4

Investment groups operating in cyclical and countercyclical markets with complementary cash flows

 

36

Available investment options is nearly 3x more than in 2013

 

24%

of capital dedicated to credit assets at the end of 2017, an increase from 11% in 2014

Annaly’s shared capital model acts as an inherent risk mitigant and consists of the following four business lines:

Annaly has expanded its breadth of investment alternatives, allowing for seamless rotations based on relative value

Number of Available Investment Options5

Source - Financial data per Company filings as of December 31, 2017. Market data per Bloomberg as of December 31, 2017.

  1. Agency assets include to be announced (“TBA”) purchase contracts (market value) and MSRs. Residential Credit and Commercial Real Estate assets include only the economic interest of consolidated variable interest entities (“VIEs”).

  2. Dedicated capital includes TBA purchase contracts, excludes non-portfolio related activity and varies from total stockholders’ equity.

  3. Sector rank compares Annaly dedicated capital in each of its four investment groups as of December 31, 2017 (adjusted for price to book ratios, as of December 31, 2017) to the market capitalization of the companies in each respective comparative sector within the BBREMTG Index as of December 31, 2017. Comparative sectors used for Agency, Residential Credit and Commercial Real Estate are their respective sectors within the BBREMTG Index. The comparative sector used for the Middle Market Lending ranking is the S&P BDC Index.

  4. Levered return assumptions are for illustrative purposes only and attempt to represent current market asset returns and financing terms for prospective investments of the same, or a substantially similar, nature in each respective business.

  5. Investment options are as of December 31 for each respective year.