The Annaly Agency platform invests in agency Mortgage-Backed Securities (MBS) collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Representing approximately eighty percent of Annaly’s dedicated equity as of December 31, 2016, these investments allow Annaly to take advantage of the high liquidity of the government 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. 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.

Please click here to access Annaly’s Agency fact sheet.

Asset Type
30 Yr 65% #5d92b2
ARM 13% #7ec1db
15 Yr 14% #00304c
20 Yr 6% #4e6f99
IIO/IO/MSR 2% #7c91a6
Pass Through Coupon Type
3.5% 33% #5d92b2
4.0% 31% #7ec1db
>=4.5% 9% #7c91a6
<=3.0% 13% #c6bbaa
3.5% 4% #4e6f99
>=4.0% 3% #00304c
Call Protection
High Quality Spec 45% #00306c
Med Quality Spec 16% #7c91a6
30+ WALA 25% #4e6f99
Generic 14% #c6bbaa

Please click here to access Annaly Agency’s fact sheet.

Note: Data as of December 31, 2016. Percentages based on fair market value and may not sum to 100% due to rounding.
(1) Asset type is inclusive of TBA purchase contracts.
(2) “High Quality Spec” protection is defined as pools backed by original loan balances of up to $150K, higher LTV pools (CR/CQ), geographic concentrations (NY/PR). “Med Quality Spec” includes $175K loan balance, high LTV pools, FICO < 700. “30+ WALA” is defined as weighted average loan age greater than 30 years.

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