Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (October 2024)
27 slides from Annaly Capital Management's debt investor presentation, Oct 3, 2024
Slide 1: Onslow Bay Financial LLC
ANNALY Onslow Bay Financial LLC October 2024
Slide 2: Forward-Looking Statements
This presentation is issued by Annaly Capital Management, Inc. ("Annaly“ or the “Company”), 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 informa
Slide 3: Table of Contents
1. Annaly Capital Management, Inc. Overview 4 2. Onslow Bay Financial LLC 6 3. Onslow Bay Correspondent Channel 11 4. Onslow Bay Strategy & Performance 16 5. Appendix 20 A. Onslow Bay Investor Relations 21 B. Annaly & Onslow Bay Corporate Responsibility 24 3
Slide 4: 1. Annaly Capital Management, Inc. Overview
1. Annaly Capital Management, Inc. Overview ANNALY
Slide 5: Annaly Total Portfolio and Businesses
Total Portfolio(1): Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralized by residential mortgage assets within the provide the obligation to Total Shareholders’ Equity: securitized product and servic
Slide 6: 2. Onslow Bay Financial LLC
2. Onslow Bay Financial LLC ANNALY
Slide 7: Onslow Bay is a wholly owned subsidiary of Annaly Capital Management, Inc.
▪ Onslow Bay is a wholly owned subsidiary of Annaly Capital Management, Inc. (“Annaly”) ▪ Onslow Bay is the entity through which Annaly purchases loans, issues securitizations (“OBX” shelf) and owns MSR − Onslow Bay is a Fannie Mae approved Servicer and a Freddie Mac approved Seller / Servicer in ad
Slide 8: Onslow Bay platform and Annaly Resi-Credit Fund structure
Largest mortgage REIT $500mm committed third party capital 25+ years as a public company Closed-end PE-style fund. Taxable REIT subsidiary. Wholly owned by Annaly ▪ Fannie Mae approved Servicer. Freddie Mac approved Seller / Servicer. HUD approved Investing Mortgagee ▪ Holds requisite state mortgage
Slide 9: Top Non-QM / Expanded Credit Securitization Issuers
1 Onslow Bay Financial (Annaly Capital Mgmt.) $9,269 18.9% 2 Invictus Capital Partners (Verus) $8,634 17.6% 3 Angel Oak $3,655 7.4% 4 PIMCO $3,470 7.1% 5 A&D Mortgage $3,114 6.3% 6 Lone Star Funds $2,805 5.7% 7 MFA Financial (MFA) $2,150 4.4% 8 Park Capital Management (Amwest) $2,123 4.3% 9 Hildene
Slide 10: Top Correspondent Aggregators Ranking
1 Chase, NJ $977.0 6.9% 1 Lakeview Loan Servicing, FL $713.5 5.1% 2 Wells Fargo & Company, IA $769.2 5.5% 2 Mr. Cooper Group, TX $676.0 4.8% 3 Lakeview Loan Servicing, FL $713.5 5.1% 3 PennyMac, CA $632.7 4.5% 4 Mr. Cooper Group, TX $676.0 4.8% 4 Newrez (Rithm), PA $596.4 4.2% 5 PennyMac, CA $632.7
Slide 11: 3. Onslow Bay Correspondent Channel
3. Onslow Bay Correspondent Channel ANNALY EE
Slide 12: Onslow Bay aggregates residential whole loans with significant control over production
▪ Onslow Bay aggregates residential whole loans with significant control over production: guidelines, exceptions, pricing, originator network, asset management/loss mitigation, sub-servicing partners − Onslow Bay has funded ~$8bn of predominately expanded credit residential whole loans in the first
Slide 13: Corporate headquarters and mortgage operations staffing
▪ Annaly and its wholly-owned subsidiaries, including Onslow Bay, maintain a corporate headquarters in New York City while operating a scaled satellite office focused on mortgage operations out of Dallas, Texas − 188 total employees across Annaly and its wholly owned subsidiaries, including Onslow B
Slide 14: Originator lock and counterparty approval process
▪ Origination partners offer Onslow Bay a pool of closed, ▪ Originators lock loans "best efforts" in accordance with funded whole loans underwritten to their own underwriting Onslow Bay’s published guidelines and pricing. Loans with guidelines. Onslow Bay may place credit or income delivered credit
Slide 15: Whole loan acquisition strategy and portfolio management
▪ Onslow Bay’s whole loan acquisition strategy and proactive portfolio management is guided by strong internal governance processes and credit discipline through meticulous asset selection, surveillance, oversight and risk management ▪ Onslow Bay & Annaly, as Sponsor and risk retainer respectively,
Slide 16: 4. Onslow Bay Strategy & Performance
4, Onslow Bay Strategy & Performance ANNALY’
Slide 17: Onslow Bay has tightened credit standards since mid-2022
▪ Onslow Bay has tightened credit standards since the middle of 2022 through a combination of guideline adjustments (restriction of credit availability) and pricing ▪ Onslow Bay’s weighted average (“WA”) Original FICO and WA CLTV is 754 and 68% across our current quarterly locks; Q3 2022 represented
Slide 18: Locked pipeline loan characteristics by product
Expanded Prime 60.6% 7.31 757 70.0 70.0 16.0% 17.9% 51.0% 3.5% 8.0% 3.4% 0.0% DSCR 31.5% 7.52 750 64.5 64.5 100.0% 35.0% 23.5% 4.0% 9.6% 0.0% 0.0% Expanded Credit 1.0% 7.85 712 67.6 67.6 31.2% 30.5% 9.7% 7.2% 48.8% 1.7% 0.0% Agency Inv./2nd 2.6% 7.17 764 72.1 72.1 61.8% 17.0% 8.7% 0.0% 5.8% 0.0% 0.0
Slide 19: OBX NQM serious delinquencies versus peers
▪ Serious delinquencies among OBX NQM loans continue to perform favorably to peers (lowest delinquencies across the top 10 largest NQM issuers) − The OBX NQM shelf has the fourth lowest serious delinquencies (#4 out of 22) when including all issuers with >$1bn outstanding ▪ Onslow Bay’s NQM shelf (O
Slide 20: 5. Appendix
5. Appendix ANNALY
Slide 21: 1. Onslow Bay Investor Relations
1. Onslow Bay Investor Relations ANNALY'
Slide 22: Onslow Bay Financial LinkedIn updates
Onslow Bay Financial Program updates and importa nt disclosures often announced on Onslow Bay’s LinkedIn pag Onslow Bay Financial 1,592 followers Oo smo" ® Effective April 12th, Onslow Bay has made the following changes to our Closed End Second Lien Program Underwriting Guidelines & our HELOC Underw
Slide 23: www.onslowbayfinancial.com
www.onslowbayfinancial.com ▪ The Onslow Bay website provides an overview of the whole loan programs offered, as well as a matrix comparing underwriting criteria − A Quick Quote tool allows users to input terms of a loan and receive indicative guidance on what programs the loan would fit ▪ Visit the
Slide 24: 2. Annaly & Onslow Bay Corporate Responsibility
2. Annaly & Onslow Bay Corporate Responsibility ANNALY’
Slide 25: Annaly's fifth Corporate Responsibility Report
We are pleased to publish Annaly’s fifth Corporate Responsibility Report, which American homes financed(1) details the clear results we have achieved with respect to our ESG programs and practices in recent years. Importantly, we are proud of the progress we have made in expanding our leadership acr
Slide 26: Onslow Bay ESG disclosures on securitizations
▪ Starting in 2022, Onslow Bay started providing ESG disclosures on its securitizations based upon guidance from the Sustainability Accounting Standards Board (“SASB”) Accounting Metrics under the Mortgage Finance Accounting Standard − SASB recommends disclosure of financial sustainability informati
Slide 27: OBX 2024 NQM securitization summary and performance
OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 - OBX 2024 – NQM14 NQM13 NQM12 NQM11 NQM10 NQM9 NQM8 NQM7 NQM6 NQM5 NQM4 NQM3 NQM2 NQM1 Issue Date 24-Sep 24-Sep 24-Aug 24-Jul 24-Jul 24-Jun 24-May 24-Apr 24-A
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