 Weighted average rate on repurchase agreements, at period end 1.02% 0.99% 0.90% 0.78% 0.76% Weighted average rate on repurchase agreements, average during period 1.00% 0.95% 0.78% 0.73% 0.67% Leverage, at period end 5.3x 5.3x 5.1x 4.8x 4.8x Economic leverage, at period end 6.1x 6.2x 6.0x 5.8x 5.6x Capital ratio 13.2% 13.2% 13.7% 14.0% 14.6% Common stock book value per share $11.50 $11.61 $11.73 $11.99 $12.32 Total common stock shares outstanding 924,930 924,853 935,930 947,826 947,768 Interest rate swaps: Hedge ratio(2) 49% 51% 55% 57% 53% Weighted average pay rate on interest rate swaps(3) 2.28% 2.26% 2.26% 2.26% 2.29% Weighted average receive rate on interest rate swaps(3) 0.74% 0.69% 0.53% 0.42% 0.40% Weighted average net rate on interest rate swaps 1.54% 1.57% 1.73% 1.84% 1.89%

Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Core metrics are exclusive of premium amortization adjustment resulting from the quarter-over-quarter change in estimated long-term constant prepayment rate (“CPR”).Includes interest expense on interest rate swaps used to hedge cost of funds. Excludes interest expense on interest rate swaps used to hedge to-be-announced (“TBA”) dollar rolls. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Performance-Related Data: Total interest income $457,118 $388,143 $576,580 $450,726 $624,277 Total interest expense $152,755 $147,447 $118,807 $110,297 $113,072 Net interest income $304,363 $240,696 $457,773 $340,429 $511,205 Total core interest income (1) $542,701 $556,551 $558,508 $533,862 $544,695 Total economic interest expense (2) $261,056 $270,571 $254,074 $248,041 $252,845 Economic core net interest income (1)(2) $281,645 $285,980 $304,434 $285,821 $291,850 GAAP Net income (loss) ($278,497) ($868,080) $669,666 ($627,491) $900,071 GAAP Net income (loss) available (related) to common shareholders ($296,104) ($885,910) $652,047 ($645,286) $882,228 GAAP Earnings per common share ($0.32) ($0.96) $0.69 ($0.68) $0.93 Core earnings (1) $282,176 $291,757 $311,133 $300,737 $331,473 Core earnings available to common shareholders (1) $264,184 $273,765 $293,141 $282,745 $313,481 Core earnings per average common share (1) $0.29 $0.30 $0.31 $0.30 $0.33 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared $295,471 $295,448 $298,771 $302,340 $302,323 Annualized return on average equity (9.60%) (29.47%) 22.15% (20.18%) 28.00% Annualized return on average equity per unit of economic leverage (1.57%) (4.75%) 3.69% (3.48%) 5.00% Annualized core return on average equity (1) 9.73% 9.91% 10.30% 9.67% 10.31% Annualized core return on average equity per unit of economic leverage (1) 1.60% 1.60% 1.72% 1.67% 1.84% Net interest margin 1.15% 0.79% 1.80% 1.27% 2.06% Core net interest margin (1) 1.54% 1.54% 1.71% 1.65% 1.70% Average yield on interest earning assets 2.48% 2.09% 3.15% 2.48% 3.32% Core average yield on interest earning assets (1) 2.95% 3.00% 3.05% 2.94% 2.90% Average cost of interest bearing liabilities 1.68% 1.73% 1.68% 1.65% 1.59% Net interest spread 0.80% 0.36% 1.47% 0.83% 1.73% Core net interest spread (1) 1.27% 1.27% 1.37% 1.29% 1.31%

Unaudited, dollars in thousands Components of Economic Net Interest Income Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Interest income: Residential Investment Securities $394,850 $315,717 $515,195 $399,702 $570,493 Commercial investment portfolio 59,578 70,187 60,835 50,204 52,429 Reverse repurchase agreements 2,690 2,239 550 820 1,355 Total interest income $457,118 $388,143 $576,580 $450,726 $624,277 Economic interest expense: Repurchase agreements $136,176 $132,891 $112,529 $103,823 $101,225 Interest expense on swaps used to hedge cost of funds(1) 108,301 123,124 135,267 137,744 139,773 Convertible Senior Notes - - - - 6,113 Securitized debt of consolidated VIEs 11,226 9,033 5,597 6,111 5,475 Participation sold 157 158 160 161 159 Other 5,196 5,365 521 202 100 Total economic interest expense $261,056 $270,571 $254,074 $248,041 $252,845 Economic net interest income $196,062 $117,572 $322,506 $202,685 $371,432 Premium amortization adjustment cost (benefit) 85,583 168,408 (18,072) 83,136 (79,582) Economic core net interest income $281,645 $285,980 $304,434 $285,821 $291,850

Unaudited, dollars in thousands Reconciliations and Changes in Key Metrics Represents transaction costs incurred in connection with the Company’s acquisition of Hatteras Financial Corp.Represents a component of Net gains (losses) on trading assets. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Core earnings reconciliation GAAP net income ($278,497) ($868,080) $669,666 ($627,491) $900,071 Less: Realized (gains) losses on termination of interest rate swaps 60,064 - - - - Unrealized (gains) / losses on interest rate swaps 373,220 1,031,720 (463,126) 822,585 (700,792) Net (gains) / losses on disposal of investments (12,535) 1,675 7,259 7,943 (3,833) Net (gains) / losses on trading assets (81,880) (125,189) (42,584) (108,175) 114,230 Net unrealized (gains) losses on financial instruments measured at fair value through earnings 54,154 (128) 62,703 24,501 (17,581) Impairment of goodwill - - - - 22,966 Corporate acquisition related expenses(1) 2,163 - - - - Net (income) loss attributable to noncontrolling interest 385 162 373 197 149 Premium amortization adjustment cost (benefit) 85,583 168,408 (18,072) 83,136 (79,582) Plus: TBA Dollar Roll Income(2) 79,519 83,189 94,914 98,041 95,845 Core earnings $282,176 $291,757 $311,133 $300,737 $331,473 Book value per common share rollforward: Book value per common share, beginning of period $11.61 $11.73 $11.99 $12.32 $12.88 Net income (loss) attributable to common stockholders (0.32) (0.96) 0.69 (0.68) 0.93 Other comprehensive income (loss) attributable to common stockholders 0.51 1.11 (0.68) 0.65 (1.19) Common dividends declared (0.30) (0.30) (0.30) (0.30) (0.30) Buyback of common stock 0.00 0.03 0.03 0.00 0.00 Book value per common share, end of period 11.50 11.61 11.73 11.99 12.32

Unaudited Changes in Key Metrics Includes interest expense on interest rate swaps used to hedge cost of funds. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Changes in net interest margin Prior quarter net interest margin 0.79% 1.80% 1.27% 2.06% 1.29% Quarter-over-quarter changes in contribution: Net amortization of premiums 0.39% (0.86%) 0.44% (0.76%) 0.85% Interest expense and related realized gain (loss) on interest rate swaps 0.03% (0.05%) (0.01%) (0.11%) 0.13% TBA dollar roll income (0.01%) (0.06%) (0.02%) 0.03% 0.16% Coupon on average interest-earning assets (0.05%) (0.04%) 0.12% 0.05% (0.37%) Current quarter net interest margin 1.15% 0.79% 1.80% 1.27% 2.06% Changes in core net interest margin Prior quarter core net interest margin 1.54% 1.71% 1.65% 1.70% 1.68% Quarter-over-quarter changes in contribution: Interest expense and related realized gain (loss) on interest rate swaps 0.04% (0.05%) (0.02%) (0.11%) 0.13% Net amortization of premiums, exclusive of premium amortization adjustment 0.03% (0.02%) (0.02%) (0.02%) 0.10% TBA dollar roll income (0.01%) (0.06%) (0.02%) 0.03% 0.16% Coupon on average interest-earning assets (0.06%) (0.04%) 0.12% 0.05% (0.37%) Current quarter core net interest margin 1.54% 1.54% 1.71% 1.65% 1.70% Changes in net interest spread Prior quarter core net interest spread 0.36% 1.47% 0.83% 1.73% 0.90% Quarter-over-quarter changes in contribution: Net amortization of premiums 0.48% (1.04%) 0.53% (0.91%) 0.89% Average cost of interest bearing liabilities(1) 0.05% (0.05%) (0.03%) (0.06%) 0.05% Coupon on average interest earning assets (0.09%) (0.02%) 0.14% 0.07% (0.11%) Current quarter core net interest spread 0.80% 0.36% 1.47% 0.83% 1.73% Changes in core net interest spread Prior quarter core net interest spread 1.27% 1.37% 1.29% 1.31% 1.32% Quarter-over-quarter changes in contribution: Average cost of interest bearing liabilities(1) 0.05% (0.05%) (0.03%) (0.06%) 0.05% Net amortization of premiums, exclusive of premium amortization adjustment 0.04% (0.03%) (0.03%) (0.03%) 0.05% Coupon on average interest earning assets (0.09%) (0.02%) 0.14% 0.07% (0.11%) Current quarter core net interest spread 1.27% 1.27% 1.37% 1.29% 1.31%

Unaudited Changes in Key Metrics Includes investment advisory income, dividend income from affiliates, other income (loss), general and administrative expenses and income taxes.Includes investment advisory income, dividend income from affiliates, other income (loss), general and administrative expenses (excluding corporate acquisition related expenses) and income taxes. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Changes in GAAP return on average equity Prior quarter GAAP return on average equity (29.47%) 22.15% (20.18%) 28.00% (14.41%) Quarter-over-quarter changes in contribution: Unrealized (gains) / losses on interest rate swaps 22.17% (50.34%) 41.77% (48.25%) 35.89% Net amortization of premiums and accretion of discounts 2.94% (6.76%) 2.91% (5.28%) 5.69% Interest expense and related realized gain (loss) on interest rate swaps 0.24% (0.81%) (0.44%) (0.75%) 0.69% Impairment of goodwill 0.00% 0.00% 0.00% 0.71% (0.71%) Other(1) (0.23%) 0.32% (0.24%) (0.28%) (0.48%) Coupon income (0.37%) 0.87% 1.66% 0.35% (1.97%) Realized (gains) losses on termination of interest rate swaps (2.07%) 0.00% 0.00% 0.00% 6.85% Realized / unrealized (gains) / losses on investments and trading assets (2.81%) 5.10% (3.33%) 5.32% (3.55%) Current quarter GAAP return on average equity (9.60%) (29.47%) 22.15% (20.18%) 28.00% Changes in core return on average equity Prior quarter core return on average equity 9.91% 10.30% 9.67% 10.31% 10.34% Quarter-over-quarter changes in contribution: Economic interest expense and other swaps expense 0.24% (0.81%) (0.44%) (0.76%) 0.69% Net amortization of premiums, exclusive of premium amortization adjustment 0.18% (0.45%) (0.36%) (0.13%) 0.56% TBA dollar roll income (0.08%) (0.32%) (0.01%) 0.17% 1.17% Other(2) (0.15%) 0.31% (0.23%) (0.28%) (0.48%) Coupon income (0.37%) 0.88% 1.67% 0.36% (1.97%) Current quarter core return on average equity 9.73% 9.91% 10.30% 9.67% 10.31%

Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of June 30, 2016 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % Coupon Amortized Cost Fair Value 3-Month CPR Fair Value <=15 years $7,579,446 13.6% 3.13% 103.6% 105.7% 9.8% $8,011,601 20 years 5,952,788 10.6% 3.50% 104.3% 106.6% 13.1% 6,348,231 >=30 years 42,311,447 75.8% 3.87% 106.0% 107.7% 12.7% 45,580,337 Total/Weighted Avg. $55,843,681 100.0% 3.73% 105.5% 107.3% 12.3% $59,940,169 TBA Purchase Contracts Weighted Avg. Implied Cost Implied Market Type Notional Value % Coupon Basis Value 15-year $2,643,000 20.7% 2.79% $2,731,821 $2,756,354 30-year 10,096,000 79.3% 3.42% 10,514,190 10,627,147 Total/Weighted Avg. $12,739,000 100.0% 3.29% $13,246,011 $13,383,501 Agency Adjustable-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Months to Reset Face Value % Coupon Amortized Cost Fair Value 3-Month CPR Fair Value 0 - 24 months $1,080,632 37.2% 2.86% 100.5% 104.8% 16.3% $1,132,866 25 - 40 months 10,822 0.4% 4.42% 102.8% 106.7% 30.4% 11,552 41 - 60 months 143,954 4.9% 3.77% 102.4% 106.2% 22.4% 152,819 61 - 90 months 675,896 23.3% 2.87% 103.2% 104.3% 20.5% 704,819 >90 months 994,935 34.2% 3.04% 102.7% 104.4% 13.3% 1,038,899 Total/Weighted Avg. $2,906,239 100.0% 2.98% 102.0% 104.6% 16.6% $3,040,955

Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of June 30, 2016 (cont’d) (1) Weighted by fair value. Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Face Value % Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Fixed-Rate $464,172 98.0% 3.47% 102.0% 105.2% 16.8% $488,124 Floating-Rate 9,317 2.0% 2.88% 99.3% 103.3% 15.6% 9,623 Total/Weighted Avg. $473,489 100.0% 3.46% 102.0% 105.1% 16.8% $497,747 Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % Coupon Amortized Cost Fair Value 3-Month CPR Fair Value Interest-Only $5,343,840 59.0% 3.31% 13.4% 10.5% 12.6% $560,357 Inverse Interest-Only 3,717,928 41.0% 5.69% 23.0% 22.2% 11.5% 823,764 Total/Weighted Avg. $9,061,768 100.0% 4.28% 17.4% 15.3% 12.1% $1,384,121 Residential Credit Portfolio Current Face / Weighted Avg. Weighted Avg. Weighted Avg. Estimated Sector Notional Value % (1) Coupon Amortized Cost Fair Value Fair Value Credit Risk Transfer Securities $519,387 30.3% 4.55% 98.0% 100.2% $520,321 Legacy 690,679 35.6% 3.41% 86.9% 88.6% 611,755 NPL/RPL 374,096 21.8% 4.03% 99.7% 100.1% 374,624 Prime Jumbo (>=2010 Vintage) 194,334 11.6% 3.49% 100.3% 102.6% 199,378 Prime Jumbo (>=2010 Vintage) IO 1,020,183 0.7% 0.39% 1.7% 1.2% 11,792 Total/Weighted Avg $2,798,679 100.0% 2.62% 60.5% 61.4% $1,717,870

Residential Credit Investments Detail as of June 30, 2016 Unaudited, dollars in thousands By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $167,918 4.25% 6.80% 9.45% 6.89% Prime 213,906 4.43% 1.22% 1.80% 1.97% Subprime 229,931 1.95% 20.40% 17.36% 3.17% Prime Jumbo (>=2010 Vintage) 199,378 3.49% 15.37% 0.00% 22.10% Prime Jumbo (>=2010 Vintage) Interest Only 11,792 0.39% 0.00% 0.00% 19.33% Re-Performing Loan Securitizations 66,024 3.82% 46.62% 9.82% 2.95% Agency Credit Risk Transfer 468,721 4.39% 1.25% 0.11% 15.68% Private Label Credit Risk Transfer 51,600 5.98% 7.11% 0.02% 3.46% Non-Performing Loan Securitizations 308,600 4.08% 51.14% 63.38% 0.89% Total $1,717,870 2.62% 10.59% 9.62% 12.36% Market Value By Sector and Payment Structure Product Senior Subordinate Total Alt-A $83,890 $84,028 $167,918 Prime 37,156 176,750 213,906 Subprime 132,374 97,557 229,931 Prime Jumbo (>=2010 Vintage) 194,751 4,627 199,378 Prime Jumbo (>=2010 Vintage) Interest Only 11,792 - 11,792 Re-Performing Loan Securitizations 66,024 - 66,024 Agency Credit Risk Transfer - 468,721 468,721 Private Label Credit Risk Transfer - 51,600 51,600 Non-Performing Loan Securitizations 305,115 3,485 308,600 Total $831,102 $886,768 $1,717,870 Market Value By Sector and Bond Coupon Product ARM Fixed Floater Interest Only Total Alt-A $19,367 $94,453 $54,098 $0 $167,918 Prime 106,629 107,277 - - 213,906 Subprime - 45,332 184,599 - 229,931 Prime Jumbo (>=2010 Vintage) - 199,378 - - 199,378 Prime Jumbo (>=2010 Vintage) Interest Only - - - 11,792 11,792 Re-Performing Loan Securitizations - 66,024 - - 66,024 Agency Credit Risk Transfer - - 468,721 - 468,721 Private Label Credit Risk Transfer 51,600 51,600 Non-Performing Loan Securitizations - 308,600 - - 308,600 Total $125,996 $821,064 $759,018 $11,792 $1,717,870

Commercial Real Estate Overview as of June 30, 2016 (1) Book values include unamortized net origination fees.(2) Total weighted based on book value.(3) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an "as is" basis at the time of underwriting.(4) Maturity dates assume all of the borrowers' extension options are exercised.(5) Levered Return – Debt Investments, Securitized Whole Loans at Fair Value and CMBS: represents the current coupon plus fees amortized over initial loan term, less any related ACREG financing costs. Levered return – Equity Investments: is based on projected year 1 cash-on-cash returns for 2015 acquisitions.(6) Economic interest in securitized whole loans is reflected in B Piece CMBS.

Middle Market Lending Overview as of June 30, 2016 Industry Dispersion Industry Fixed Rate Floating Rate Total Commercial Fishing $ - $ 41,196 $ 41,196 Computer Programming & Data Processing - 49,425 49,425 Drugs - 34,452 34,452 Home Health Care Services - 39,455 39,455 Insurance Agents, Brokers & Services 4,369 44,446 48,815 Management & Public Relations Services - 41,311 41,311 Miscellaneous Business Services 84,410 63,706 148,116 Miscellaneous Food Preparations - 27,221 27,221 Miscellaneous Health & Allied Services - 39,031 39,031 Miscellaneous Nonmetallic Minerals - 24,676 24,676 Miscellaneous Plastic Products - 27,114 27,114 Motor Vehicles, Parts & Supplies - 12,375 12,375 Offices & Clinics of Doctors of Medicine - 83,917 83,917 Research, Development & Testing Services - 17,740 17,740 Schools & Educational Services - 21,105 21,105 Surgical, Medical, Dental Instruments - 13,663 13,663 Total $ 88,779 $ 580,833 $ 669,612 Loan Size Dispersion Loan Size Amount Percentage $0 - $20 million $ 95,281 14.2% $20 - $40 million 203,898 30.5% $40 - $60 million 224,839 33.6% greater than $60 million 145,594 21.7% Total $ 669,612 100% Loan Tenor Dispersion Remaining Term Amount Percentage One year or less $ - 0.0% One to three years - 0.0% Three to five years 312,924 46.7% Greater than five years 356,688 53.3% Total $ 669,612 100% Lien Position Amount First lien loans $ 418,972 Second lien loans 161,862 Second lien notes 84,409 Subordinated notes 4,369 Total $ 669,612

Hedging and Liabilities as of June 30, 2016 Unaudited, dollars in thousands Notional amount includes $0.2B of forward starting receive fixed swaps; weighted average pay rate, weighted average receive rate and weighted average years to maturity exclude forward starting swaps.Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 15% of the total repurchase agreements and FHLB advances have a remaining maturity over one year. The combined weighted average days to maturity for repurchase agreements and FHLB advances was 224 days.Determined based on estimated weighted-average lives of the underlying debt instruments. Principal Weighted Average Balance Rate Days to Maturity(4) Repurchase agreements $53,868,385 1.02% 129 Other secured financing 3,588,326 0.60% 1,644 Securitized debt of consolidated VIEs 3,754,642 0.86% 2,385 Participation sold 12,985 5.58% 302 Mortgages payable 331,046 4.20% 3,035 Total indebtedness $61,555,384 Interest Rate Swaps Current Weighted Avg. Weighted Avg. Weighted Avg. Maturity Notional(1) Pay Rate(1) Receive Rate(1) Years to Maturity(1) 0 to <3 years $1,152,401 1.63% 0.53% 2.61 >=3 to <6 years 12,025,000 1.88% 0.74% 4.00 >= 6 to <10 years 9,570,550 2.43% 0.81% 7.73 Greater than 10 years 3,434,400 3.70% 0.55% 18.87 Total / Weighted Avg. $26,182,351 2.28% 0.74% 7.04 Futures Positions Notional Notional Long Short Weighted Avg. Type Positions Positions Years to Maturity(2) 2-year Swap Equivalent Eurodollar Contracts - (6,200,000) 2.00 U.S. Treasury Futures - 5 year - (1,447,200) 4.42 U.S. Treasury Futures - 10 year & Greater - (655,600) 6.88 Total - ($8,302,800) 2.81 Repurchase Agreements & FHLB Advances Principal Weighted Avg. Maturity Balance Rate Within 30 days $20,212,965 0.85% 30 to 59 days 7,014,305 0.95% 60 to 89 days 5,970,102 0.86% 90 to 119 days 6,179,055 0.82% Over 120 days(3) 18,080,284 1.28% Total / Weighted Avg. $57,456,711 1.00%

Unaudited Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Scenarios include Residential Investment Securities and derivative instruments.NAV represents book value of common equity. Assumptions:The interest rate sensitivity and spread sensitivity are based on the portfolios as of June 30, 2016 and March 31, 2016. The interest rate sensitivities reflect instantaneous parallel shifts in rates.The spread sensitivity shifts mortgage-backed-securities spreads instantaneously and reflects exposure to mortgage-backed-securities basis risk.All tables assume no active management of the portfolio in response to rate or spread changes. Interest Rate Sensitivity As of June 30, 2016 As of March 31, 2016 Interest Rate Change (bps) Estimated Percentage Change in Portfolio Value(1) Estimated Change as a % of NAV(1)(2) Estimated Percentage Change in Portfolio Value(1) Estimated Change as a % of NAV(1)(2) (75) 0.3% 1.8% - 0.2% (50) 0.3% 1.7% 0.1% 0.8% (25) 0.2% 1.0% 0.1% 0.7% 25 (0.2%) (1.3%) (0.2%) (1.4%) 50 (0.5%) (3.2%) (0.6%) (3.5%) 75 (0.9%) (5.6%) (1.1%) (6.5%) MBS Spread Sensitivity As of June 30, 2016 As of March 31, 2016 MBS Spread Shock (bps) Estimated Change in Portfolio Market Value Estimated Change as a % of NAV(1)(2) Estimated Change in Portfolio Market Value Estimated Change as a % of NAV(1)(2) (25) 1.3% 7.8% 1.4% 8.1% (15) 0.8% 4.7% 0.8% 4.9% (5) 0.3% 1.6% 0.3% 1.6% 5 (0.3%) (1.5%) (0.3%) (1.6%) 15 (0.8%) (4.6%) (0.8%) (4.8%) 25 (1.3%) (7.7%) (1.3%) (7.9%)

Appendix

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

Non-GAAP Reconciliations A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended June 30, 2016, March 31, 3016, December 31, 2015, September 30, 2015 and June 30, 2015, is provided in a previous section of this financial summary. The table above presents a reconciliation of the Company’s other non-GAAP financial measures to the most directly comparable GAAP financial measures. The Company’s presentation of non-GAAP financial measures has important limitations. Other market participants may calculate non-GAAP financial measures differently than the Company calculates them, making comparative analysis difficult. Although the Company believes its presentation of non-GAAP financial measures helps provide insight into the Company’s financial position and performance excluding the effects of certain transactions, non-GAAP financial measures may have limited usefulness as an analytical tool. Therefore, the non-GAAP financial measures should not be viewed in isolation and are not a substitute for financial measures computed in accordance with GAAP. Unaudited, dollars in thousands except per share amounts For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Premium Amortization Reconciliation Premium amortization expense $265,475 $355,671 $159,720 $255,123 $94,037 Less: Premium amortization adjustment cost (benefit) 85,583 168,408 (18,072) 83,136 (79,582) Premium amortization expense exclusive of premium amortization adjustment $179,892 $187,263 $177,792 $171,987 $173,619 Core Interest Income Reconciliation Total interest income $457,118 $388,143 $576,580 $450,726 $624,277 Premium amortization adjustment cost (benefit) 85,583 168,408 (18,072) 83,136 (79,582) Core interest income $542,701 $556,551 $558,508 $533,862 $544,695 Economic Interest Expense Reconciliation GAAP interest expense $152,755 $147,447 $118,807 $110,297 $113,072 Add: Interest expense on interest rate swaps used to hedge cost of funds 108,301 123,124 135,267 137,744 139,773 Economic interest expense $261,056 $270,571 $254,074 $248,041 $252,845 Economic Core Net Interest Income Reconciliation Core interest income $542,701 $556,551 $558,508 $533,862 $544,695 Less: Economic interest expense 261,056 270,571 254,074 248,041 252,845 Economic core net interest income $281,645 $285,980 $304,434 $285,821 $291,850 Economic Core Metrics Core interest income $542,701 $556,551 $558,508 $533,862 $544,695 Average interest earning assets $73,587,753 $74,171,943 $73,178,965 $72,633,314 $75,257,299 Core average yield on interest earning assets 2.95% 3.00% 3.05% 2.94% 2.90% Economic interest expense $261,056 $270,571 $254,074 $248,041 $252,845 Average interest bearing liabilities $62,049,474 $62,379,695 $60,516,996 $59,984,298 $63,504,983 Average cost of interest bearing liabilities 1.68% 1.73% 1.68% 1.65% 1.59% Core net interest spread 1.27% 1.27% 1.37% 1.29% 1.31% Core net interest margin 1.54% 1.54% 1.71% 1.65% 1.70%