Annaly Capital Management Inc. · NYSE:NLY

Annaly Capital Management — Debt Investor Presentation (July 2020)

18 slides from Annaly Capital Management's debt investor presentation, July 2020

  1. Slide 1: Onslow Bay Financial LLC

    Onslow Bay Financial LLC July 2020

  2. 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

  3. Slide 3: Annaly is a Leading Diversified Capital Manager

    Annaly is a Leading Diversified Capital Manager The diversification, scale and liquidity of Annaly’s complementary investment businesses provide a broad range of opportunities in today’s markets ~$13 billion 4 Investment Strategies Permanent Capital(2) Agency, Residential Credit, Commercial Real Est

  4. Slide 4: 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

  5. Slide 5: Agency | Portfolio Summary

    Agency | Portfolio Summary  Annaly Agency Portfolio: $92.0 billion in assets at the end of Q1 2020, a decrease of 24% from Q4 2019 given de-levering amid the COVID-19 pandemic  Asset reduction in Q1 2020 was primarily in our pool position, with additional sales in ARMs and DUS – The majority of po

  6. Slide 6: Residential Credit | Portfolio Summary

    Residential Credit | Portfolio Summary  Annaly Residential Credit Portfolio: $2.6 billion in assets at the end of Q1 2020, comprised of a $1.3 billion securities portfolio and a $1.3 billion whole loan portfolio  Two OBX securitizations closed during the quarter, a $375 million Agency Investor dea

  7. Slide 7: Commercial Real Estate | Portfolio Summary

    Commercial Real Estate | Portfolio Summary  Annaly Commercial Real Estate Portfolio: $2.6 billion(1) in assets at the end of Q1 2020, reflecting a decrease of 3% from Q4 2019  Navigated the market environment through prudent new investment origination and capital preservation through asset sales a

  8. Slide 8: 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 Q1 2020, relatively flat compared to Q4 2019  AMML’s portfolio is positioned to withstand the near-term effects caused by COVID–19, the cascading effects of OPEC+, U.S. dollar

  9. Slide 9: Onslow Bay Financial

    Onslow Bay Financial ANNALY

  10. Slide 10: Onslow Bay Financial

    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

  11. Slide 11: 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

  12. Slide 12: 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

  13. Slide 13: Onslow Bay Securitizations

    Onslow Bay Securitizations 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 EXP2(1) EXP1 INV1 EXP3 EXP2 INV2 EXP1 INV1 EXP2 EXP1 Issue Date Exp. Jul-20 Feb-20 Jan-20 Oct-19 Jul-19 Jun-19 Apr-19 Jan-19 Oct-18 Aug-18 Mar-18 Dec-1

  14. Slide 14: Onslow Bay Expanded Prime ("EXP") Securitization Program

    Onslow Bay Expanded Prime (“EXP”) Securitization Program

  15. Slide 15: 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

  16. Slide 16: 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

  17. Slide 17: Agency Investor Collateral

    Agency Investor Collateral OBX 2020-EXP2 is expected to contain >25% 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

  18. Slide 18: Credit Enhancement

    Retained Interest in OBX Shelf Annaly has retained significantly more assets than mandated by risk retention(1) at issuance Percentage of  Annaly utilizes securitization as a mechanism to Deal Size Subordinate Bonds diversify funding for the whole loan business Retained at Issuance OBX 2018-1 $327.

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