Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (September 2020)
17 slides from Annaly Capital Management's debt investor presentation, September 2020
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC September 2020
Slide 2: Important Notices
Important Notices 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 ma
Slide 3: Annaly Investment Strategies
Annaly Investment Strategies The Annaly Agency Group invests in Agency MBS The Annaly Residential Credit Group invests in Non- collateralized by residential mortgages which are Agency residential mortgage assets within the guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae securitized product and w
Slide 4: Agency | Portfolio Summary
Agency | Portfolio Summary ▪ Annaly Agency Portfolio: $96.3 billion in assets at the end of Q2 2020, a modest increase of ~5% from Q1 2020 ▪ The portfolio mix continues to be predominantly concentrated in 30-year fixed rate securities ▪ Continuation of portfolio shift down in coupon over the course
Slide 5: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary ▪ Annaly Residential Credit Portfolio: $2.6 billion in assets at the end of Q2 2020, relatively flat from Q1 2020 and comprised of a $1.5 billion securities portfolio and a $1.2 billion whole loan portfolio ▪ OBX 2020-EXP2 priced post quarter-end, a $489 millio
Slide 6: Commercial Real Estate | Portfolio Summary
Commercial Real Estate | Portfolio Summary ▪ Annaly Commercial Real Estate Portfolio: $2.5 billion(1) in assets at the end of Q2 2020, reflecting a decrease of 5% from Q1 2020 − Inclusive of loans contributed to the managed CRE CLO, assets under management at the end of Q2 2020 totaled $3.1 billion,
Slide 7: Middle Market Lending | Portfolio Summary
Middle Market Lending | Portfolio Summary ▪ Annaly Middle Market Lending Portfolio: $2.2 billion(1) in assets at the end of Q2 2020, relatively flat compared to Q1 2020 ▪ AMML’s long-standing relationships and legacy portfolio have provided access to continued deal flow through the pandemic ▪ The cu
Slide 8: Onslow Bay Financial
Onslow Bay Financial ANNALY
Slide 9: Annaly purchases residential whole loans through Onslow Bay Financial LLC
Onslow Bay Financial Annaly purchases residential whole loans through Onslow Bay Financial LLC ▪ Onslow Bay Financial LLC (“Onslow Bay”) was a wholly owned subsidiary of Hatteras Financial Corp. (“Hatteras”). In July of 2016, Hatteras was acquired by Annaly Capital Management, Inc. In addition to be
Slide 10: Onslow Bay Financial (cont'd)
Onslow Bay Financial (cont’d) Annaly purchases residential whole loans through Onslow Bay Financial LLC ▪ Onslow Bay seeks to purchase closed, funded, performing residential whole loans made to mortgagors with stable incomes and employment histories ▪ Onslow Bay is not an originator and does not dir
Slide 11: Loan Due Diligence & Servicer Oversight
Loan Due Diligence & Servicer Oversight 100% Full Securitization Diligence(1) Sub-Servicer Oversight ▪ Onslow Bay uses American Mortgage Consultants (“AMC”), ▪ Onslow Bay contracts Select Portfolio Servicing (“SPS”), Clayton Holdings LLC (“Clayton”), Opus CMC (“Opus”) and Shellpoint Mortgage Servici
Slide 12: Onslow Bay Securitizations
Onslow Bay Securitizations OBX 2020- OBX 2020- OBX 2020- OBX 2020- OBX 2019- OBX 2019- OBX 2019- OBX 2019- OBX 2019- OBX 2018- OBX 2018- OBX 2018-1 OBX 2015-1 EXP3(1) EXP2 EXP1 INV1 EXP3 EXP2 INV2 EXP1 INV1 EXP2 EXP1 Issue Date Exp. Sep-20 Jul-20 Feb-20 Jan-20 Oct-19 Jul-19 Jun-19 Apr-19 Jan-19 Oct-
Slide 13: Onslow Bay Expanded Prime ("EXP") Securitization Program
Onslow Bay Expanded Prime (“EXP”) Securitization Program
Slide 14: Residential Whole Loan Target Acquisitions
Onslow Bay Residential Whole Loan Target Acquisitions ▪ The summary below is representative of the “Expanded Prime” guidelines Onslow Bay utilizes to purchase whole loans through an originator / aggregator network ▪ Onslow Bay targets high quality borrowers with significant down payments and reserve
Slide 15: Residential Whole Loan Target Acquisitions (cont'd)
Onslow Bay Residential Whole Loan Target Acquisitions (cont’d) ▪ Onslow Bay also purchases 12 Month PnL and Debt Service Coverage Ratio (“DSCR”) Investor loans ▪ The summary below is representative of the guidelines Onslow Bay utilizes to purchase whole loans through an originator / aggregator netwo
Slide 16: Agency Investor Collateral
Agency Investor Collateral OBX 2020-EXP3 is expected to contain ~23% agency investor collateral GSE’s provide financing for investment properties ▪ GSE Investor loans are originated using the borrower’s entire financial profile (FICO, debt to income (DTI), reserves, etc.) and property LTV. Loans are
Slide 17: Credit Enhancement
Retained Interest in OBX Shelf Annaly has retained significantly more assets than mandated by risk retention (1) at issuance Percentage of Subordinate ▪ Annaly utilizes securitization as a mechanism to Deal Size Bonds Retained at Issuance diversify funding for the whole loan business OBX 2018-1 $327
Annaly Capital Management — Debt Investor Presentation (September 2020) on 6ix