of unencumbered assets exemplifying focus on liquidity1
in interest rate hedges across swaps, swaptions and futures
Levered; conservatively positioned to provide optionality2
Annaly employs a more diversified and comprehensive hedging strategy than its Agency peers and operates at conservative leverage levels across all four business lines
|Swaps, Eurodollar Futures, Treasury Futures|
|Mortgage Servicing Rights|
|Expanded Asset Opportunity Set (i.e. DUS)|
4-5 Peers 3 Peers 2 Peers 1 Peer 0 Peers5
Annaly’s superior liquidity position provides it with a unique competitive advantage
Unencumbered Assets ($ billion)7
Source - Financial data per Company filings as of December 31, 2017. Market data per Bloomberg as of December 31, 2017.
“Unencumbered assets” are representative of Annaly’s excess liquidity and are defined as assets that have not been pledged or securitized (including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, Residential mortgage loans, MSRs, CRE debt investments, CRE debt and preferred equity held for investment and corporate debt).
6.6x leverage refers to economic leverage.
“Agency Peers” includes 5 largest Agency mREITs by market capitalization within the BBREMTG Index as of December 31, 2017.
Mortgage derivatives are mortgage options, interest-only and inverse interest-only securities.
Symbols indicate estimated extent of usage among Annaly and Agency Peers. Full circle credit given to Annaly for each hedging strategy that it currently utilizes.
“Agency Avg”, “Hybrid Avg”, and “CRE Avg Real Estate” include the average leverage of the 5 largest mREITs by market capitalization in their respective Agency, Hybrid and Commercial Real Estate sector within the BBREMTG Index as of December 31, 2017. “MML Avg” includes the average leverage of the 5 largest market cap companies in the S&P BDC Index as of December 31, 2017.
“Agency”, “Hybrid” and “CRE peers” represent the 5 largest mREITs by market capitalization in their respective Agency, Hybrid and Commercial Real Estate sector within the BBREMTG Index as of December 31, 2017, excluding Annaly.