Residential Credit

The Annaly residential credit platform invests in non-agency residential mortgage assets, both in the securitized product and whole loan markets. The platform is at the forefront of mortgage finance reform via investments in specific products such as GSE Credit Risk Transfer, Jumbo 2.0 Securities, securities in Non-Performing Loans, and Re-Performing Loans, and Whole Loans. We purchase 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 approximately $0.9bn as of December 31, 2016. Annaly’s residential credit investments complement the longer duration fixed-rate agency MBS portfolio as these investments are primarily shorter duration or floating-rate assets in comparison.

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

Sector Type
CRT 30% #7c91a6
NPL 8% #c6bbaa
Whole Loans 7% #4e6f99
Alt-A 6% #00304c
Prime 10% #7ec1db
Subprime 25% #5d92b2
Jumbo 2.0 10% #508092
Interest Only 1% #342576
RPL 3% #027ba0
Coupon Type
Floating 54% #4e6f99
Fixed 30% #7c91a6
ARM 16% #00304c
IO 1% #c6bbaa
Effective Duration
<2 67% #7c91a6
2-3 yrs 17% #7ec1db
3-4 yrs 8% #c6bbaa
4-5 yrs 4% #00304c
>5 yrs 5% #4e6f99

Please click here to access Annaly Residential Credit’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.

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