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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 has invested across the securitized products landscape including securities backed by non-performing and re-performing loans (NPL, RPL), new origination securities, legacy securities and (GSE) Credit Risk Transfer (CRT). Under the group’s whole loan strategy, we purchase high quality whole loans through a wholly-owned subsidiary, Onslow Bay Financial LLC, and finance those loans through securitization, eventually distributing portions of the whole loan risk into the secondary market.  We have completed eleven securitizations totaling approximately $4.5bn 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 represents 9% of Annaly’s equity as of June 30, 2020.
Sector Type(2)(3)
Agency CRT 13% #7c91a6
Private Label CRT 1% #03abcd
RPL
7% #c6bbaa
Whole Loans 42% #4e6f99
Alt A 3% #00304c
Prime 27% #7ec1db
Subprime 5% #5d92b2
Prime Jumbo 2% #508092
Prime Jumbo IO <1% 1% #342576
Coupon Type(2)
Floating 20% #4e6f99
Fixed 57% #7c91a6
ARM 14% #00304c
IO 3% #c6bbaa
Fixed <2 yrs 6% #00316c
 
Effective Duration(2)
<2 yrs 35% #7c91a6
2-3 yrs 12% #7ec1db
3-4 yrs 18% #c6bbaa
4-5 yrs 12% #00304c
>5 yrs 23% #4e6f99

 

Note: Data as of June 30, 2020, unless otherwise noted. 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 three residential whole loan securitizations totaling $1.1bn in 2018, five residential whole loan securitizations totaling $2.1bn in 2019 and three residential whole loan securitizations totaling approximately $1.3bn in 2020 (including the July 2020 securitization).
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 $68.2mm of Prime IO.