Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Debt Investor Presentation (February 2025)
30 slides from Annaly Capital Management's debt investor presentation, Feb 18, 2025
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC February 2025
Slide 2: Important Notices
Important Notices 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
Slide 3: Table of Contents
Table of Contents 1. Annaly Capital Management, Inc. Overview 4 2. Onslow Bay Financial LLC 7 3. Onslow Bay Correspondent Channel 12 4. Onslow Bay Strategy & Performance 17 5. Appendix 22 A. Onslow Bay Investor Relations 23 B. Annaly & Onslow Bay Corporate Responsibility 26 3
Slide 4: Annaly Capital Management, Inc. Overview
1. Annaly Capital Management, Inc. Overview 4
Slide 5: Established, Scaled Platforms Across Annaly's Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights (“MSR”), collateralized by residential mortgage assets within the which provide
Slide 6: Residential Credit Portfolio
Residential Credit Portfolio of economic assets(1) of dedicated capital ▪ Annaly Residential Credit portfolio: $7.0 billion in assets(1) at the end of Q4 2024, an increase of 8% compared to Q3 2024, and constitutes $2.7 billion of dedicated capital (~22% of the firm’s equity) Whole Loans Third Party
Slide 7: Onslow Bay Financial LLC
ANNALY 2. Onslow Bay Financial LLC
Slide 8: Annaly Residential Credit | Onslow Bay Financial LLC
Annaly Residential Credit | Onslow Bay Financial LLC ▪ Onslow Bay is a wholly owned subsidiary of Annaly Capital Management, Inc. (“Annaly”) ▪ Onslow Bay is the entity through which Annaly purchases mortgage loans, issues securitizations (“OBX” shelf) and owns MSR − Onslow Bay is a Fannie Mae approv
Slide 9: Residential Credit | Residential Complex
Residential Credit | Residential Complex Largest mortgage REIT $700mm 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 Mo
Slide 10: Onslow Bay Securitizations | Market Rankings
Onslow Bay Securitizations | Market Rankings 1 Onslow Bay Financial (Annaly Capital Mgmt.) $13,864 19.3% 2 Invictus Capital Partners (Verus) $11,364 15.8% 3 Angel Oak $5,635 7.8% 4 Lone Star Funds $4,649 6.5% 5 PIMCO $4,548 6.3% 6 A&D Mortgage $4,178 5.8% 7 Hildene-Cross Country Mortgage $3,572 5.0%
Slide 11: Onslow Bay MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings 1 Lakeview/Bayview $732.6 8.1% 1 Lakeview/Bayview $732.6 8.08% 2 Mr Cooper $697.2 7.7% 2 Mr Cooper $697.2 7.69% 3 Pennymac $635.0 7.0% 3 Pennymac $635.0 7.00% 4 Freedom Mortgage $621.0 6.8% 4 Freedom Mortgage $621.0 6.85% 5 Chase $605.2 6.7% 5 NewRez/Shellp
Slide 12: Onslow Bay Correspondent Channel
3. Onslow Bay Correspondent Channel 12
Slide 13: Fully Scaled & Diversified Correspondent
Onslow Bay Financial | Fully Scaled & Diversified Correspondent ▪ 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 funded ~$13bn of predom
Slide 14: Strong Commitment to Non-Agency Lending
Onslow Bay Financial | Strong Commitment to Non-Agency Lending ▪ Annaly and its wholly-owned subsidiaries, including Onslow Bay, maintain a corporate headquarters in New York City while operating a scaled office focused on mortgage operations out of Dallas, Texas − ~200 total employees across Annaly
Slide 15: Counterparty Oversight
Onslow Bay Financial | Counterparty Oversight ▪ 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 Ba
Slide 16: Robust Asset Management
Onslow Bay Financial | Robust Asset 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 and An
Slide 17: Onslow Bay Strategy & Performance
4. Onslow Bay Strategy & Performance 17
Slide 18: Tighter Credit Standards
Onslow Bay Financial | Tighter Credit Standards ▪ 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 757 and 68% across
Slide 19: January 2025 Locked Pipeline
Onslow Bay Financial | January 2025 Locked Pipeline Expanded Prime 57.7% 7.589 756 69.78 69.82 15.3% 22.0% 47.5% 3.2% 7.8% 2.5% 0.0% DSCR 29.7% 7.777 752 63.59 63.59 100.0% 30.2% 23.7% 3.4% 9.5% 0.0% 0.0% Sharp 0.6% 8.199 741 70.58 70.58 27.7% 7.6% 46.6% 15.2% 20.8% 0.0% 0.0% Agency Inv./2nd 5.6% 7.
Slide 20: Performance
Onslow Bay Financial | Performance ▪ Serious delinquencies among OBX Non-QM loans continue to perform favorably to peers (Lowest delinquencies across the top 10 largest NQM issuers) − The OBX Non-QM shelf has the fourth lowest serious delinquencies (#4 out of 22 peers) when including all issuers wit
Slide 21: Delinquent Loan Performance
Onslow Bay | Delinquent Loan Performance ▪ Population of the pie chart includes all seasoned Onslow REO Liquidated With Loss 1% 0% Bay Loans that first went D60+ on or before 11/30/2023 D60+ 13% D30 ▪ Pie chart reflects the most recent status of those loans, as 3% of 11/20/2024 (12 months later) Liq
Slide 22: Appendix
ANNALY 5. Aopendix
Slide 23: Onslow Bay Investor Relations
A. Onslow Bay Investor Relations 23
Slide 24: LinkedIn
Onslow Bay Financial | LinkedIn 24
Slide 25: Contact Us
Onslow Bay Financial | Contact Us 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 progra
Slide 26: Annaly & Onslow Bay Corporate Responsibility
B. Annaly & Onslow Bay Corporate Responsibility 26
Slide 27: Corporate Responsibility Update
Corporate Responsibility Update 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
Slide 28: Deal Level ESG Disclosures
Onslow Bay Financial | Deal Level ESG Disclosures ▪ 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 recommend
Slide 29: Non-QM Issuance 2024 – YTD 2025
Onslow Bay Securitizations | Non-QM Issuance 2024 – YTD 2025 OBX 2025-NQM2 OBX 2025-NQM1 OBX 2024-NQM18 OBX 2024-NQM17 OBX 2024 -NQM16 OBX 2024 -NQM15 OBX 2024 -NQM14 OBX 2024 -NQM13 OBX 2024 -NQM12 OBX 2024 -NQM11 OBX 2024 -NQM10 Issue Date Feb-25 Jan-25 Dec-24 Nov-24 Oct-24 Oct-24 Sep-24 Sep-24 Au
Slide 30: Non-QM Issuance 2024 – YTD 2025
Onslow Bay Securitizations | Non-QM Issuance 2024 – YTD 2025 OBX 2024 -NQM9 OBX 2024 -NQM8 OBX 2024 -NQM7 OBX 2024 -NQM6 OBX 2024 -NQM5 Issue Date Jun-24 May-24 Apr-24 Apr-24 Apr-24 Mar-24 Feb-24 Jan-24 Jan-24 Sponsor Onslow Bay Financial LLC % of Collateral Sourced 0% 0% 0% 0% 0% 0% 0% 0% 0% from P
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