Attached files
| file | filename |
|---|---|
| 8-K - 8-K - ANNALY CAPITAL MANAGEMENT INC | residentialcreditsupplemen.htm |
Supplemental Disclosure
Annaly Capital Management, Inc. (“Annaly”) purchases whole loans through Onslow Bay Financial LLC (“Onslow Bay”), a wholly owned subsidiary. Onslow Bay’s whole loan portfolio has grown to approximately $1.3 billion including both settled and pipeline loans.
Settled + Whole Loan Pipeline Loans (1) | |||
As of: | (dollars in millions) | ||
June 30, 2018 | $ | 1,288 | |
March 31, 2018 | 1,089 | ||
December 31, 2017 | 1,021 | ||
September 30, 2017 | 801 | ||
June 30, 2017 | 614 | ||
March 31, 2017 | 563 | ||
December 31, 2016 | 272 | ||
(1) Excludes consolidated securitizations. | |||
The following table summarizes the three securitizations Onslow Bay has completed.
OBX 2015-1 | OBX 2018-1 | OBX 2018-EXP1 | |
Issue Date | December 2015 | March 2018 | August 2018 |
Collateral Type | Prime Jumbo | Seasoned Prime ARMs | Expanded Prime |
Source of Collateral | Prime Jumbo | Collapse of 2 Legacy Deals + Seasoned Whole Loan Purchases | Whole Loan Purchases |
Rating Agencies | S&P / DBRS | Fitch / DBRS | Fitch / KBRA |
Sponsor | Onslow Bay Financial LLC | Onslow Bay Financial LLC | Onslow Bay Financial LLC |
R&W Framework | D120 Automatic Review | Delinquency Trigger Review | Delinquency Trigger Review |
Risk Retention | Pre Risk Retention | Vertical | Horizontal |
Original Attachment to "AAA" | 8.55% | 8.80% | 12.65% |
Closing Pool Balance | $231,181,631 | $326,553,472 | $383,451,234 |
Pool Factor (7/25 Remittance) | 0.43 | 0.90 | 1.00 |
Average Loan Size | $767,014 | $354,949 | $664,560 |
Number of Loans | 307 | 920 | 577 |
WA Gross Coupon (%) | 3.39 | 4.32 | 4.87 |
WA Orig CLTV | 69 | 42(1) | 67 |
WA Original FICO | 768 | 749 | 751 |
WA DTI | 33 | N/A | 35 |
ARM % | 100% | 98% | 50% |
IO% | —% | 4% | 6% |
Full Doc % | 100% | N/A | 68% |
WA Margin | 2.25% | 2.88% | 3.12% |
WALA | 8 | 124 | 17 |
Top State | CA 49% | CA 43% | CA 64% |
Prime Jumbo | 100% | —% | 16.40% |
Expanded Prime | —% | —% | 64.50% |
Agency/AUS Investor | —% | —% | 15.60% |
DSCR Investor | —% | 11.80% | 3.50% |
Seasoned Loans | —% | 82.20%(2) | —% |
3M VPR(3) | 17.90% | 25.20% | N/A |
6M VPR(3) | 14.20% | N/A | N/A |
12M VPR(3) | 19.30% | N/A | N/A |
60+ Delinquencies(3) | —% | .74%(4) | N/A |
Cumulative Losses(3) | —% | —% | —% |
(1) Represents updated CLTV. | |||
(2) Seasoned collateral consists of loans >24 WALA not underwritten to a DSCR. | |||
(3) VPRs, 60+ Delinquencies and Cumulative Losses as of the August 2018 remittance report. | |||
(4) 60+ delinquencies of loans sourced out of the Onslow Bay portfolio (excluding loans from collapse of legacy securitizations) are .13%. | |||
The table below reflects the performance of Onslow Bay’s OBX 2015-1 and OBX 2018-1 securitizations.
OBX 2015-1 Performance | OBX 2018-1 Performance(1) | ||||||||||||
Collateral Factor | 3M VPR | Super Senior Credit Enhancement | D60+ (% of Curr., MBA) | Cumulative Loss (0.0%) | Collateral Factor | 3M VPR | Super Senior Credit Enhancement | D60+ (% of Curr., MBA) | D60+ (Wells Serviced) | D60+ (SLS Serviced) | Cumulative Loss (0.0%) | ||
8/25/2018 | 0.48 | 17.90 | 24.48 | — | — | 0.88 | 25.20 | 11.25 | 0.74 | 0.57 | 0.17 | — | |
7/25/2018 | 0.50 | 9.95 | 24.48 | — | — | 0.90 | 25.32 | 11.06 | 1.01 | 0.84 | 0.17 | — | |
6/25/2018 | 0.51 | 13.00 | 24.09 | — | — | 0.93 | 22.52 | 10.77 | 0.43 | 0.43 | — | — | |
5/25/2018 | 0.51 | 10.25 | 23.80 | — | — | 0.95 | 21.99 | 10.56 | 0.42 | 0.42 | — | — | |
4/25/2018 | 0.52 | 17.36 | 23.80 | — | — | 0.98 | 22.12 | 10.37 | 0.13 | 0.13 | — | — | |
3/25/2018 | 0.53 | 17.07 | 22.96 | — | — | 1.00 | — | 10.00 | — | — | — | — | |
2/25/2018 | 0.53 | 18.71 | 22.65 | — | — | ||||||||
1/25/2018 | 0.54 | 20.00 | 22.18 | — | — | ||||||||
12/25/2017 | 0.56 | 21.48 | 21.87 | — | — | ||||||||
11/25/2017 | 0.56 | 29.31 | 21.81 | — | — | ||||||||
10/25/2017 | 0.58 | 28.73 | 21.14 | 1.20 | — | ||||||||
9/25/2017 | 0.59 | 24.05 | 20.82 | — | — | ||||||||
8/25/2017 | 0.62 | 16.15 | 20.23 | — | — | ||||||||
7/25/2017 | 0.63 | 12.14 | 19.90 | — | — | ||||||||
6/25/2017 | 0.64 | 12.06 | 19.72 | — | — | ||||||||
5/25/2017 | 0.65 | 11.73 | 19.69 | — | — | ||||||||
4/25/2017 | 0.66 | 11.03 | 19.61 | — | — | ||||||||
3/25/2017 | 0.66 | 22.35 | 19.29 | — | — | ||||||||
2/25/2017 | 0.67 | 26.31 | 19.23 | — | — | ||||||||
1/25/2017 | 0.68 | 28.81 | 18.76 | — | — | ||||||||
12/25/2016 | 0.71 | 21.43 | 18.53 | — | — | ||||||||
11/25/2016 | 0.73 | 22.12 | 18.35 | — | — | ||||||||
10/25/2016 | 0.75 | 26.25 | 17.99 | — | — | ||||||||
9/25/2016 | 0.76 | 28.83 | 17.97 | — | — | ||||||||
8/25/2016 | 0.78 | 27.55 | 17.38 | — | — | ||||||||
7/25/2016 | 0.81 | 28.22 | 17.12 | — | — | ||||||||
6/25/2016 | 0.83 | 30.31 | 16.92 | — | — | ||||||||
5/25/2016 | 0.85 | 31.81 | 16.57 | — | — | ||||||||
4/25/2016 | 0.88 | 27.72 | 16.13 | — | — | ||||||||
3/25/2016 | 0.92 | 19.58 | 15.72 | — | — | ||||||||
2/25/2016 | 0.94 | 19.43 | 15.43 | — | — | ||||||||
1/25/2016 | 0.96 | 17.93 | 15.24 | — | — | ||||||||
12/25/2015 | 0.97 | 27.29 | 15.17 | — | — | ||||||||
11/1/2015 | 1.00 | — | 15.00 | — | — | ||||||||
Note: As of August 2018 Remittance Period. | |||||||||||||
(1) OBX 2018-1 D60+ (Wells Serviced) are loans obtained through the collapse of BSARM 05-5 and BSARM 05-2. OBX 2018-1 D60+ (SLS Serviced) are Onslow Bay purchased loans that were not previously securitized. | |||||||||||||
The following table summarizes Onslow Bay’s whole loan portfolio performance as of June 30, 2018.
Loan Status - MBA Method(1) | |||||||||||
Product | Acquisition Year | Paid Down | Current | 30 DQ | 60 DQ | 90 DQ+ | FC | REO | Mod %(2) | Liquidations $ | Losses to Date $ |
Agency Eligible | 2017 | 10.30% | 89.00% | —% | 0.70% | —% | —% | —% | —% | —% | —% |
2018 | 1.60% | 98.40% | —% | —% | —% | —% | —% | —% | —% | —% | |
Jumbo Prime | 2015 | 37.50% | 62.30% | 0.20% | —% | —% | —% | —% | —% | —% | —% |
2016 | 29.80% | 70.20% | —% | —% | —% | —% | —% | —% | —% | —% | |
2017 | 25.00% | 74.20% | 0.60% | —% | 0.20% | —% | —% | —% | —% | —% | |
2018 | No Acquisitions | ||||||||||
Expanded Prime | 2016 | 49.60% | 49.20% | 1.20% | —% | —% | —% | —% | —% | —% | —% |
2017 | 26.90% | 71.50% | 1.20% | 0.20% | 0.20% | —% | —% | —% | —% | —% | |
2018 | 4.60% | 94.30% | 1.10% | —% | —% | —% | —% | —% | —% | —% | |
Portfolio Description | GWAC | 1M VPR | 3M VPR | 6M VPR | 12M VPR | Lifetime VPR | |||||
Agency Eligible | 4.70 | 9.11 | 14.07 | 14.34 | 13.78 | 13.78 | |||||
DSCR Investor | 5.48 | 47.43 | 28.43 | 19.18 | 16.05 | 16.05 | |||||
Expanded Prime | 5.02 | 21.84 | 22.72 | 24.41 | 24.74 | 26.75 | |||||
Prime Jumbo | 3.68 | 2.62 | 9.03 | 14.08 | 14.41 | 16.65 | |||||
Note: As of June 30 2018, Onslow Bay has purchased approximately $1.7 billion of residential whole loans since the third quarter of 2016, following Annaly's acquisition of Hatteras Financial Corp. in the third quarter of 2016. | |||||||||||
(1) Transition Matrix reflects performance as of June 30, 2018. Transition Matrix does not include whole loans purchased through “Legacy” call rights. | |||||||||||
(2) Excludes temporary modifications due to natural disasters. | |||||||||||