Investor Presentaiton
MSR | Business Update
As the fourth largest MSR purchaser during the first half of 2022, Annaly continues to gain market share in the sector
Strategic Approach
MSR portfolio is complementary to Annaly's Agency MBS strategy
Offers attractive unlevered yield (1)
Provides a mechanism to hedge mortgage basis volatility, potential
slowdown in discount prepayment speeds, and policy risk
Annaly is well equipped to invest in MSR given strong Agency MBS
trading history, prepayment modeling expertise and prior experience
owning one of the largest non-bank MSR co-issue platforms
Complementary strategic partner to originators given certainty of capital
and business strategy
Portfolio consists of all Conventional MSR(2)
Top Conventional MSR Purchasers ($mm)(3)
Market Trends
MSR bulk volumes remained elevated during the quarter and the 2022
YTD total already exceeds that of full year 2021
The majority of MSR traded in bulk markets has been backed by
collateral originated 1-2 years ago that originators had previously
retained
Despite elevated supply, demand has remained strong with a diversified
buyer base including banks, REITs, non-bank mortgage companies and
private equity
MSR spreads widened modestly toward the end of the quarter, but
remained relatively stable compared to cheapening experienced in other
risk assets
Bulk Servicing Volume (4) vs. the Primary-Secondary Mortgage Spread ("PSS")
Onslow Bay was the fourth largest MSR purchaser during 1H 2022
$400
200
Rank Buyer
UPB ($mm)
180
1
JP Morgan
68,029
160
$300
2
Mr. Cooper
52,111
140
120
3
Freedom Mortgage Corp
46,766
$200
100
4
ONSLOW BAY FINANCIAL
41,277
$366
$373
5
Matrix (Two Harbors)
38,144
$317
80
60
6
Lakeview / Bayview Loan Servicing
25,376
$100
$199
$212
$194
7
Ocwen Oaktree
14,460
$149
40
20
8
PNC Bank
11,145
$0
0
10
Fifth Third
Quicken
9,074
2016
2017
2018
2019
2020
2021
2022 YTD
7,169
UPB ($bn) (lhs)
-
PSS (bps) (rhs)
Source: Company filings. Financial data as of June 30, 2022.
Detailed endnotes and a glossary of defined terms are included at the end of this presentation.
ANNALY
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