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•	$(0.15) comprehensive loss per common share, comprised of:

◦	$(0.85) net loss per common share

◦	$0.70 other comprehensive income ("OCI") per common share on investments marked-to-market through OCI

•	$0.49 net spread and dollar roll income per common share, excluding estimated "catch-up" premium amortization cost 1

◦	Includes $0.04 per common share of dollar roll income associated with the Company's $11.9 billion average net long position in forward purchases and sales of Agency mortgage-backed securities ("MBS") in the "to-be-announced" ("TBA") market

◦	Excludes $(0.11) per common share of estimated "catch-up" premium amortization cost due to change in projected constant prepayment rate ("CPR") estimates

•	$16.58 tangible net book value per common share as of June 30, 2019

◦	Decreased $(0.65) per common share, or -3.8%, from $17.23 per common share as of March 31, 2019

•	$0.50 dividends declared per common share for the second quarter

•	-0.9% economic return on tangible common equity for the quarter

◦	Comprised of $0.50 dividends per common share and $(0.65) decrease in tangible net book value per common share

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•	$104.4 billion investment portfolio as of June 30, 2019, comprised of:

◦	$91.6 billion Agency MBS

◦	$11.2 billion TBA mortgage position

◦	$1.7 billion credit risk transfer ("CRT") and non-Agency securities

•	9.8x tangible net book value "at risk" leverage as of June 30, 2019

◦	10.0x average tangible net book value "at risk" leverage for the quarter

•	10.0% portfolio CPR for the quarter

◦	12.4% average projected portfolio life CPR as of June 30, 2019

•	1.00% annualized net interest spread and TBA dollar roll income for the quarter, excluding estimated "catch-up" premium amortization cost

◦	Excludes -22 bps of "catch-up" premium amortization cost due to change in projected CPR estimates

•	$190 million of common equity raised, net of offering costs, pursuant to At-the-Market equity offerings

1.	Represents a non-GAAP measure. Please refer to a reconciliation to the most applicable GAAP measure and additional information regarding the use of non-GAAP financial information later in this release.

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•	$102.7 billion of Agency MBS and TBA securities, including:

◦	$101.8 billion of fixed-rate securities, comprised of:

•	$82.7 billion 30-year fixed-rate securities,

•	$8.0 billion 30-year TBA securities,

•	$7.2 billion 15-year securities,

•	$3.2 billion 15-year TBA securities, and

•	$0.8 billion 20-year fixed-rate securities;

◦	$0.9 billion of collateralized mortgage obligations ("CMOs"), adjustable-rate and other Agency securities;

•	$1.7 billion of CRT and non-Agency securities.

•	3.79% for 30-year fixed-rate securities;

•	3.35% for 15-year fixed rate securities; and

•	3.95% for 20-year fixed-rate securities.

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•	$65.7 billion of three months or less;

•	$3.9 billion from three to six months;

•	$13.2 billion from six to twelve months; and

•	$2.3 billion from one to three years.

•	$132 million of net realized gains on sales of investment securities;

•	$759 million of net unrealized gains on investment securities measured at fair value through net income;

•	$88 million of interest rate swap periodic income;

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•	$(1,107) million of net losses on interest rate swaps;

•	$(25) million of net losses on interest rate swaptions;

•	$(556) million of net losses on U.S. Treasury positions;

•	$22 million of TBA dollar roll income;

•	$141 million of net mark-to-market gains on TBA mortgage positions; and

•	$(1) million of other miscellaneous losses.

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1.	Tangible net book value per common share excludes preferred stock liquidation preference and goodwill and other intangible asset, net.

2.	Table includes non-GAAP financial measures and/or amounts derived from non-GAAP measures. Refer to "Use of Non-GAAP Financial Information" for additional discussion of non-GAAP financial measures.

3.	Amount reported in gain (loss) on derivatives instruments and other securities, net in the accompanying consolidated statements of operations.

4.	Dollar roll income represents the price differential, or "price drop," between the TBA price for current month settlement versus the TBA price for forward month settlement.  Amount is net of TBAs used for hedging purposes. Amount excludes TBA mark-to-market adjustments.

5.	Includes decrease in net capital loss carryforwards due to expiration of unutilized net capital loss carryforwards from prior years.

6.

The implied funding cost of TBA dollar roll transactions is determined using the "price drop" (Note 4) and market based assumptions regarding the "cheapest-to-deliver" collateral that can be delivered to satisfy the TBA contract, such as the anticipated collateral’s weighted average coupon, weighted average maturity and projected 1-month CPR.  The average implied funding cost for all TBA transactions is weighted based on the Company’s daily average TBA balance outstanding for the period.

7.	The average implied asset yield for TBA dollar roll transactions is extrapolated by adding the average TBA implied funding cost (Note 6) to the net dollar roll yield. The net dollar roll yield is calculated by dividing dollar roll income (Note 4) by the average TBA cost basis outstanding for the period.

8.	Amount calculated on a weighted average basis based on average balances outstanding during the period and their respective asset yield/funding cost.

9.	Represents periodic interest rate swap settlements. Amount excludes interest rate swap termination fees and mark-to-market adjustments.

10.	Represents interest rate swap periodic income/cost measured as a percent of total mortgage funding (Agency repurchase agreements, other debt and TBA securities).

11.	"Catch-up" premium amortization cost/benefit is reported in interest income on the accompanying consolidated statements of operations

12.	Investment securities include Agency MBS, CRT and non-Agency securities. Amounts exclude TBA securities.

13.	Average repurchase agreements and other debt excludes U.S. Treasury repurchase agreements.

14.	Average stockholders' equity calculated as the average month-ended stockholders' equity during the quarter.

15.

Average tangible net book value "at risk" leverage during the period was calculated by dividing the sum of the daily weighted average Agency repurchase agreements, other debt and net TBA position (at cost) outstanding for the period by the sum of average stockholders' equity adjusted to exclude goodwill and other intangible asset and investment in REIT equity securities. Leverage excludes U.S. Treasury repurchase agreements.

16.

Tangible net book value "at risk" leverage as of period end was calculated by dividing the sum of the amount outstanding under Agency repurchase agreements, other debt, net TBA position (at cost) and net receivable / payable for unsettled investment securities outstanding by the sum of total stockholders' equity adjusted to exclude goodwill and other intangible asset and investment in REIT equity securities at period end. Leverage excludes U.S. Treasury repurchase agreements.

17.	Includes forward starting swaps not yet in effect as of reported period-end.

18.	Annualized Q4 2018 and Q3 2018 operating expenses exclude the non-recurring write-off of the intangible asset and other expenses associated with sale of MTGE Investment Corp. and the resulting termination of the Company's management agreement with MTGE.

19.	Economic return (loss) on tangible common equity represents the sum of the change in tangible net book value per common share and dividends declared on common stock during the period over the beginning tangible net book value per common share.

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