快速解套

Residential Credit

The Annaly Residential Credit Group invests in non-Agency residential mortgage assets, both in the securitized product and whole loan markets. The group is at the forefront of mortgage finance reform via investments in relatively new products such as government-sponsored enterprise (GSE) Credit Risk Transfer (CRT), New Origination Securities, as well as securities backed by non-performing and re-performing loans. We purchase high quality whole loans through a wholly-owned subsidiary, Onslow Bay Financial LLC, and completed nine securitizations totaling $3.6bn since the beginning of 2018, demonstrating our ability to diversify our funding sources for this strategy(1). Initiated on Annaly’s balance sheet at the beginning of 2015, the residential credit platform has grown to represent $1.5bn of Annaly’s equity as of December 31, 2019. Annaly’s residential credit investments complement the longer duration fixed-rate Agency mortgage-backed securities (MBS) portfolio, as these investments are primarily shorter duration or floating-rate assets.

Sector Type(2)(3)
Agency CRT 13% #7c91a6
Private Label CRT 1% #03abcd
RPL
5% #c6bbaa
Whole Loans 41% #4e6f99
Alt A 4% #00304c
Prime 22% #7ec1db
Subprime 9% #5d92b2
Prime Jumbo 5% #508092
Prime Jumbo IO <1% 1% #342576
Coupon Type(2)
Floating 23% #4e6f99
Fixed 50% #7c91a6
ARM 14% #00304c
IO 5% #c6bbaa
Fixed <2 yrs 8% #00316c
 
Effective Duration(2)
<2 yrs 44% #7c91a6
2-3 yrs 18% #7ec1db
3-4 yrs 13% #c6bbaa
4-5 yrs 11% #00304c
>5 yrs 14% #4e6f99

 

Note: Data as of December 31, 2019. Portfolio statistics and percentages are based on fair market value and reflect economic interest in securitizations. Prime Jumbo and Prime classifications include the economic interest of certain positions that are classified as Residential Mortgage Loans within our Consolidated Financial Statements. Percentages may not sum to 100% due to rounding.
1. Includes 3 residential whole loan securitizations totaling $1.1bn in 2018, 5 residential whole loan securitizations totaling $2.1 billion in 2019 and a $364.6mm residential whole loan securitization in January 2020.
2. Shown exclusive of securitized residential mortgage loans of a consolidated VIE and loans held by a master servicer in a MSR silo that is consolidated by the Company.
3. Prime classification includes $55.3mm of Prime IO.