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Agency

The Annaly Agency Group invests in Agency mortgage-backed securities (MBS) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Representing approximately 75% of Annaly’s dedicated equity as of June 30, 2020, these investments allow Annaly to take advantage of the high liquidity in the Agency MBS market and relative yields generating attractive risk-adjusted returns. We hedge the interest rate risk in these securities with an array of products including interest rate swaps, futures and mortgage servicing rights (MSRs). As the second most liquid fixed income market in the world, the Agency MBS market offers a wide breadth of investment types and has access to robust financing markets due to its liquidity and government sponsorship.

Asset Type(1)
30 Yr 90% #5d92b2
ARM/HECM 1% #7ec1db
15 Yr 4% #00304c
20 Yr 3% #4e6f99
IIO/IO/CMO/MSR
1% #7c91a6
DUS
1% #5d92b2
Pass Through Coupon Type(2)
30 Yr + 3.5% 21% #5d92b2
30 Yr + 4.0% 24% #7ec1db
30 Yr + >=4.5% 21% #7c91a6
30 Yr + 3.0% 8% #03abcd
30 Yr + <=2.5% 18%   
15 and 20 Yr <=2.5% 4%   
15 and 20 Yr 3.0% 2% #c6bbaa
15 and 20 Yr 3.5% 1% #4e6f99
15 and 20 Yr >=4.0% 1% #00304c
Portfolio Quality(3)
High Quality Spec 43% #00306c
Med Quality Spec 39% #7c91a6
40+ WALA 14% #4e6f99
Generic 4% #c6bbaa

 

Note: Data as of June 30, 2020. Percentages based on fair market value and may not sum to 100% due to rounding.
1. Includes TBA purchase contracts and MSRs.
2. Includes TBA purchase contracts and fixed-rate pass-through certificates.
3. Includes fixed-rate pass-through certificates only. “High Quality Spec” protection is defined as pools backed by original loan balances of up to $125k, highest LTV pools (CR>125% LTV), geographic concentrations (NY/PR). “Med Quality Spec” includes $200k loan balance, $175k loan balance, $150k loan balance, high LTV (CQ 105-125% LTV), and 40-year pools. “40+ WALA” is defined as weighted average loan age greater than 40 months and treated as seasoned collateral.