Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Investor Presentation (February 2023)
42 slides from Annaly Capital Management's investor presentation, Feb 17, 2023
Slide 1: Onslow Bay Financial LLC
Onslow Bay Financial LLC February 2023
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
Slide 3: Annaly Capital Management Overview
Annaly Capital Management Overview 3
Slide 4: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $80.6 billion(1) | Total Shareholders’ Equity: $11.3 billion Mortgage Residential Agency Servicing Credit Rights Invests in Agency MBS collateralized by Invests in Mortgage Servicing Rights, Invests in Non-Agency residential residential mortgages, which
Slide 5: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly Agency Portfolio: $72.9 billion in assets at the end of Q4 2022, a decrease of 7% compared to Q3 2022 Consistent with recent quarters, Annaly’s portfolio continued to shift modestly up in coupon, rotating out of both lower coupon TBA and specified pools in favor
Slide 6: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly’s MSR portfolio declined modestly in the fourth quarter, though it grew by over $1.1bn, or nearly 3x, in 2022 Annaly MSR Portfolio: $1.8 billion(1) in assets at the end of Q4 2022, a 6% decline compared to Q3 2022 and an increase of nearly threefold since year end 20
Slide 7: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.0 billion in assets at the end of Q4 2022, in line with Q3 2022 − Consists of a $4.0 billion securities portfolio and a $1.0 billion whole loan portfolio(1) Securities portfolio decreased 5% quarter-over-quarter as po
Slide 8: 2022 ESG Enhancements and Highlights
2022 ESG Enhancements and Highlights Annaly’s robust ESG commitments and initiatives continue to lead the industry, as evidenced by its latest achievements and recognition Environmental Social Governance TCFD >50% 40% 60% Provided additional climate-related of employees identify of Directors are wom
Slide 9: Onslow Bay Financial | Deal Level ESG Disclosures
Onslow Bay Financial | Deal Level ESG Disclosures OBX securitizations disclose ESG metrics as identified by the SASB Mortgage Finance Standard Deal-Level Disclosures Starting in 2022, Onslow Bay started providing ESG disclosures on its securitizations based upon guidance from the Sustainability Ac
Slide 10: Onslow Bay Financial | Contact Us
Onslow Bay Financial | Contact Us Onslow Bay Website 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 guid
Slide 11: Onslow Bay Financial LLC
Onslow Bay Financial LLC ANNALY
Slide 12: Annaly Residential Credit | Onslow Bay Financial
Annaly Residential Credit | Onslow Bay Financial Annaly purchases residential whole loans through Onslow Bay Financial LLC Annaly Residential Credit Portfolio: $5.0 billion in assets at the end of Q4 2022 − The composition consists of a $4.0 billion securities portfolio and a $1.0 billion whole lo
Slide 13: Onslow Bay Financial | Whole Loan Platform
Onslow Bay Financial | Whole Loan Platform Onslow Bay utilizes an experienced and talented asset management platform to improve performance Onslow Bay’s whole loan acquisition strategy and proactive portfolio management is guided by strong internal governance processes and credit discipline throug
Slide 14: Whole Loan Acquisition & Counterparty Oversight
Onslow Bay Financial | Whole Loan Acquisition & Counterparty Oversight Onslow Bay is an aggregator that purchases closed, funded residential whole loans through bulk and flow acquisitions Whole Loan Acquisitions Description Correspondent ("Best Efforts") Bulk and Mini-Bulk Partners Origination par
Slide 15: Onslow Bay Securitizations | Market Rankings
Onslow Bay Securitizations | Market Rankings Onslow Bay was the largest non-bank Prime Jumbo and Expanded Credit issuer over the last two years (2021-2022) Top Prime-Jumbo & Expanded-Credit Top Non-Bank Prime-Jumbo MBS Issuers ($mm)(1) & Expanded-Credit MBS Issuers ($mm)(1) Rank Issuer 2021–2022 Ran
Slide 16: Onslow Bay MSR Portfolio | Market Rankings
Onslow Bay MSR Portfolio | Market Rankings Onslow Bay was the 16th largest Agency MBS Servicer as of Q4 2022; 11th largest non-bank servicer Top Agency MBS Servicer($mm)(1) Top Non-Bank Agency MBS Servicer($mm)(1) Rank Servicer Q4 2022 Rank Issuer Q4 2022 1 WELLS FARGO $654,533.6 1 PENNYMAC CORP $53
Slide 17: Alignment of Interests With Bondholders | Annaly Retention Strategy
Alignment of Interests With Bondholders | Annaly Retention Strategy Annaly has retained significantly more OBX bonds than mandated by risk retention In aggregate, Annaly has traditionally retained >10% of the fair market value of OBX securitizations at issuance, more than 2x the mandated risk rete
Slide 18: OBX Deals Outstanding | Liquidity and Sponsorship
OBX Deals Outstanding | Liquidity and Sponsorship Programmatic issuance and deep investor base The Onslow Bay shelf (OBX) has over $9bn of current outstanding collateral balance in the Non-Agency market − 3rd largest Prime Jumbo and Non-QM issuer as of the year ended 2022 Programmatic securitiza
Slide 19: Onslow Bay Financial | Org. Chart
Onslow Bay Financial | Org. Chart (Significant Resources Dedicated to Whole Loan/MSR Business) Pre and Post Settlement Sub-Servicing Oversight Capital Markets Business Development Mortgage Operations Deputy Chief Investment Deputy Chief Investment Officer Deputy Chief Investment Officer Head of MSR
Slide 20: Onslow Bay ("OBX") Performance
Onslow Bay (“OBX”) Performance 20
Slide 21: Onslow Bay Guidelines | Restriction of Credit
Onslow Bay Guidelines | Restriction of Credit Onslow Bay’s credit box became more restrictive in 2022. Over 17% of 1H 2022 Correspondent Locks are no longer eligible under current guides 2022 Guideline Tightening Percent 1H Locks that are Eligible Based on Current Guidelines(1) Onslow Bay credit r
Slide 22: Expanded Credit Performance | Delinquency Performance
Expanded Credit Performance | Delinquency Performance Onslow Bay’s credit quality & loan management optimize performance Lower D60+ Delinquency Rate Compared to the Non-QM/Expanded Onslow Bay’s Active Management Strategy is a Key Differentiator Market (% of Original UPB) 1.60% 1.50% 16% 1.47% 1.39%
Slide 23: Expanded Credit Performance | Layered Credit Risks
Expanded Credit Performance | Layered Credit Risks Annaly is highly focused on reducing layered risk with borrower equity ~50% of Annaly’s Non-QM/EXP collateral has an Original CLTV less than 70% and only 13% had an Original CLTV greater than 80% OBX securitizations maintain more equity and have
Slide 24: Onslow Bay Securitization Program
Onslow Bay Securitization Program 24
Slide 25: Onslow Bay Securitizations | Program Comparison
Onslow Bay Securitizations | Program Comparison Onslow Bay securitizes under three separate collateral structures: Non-QM, Agency Investor and Prime Jumbo Onslow is a programmatic issuer of Non-QM/Expanded Prime Securities while also being opportunistic in the Agency Eligible Investor market Ons
Slide 26: Onslow Bay Securitizations | Expanded Prime / Non-QM
Onslow Bay Securitizations | Expanded Prime / Non-QM 2 OBX 2023-NQM1 OBX 2022-NQM9 OBX 2022-NQM8 OBX 2022-NQM7 OBX 2022-NQM6 OBX 2022-NQM5 OBX 2022-NQM4 OBX 2022-NQM3 OBX 2022-NQM2 OBX 2022-NQM1 Issue Date Jan-23 Dec-22 Sep-22 Aug-22 Jun-22 Jun-22 May-22 Mar-22 Feb-22 Jan-22 Expanded Prime/ Expanded
Slide 27: Onslow Bay Securitizations | Expanded Prime / Non-QM
Onslow Bay Securitizations | Expanded Prime / Non-QM OBX 2021-NQM4 OBX 2021-NQM3 OBX 2021-NQM2 OBX 2021-NQM1 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 Nov-21 Aug-21 Jun-21 Mar-21 Sep-20 Jul-20 Feb-20 Oct-19 Jul-19 Apr-1
Slide 28: Securitizations | Prime Jumbo, Agency Investor & Other
Onslow Bay Securitizations | Prime Jumbo, Agency Investor & Other OBX 2023-J1 OBX 2022-INV5 OBX 2022-J2 OBX 2022-INV4 OBX 2022-J1 OBX 2022-INV3 OBX 2022-INV2 OBX 2022-INV1 OBX 2021-INV3 OBX 2021-INV2 OBX 2021-J3 OBX 2021-INV1 OBX 2021-J2 Issue Date Feb-23 Nov-22 Jul-22 May-22 May-22 Mar-22 Feb-22 Ja
Slide 29: Onslow Bay Acquisitions: Correspondent Channel
Onslow Bay Acquisitions: Correspondent Channel 29
Slide 30: Onslow Bay Correspondent | Program Comparison
Onslow Bay Correspondent | Program Comparison Loans purchased through the correspondent channel are underwritten to the Onslow Bay guidelines summarized below Onslow Bay Correspondent Seller Program Summary Description Expanded Prime Plus Sharp (A+ and A-) DSCR Plus Agency Eligible Min Loan Amt 150k
Slide 31: Correspondent | Expanded Prime Plus Matrix
Onslow Bay Correspondent | Expanded Prime Plus Matrix Onslow Bay’s Expanded Prime Plus Correspondent Program targets high credit borrowers who fall just outside of traditional Prime Jumbo underwrites or qualify with Alternative Documentation Purchase & Rate / Term Refinance Cash Out Refinance FICO &
Slide 32: Correspondent | Sharp Matrix
Onslow Bay Correspondent | Sharp Matrix Onslow Bay’s Sharp Correspondent Program (Credit Grades A+ & A-) is tailored for borrowers qualifying with lower reserves, / FICO scores or more recent derogatory housing events or delinquencies Sharp A+ Sharp A- Purchase & Rate / Term Purchase & Rate / Term C
Slide 33: Correspondent | DSCR Plus Matrix
Onslow Bay Correspondent | DSCR Plus Matrix Onslow Bay DSCR Plus Correspondent Program is designed for professional real estate investors utilizing property cashflow to qualify FICO & DSCR >= 1.00 DSCR >= 0.75 No Ratio DSCR LTV / CLTV Grids FICO Loan Size Purchase Rate / Term Refi Cash Out Purchase
Slide 34: Correspondent | Agency & Non-Agency Investor Matrices
Onslow Bay Correspondent | Agency & Non-Agency Investor Matrices Onslow Bay Agency & Non-Agency Investor Program targets Conforming loans, Agency Jumbo loans and loans exceeding the Agency Limit Agency Investor Program Matrix (Conforming Balance & Agency Jumbo) Purpose Property Type Minimum Loan Amo
Slide 35: Correspondent | Agency & Non-Agency 2nd Home Matrices
Onslow Bay Correspondent | Agency & Non-Agency 2nd Home Matrices Onslow Bay Agency & Non-Agency Investor Program targets Conforming loans, Agency Jumbo loans and loans exceeding the Agency Limit Non-Agency 2nd Home Program Matrix (Conforming Balance & Agency Jumbo) Purpose Property Type Minimum Loan
Slide 36: Onslow Bay Acquisitions: Bulk Purchases
Onslow Bay Acquisitions: Bulk Purchases
Slide 37: Bulk Purchases | Seller Program Comparison
Onslow Bay Bulk Purchases | Seller Program Comparison Loans purchased in bulk are typically underwritten to the sellers underwriting guidelines. The comparison below is meant to represent the target credit profile of Onslow Bay’s bulk purchases. Seller Program Summary Description Expanded Prime Non-
Slide 38: Bulk Purchases | Expanded Prime Matrix
Onslow Bay Bulk Purchases | Expanded Prime Matrix Expanded Prime loans purchased in bulk generally allows for loans with up to 5% higher LTV than those acquired through Onslow Bay’s Expanded Prime Plus Program, up to a maximum LTV of 90% Purchase & Rate / Term Refinance Cash Out Refinance FICO & LTV
Slide 39: Bulk Purchases | Non-QM Matrix
Onslow Bay Bulk Purchases | Non-QM Matrix Non-QM purchased in bulk (Credit Grades A+ & A-) generally allows for loans with up to 5% higher LTV than those acquired through Onslow Bay’s Sharp Correspondent Program, up to a maximum LTV of 90% Non-QM A+ Non-QM A- Purchase & Rate / Term Purchase & Rate /
Slide 40: Bulk Purchases | DSCR Matrix
Onslow Bay Bulk Purchases | DSCR Matrix DSCR loans purchased in bulk generally allow for loans with up to 5% higher LTV than those acquired through the Onslow Bay DSCR Plus Program, up to a maximum LTV of 85% FICO & DSCR >= 1.00 DSCR >= 0.75 No Ratio DSCR LTV / CLTV Grids FICO Loan Size Purchase Rat
Slide 41: Bulk Purchases | Agency & Non-Agency Investor Matrices
Onslow Bay Bulk Purchases | Agency & Non-Agency Investor Matrices Agency & Non-Agency Investor loans purchased in bulk adhere to the same guidelines as the Correspondent program Agency Investor Program Matrix (Conforming Balance & Agency Jumbo) Purpose Property Type Minimum Loan Amount Maximum Loan
Slide 42: Correspondent | Agency & Non-Agency 2nd Home Matrices
Onslow Bay Correspondent | Agency & Non-Agency 2nd Home Matrices Onslow Bay Agency & Non-Agency Investor Program targets Conforming loans, Agency Jumbo loans and loans exceeding the Agency Limit Non-Agency 2nd Home Program Matrix (Conforming Balance & Agency Jumbo) Purpose Property Type Minimum Loan
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