UNITED STATES SECURITIES AND EXCHANGE COMMISSION

This Tender Offer Statement on Schedule TO (this “Schedule TO”) is filed by Annaly Capital Management, Inc., a Maryland corporation (“Annaly”), and Mountain Merger Sub Corporation, a Maryland corporation and a wholly owned subsidiary of Annaly (“Offeror”). This Schedule TO relates to the offer (the “Offer”) by Annaly and Offeror to exchange for each outstanding share of common stock, $0.

01 par value per share, of MTGE Investment Corp., a Maryland corporation (“MTGE”), at the election of the holder thereof: (a) $9.82 in cash and 0.9519 shares of Annaly common stock, par value $0.01 per share (“Annaly common stock”); (b) $19.65 in cash (the “all-cash consideration”); or (c) 1.9037 shares of Annaly common stock (the “all-stock consideration”), subject in each case to the election procedures and, in the case of elections to receive the all-cash consideration or the all-stock consideration, to the proration procedures described in the Prospectus (as defined below) and the related Letter of Election and Transmittal (as defined below).