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, Jumbo 2.0 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. We also participate in the legacy residential credit market.  Initiated on Annaly’s balance sheet at the beginning of 2015, the residential credit platform has grown to represent $1.1bn of Annaly’s equity dedicated to credit as of March 31, 2017. 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.

Please click here to access Annaly’s Residential Credit fact sheet.

Sector Type
Agency CRT 23% #7c91a6
Private Label CRT 2% #03abcd
NPL 5% #c6bbaa
Whole Loans 19% #4e6f99
Alt-A 7% #00304c
Prime 7% #7ec1db
Subprime 25% #5d92b2
Jumbo 2.0 9% #508092
Jumbo 2.0 IO 1% #342576
RPL 2% #027ba0
Coupon Type
Floating 48% #4e6f99
Fixed 27% #7c91a6
ARM 24% #00304c
IO 1% #c6bbaa
Effective Duration
<2 yrs 62% #7c91a6
2-3 yrs 21% #7ec1db
3-4 yrs 9% #c6bbaa
4-5 yrs 4% #00304c
>5 yrs 4% #4e6f99

Please click here to access Annaly Residential Credit’s fact sheet.

Note: Data as of March 31, 2017. Percentages based on fair market value and reflect economic interest in securitizations. Jumbo 2.0 includes 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.

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