Annaly Capital Management Inc. · NYSE:NLY

Annaly Capital Management — Investor Presentation (October 2020)

19 slides from Annaly Capital Management's investor presentation, October 2020

  1. Slide 1: Onslow Bay Financial ("OBX") Platform Update

    Onslow Bay Financial (“OBX”) Platform Update October 2020

  2. Slide 2: Important Notices

    Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), an internally-managed, publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes. This presentation is provided for investors in Annaly for inform

  3. Slide 3: Onslow Bay Financial LLC

    Onslow Bay Financial LLC ANNALY

  4. Slide 4: Onslow Bay Whole Loan Platform

    Onslow Bay Whole Loan Platform Annaly purchases residential whole loans through Onslow Bay Financial LLC  Onslow Bay Financial LLC (“Onslow Bay”) is a wholly owned subsidiary of Annaly Capital Management Inc (“Annaly”). Annaly, through Onslow Bay, has been active in acquiring residential whole loan

  5. Slide 5: Onslow Bay Whole Loan Platform

    Onslow Bay Whole Loan Platform Onslow Bay utilizes an experienced and talented asset management platform to improve performance  Onslow Bay’s whole loan acquisition strategy and proactive portfolio management is guided by strong internal governance processes and credit discipline through meticulous

  6. Slide 6: Onslow Bay Securitizations | "OBX"

    Onslow Bay Securitizations | “OBX” Programmatic issuer; Access to permanent capital  Annaly, through Onslow Bay, is a differentiated issuer in the resi securitization market due to access to permanent capital and a long-term commitment to the organic creation of residential credit assets  Onslow B

  7. Slide 7: Retained Interest in OBX Shelf

    Retained Interest in OBX Shelf Annaly has retained significantly more assets than mandated by risk retention(1) at issuance  Annaly has retained a significant interest, well beyond the mandated Percentage of Subordinate Deal Size Bonds Retained at Issuance 5% risk retention in all OBX securitizatio

  8. Slide 8: Performance Update

    Performance Update ANNALY

  9. Slide 9: OBX Expanded Prime Program | Credit Performance

    OBX Expanded Prime Program | Credit Performance OBX Expanded Prime has outperformed market comparables  Onslow Bay’s Pre-COVID expanded prime securitization platform (transactions issued before 3/31/2020) currently has D60+ delinquencies of 3.4% − Onslow Bay “EXP” delinquencies are significantly lo

  10. Slide 10: OBX Expanded Prime Program | Credit Performance

    OBX Expanded Prime Program | Credit Performance OBX Expanded Prime (EXP) serious delinquencies (D60+) exhibit significant equity compared to peer issuers  Due to proactive asset selection and a strategy that emphasizes equity, approximately 54% of the delinquent loans in the Onslow Bay “EXP” shelf

  11. Slide 11: OBX Expanded Prime Program | Investor Protection

    OBX Expanded Prime Program | Investor Protection OBX EXP Securitizations offer superior credit protection to Investors relative to other Non-QM and Jumbo programs OBX EXP coverage ratio (Senior CE/D60+) is higher than peers Non-QM Issuer(1) Prime Jumbo Issuer(1) OBX EXP Program Deal Vintage Senior C

  12. Slide 12: OBX Program | Prepayment Performance

    OBX Program | Prepayment Performance OBX Expanded Prime (“EXP”) and Agency Investor (“INV”) have demonstrated superior convexity Both OBX Shelves have demonstrated Superior Convexity Stable Prepayments Across Deals  OBX Expanded Prime (“EXP”) and Agency Investor (“INV”) Deal Curr GWAC 3m CPR 6m CPR

  13. Slide 13: OBX Expanded Prime Program | Convexity

    OBX Expanded Prime Program | Convexity Onslow Bay’s Expanded Prime (EXP) program has demonstrated beneficial convexity Expanded Prime, Prime Jumbo and FNMA S-Curve Comparison CPR 80 Rate Expanded Prime FNMA Incentive OBX EXP Prime Issuer Jumbo Majors FNMA CK 70 25 30.0 14.0 21.0 29.1 37.8 60 50 36.8

  14. Slide 14: OBX Expanded Prime Program | Convexity

    OBX Expanded Prime Program | Convexity Wells Fargo research team makes similar observations about Expanded Prime convexity Loan Age 7-24 Months Rate Incentive Prime 2.0 FNMA Jumbo (CK) Expanded Prime 1M CPR 70.0 -25 60.0 0 24.8 18.2 50.0 25 34.6 33.6 40.0 50 36.2 44.0 30.0 75 49.8 54.9 56.6 100 53.8

  15. Slide 15: OBX Expanded Prime Program | Impediments to Refinance

    OBX Expanded Prime Program | Impediments to Refinance The convexity benefit of Onslow Bay’s Expanded Prime (EXP) program is driven by observable loan characteristics Self-employed Manual underwrites, borrowers Limited opportunity for borrowers to No PIWs refinance which translates to better convexit

  16. Slide 16: OBX Expanded Prime Program | Market Pricing Snapshot

    OBX Expanded Prime Program | Market Pricing Snapshot OBX 2020-EXP3 priced wider than recent prime jumbo deals, despite better investor protection and superior convexity Deal Name OBX 2020-EXP3 Prime Jumbo Deal 1 Prime Jumbo Deal 2 Prime Jumbo Deal 3 Priced Sep-20 Sep-20 Sep-20 Aug-20 GWAC 4.65% 3.77

  17. Slide 17: Appendix

    Appendix ANNALY

  18. Slide 18: Onslow Bay Securitizations | Expanded Prime

    Onslow Bay Securitizations | Expanded Prime OBX 2020-EXP3 OBX 2020-EXP2 OBX 2020-EXP1 OBX 2019-EXP3 OBX 2019-EXP2 OBX 2019-EXP1 OBX 2018-EXP2 OBX 2018-EXP1 Issue Date Sep-20 Jul-20 Feb-20 Oct-19 Jul-19 Apr-19 Oct-18 Aug-18 Collateral Type Expanded Prime Expanded Prime Expanded Prime Expanded Prime E

  19. Slide 19: Onslow Bay Securitizations | Agency Investor & Other

    Onslow Bay Securitizations | Agency Investor & Other OBX 2020-INV1 OBX 2019-INV2 OBX 2019-INV1 OBX 2018-1 OBX 2015-1 Issue Date Jan-20 Jun-19 Jan-19 Mar-18 Dec-15 Collateral Type Agency Investor Agency Investor Agency Investor Seasoned Prime ARMs Prime Jumbo Sponsor Onslow Bay Financial LLC Collapse

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