Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2023 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Jul 27, 2023
Slide 1: Second Quarter 2023 Investor Presentation
Second Quarter 2023 Investor Presentation July 26, 2023
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), an internally-managed, publicly traded company that has elected to be taxed as a real estate investment trust for federal income tax purposes, and is being furnished in connection with Annaly’s Second Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly generated a strong economic return in the second quarter despite continued volatility in the market Earnings available for distribution* of $0.72 per average common share for the quarter, down $0.09 from the prior quarter Financial Book value
Slide 4: Second Quarter 2023 Financial Highlights
Second Quarter 2023 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available GAAP for Distribution* $0.65 1.76% 1.66% Earnings & Book Value $0.27 | $0.72 Book Value per Share Dividend Yield(1) $20.73 13.0% Q1 2023 Q2 2023 Total Portfolio(2) Capital
Slide 5: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $78.9 billion(1) | Total Shareholders’ Equity: $11.8 billion Mortgage Residential Agency Servicing Credit Rights Invests in Agency MBS collateralized by Invests in Mortgage Servicing Rights, Invests in Non-Agency residential residential mortgages, which
Slide 6: Market Environment & Annaly Positioning
Market Environment & Annaly Positioning
Slide 7: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The U.S. economy is demonstrating resilience while inflation is slowing, raising the likelihood of a “higher for longer” interest rate environment Interest rate volatility remains meaningfully elevated as markets are unsure as to where the Fed Q2 2023 Market and Ec
Slide 8: Strategic Update | Correspondent Channel Enhances Market Leadership
Strategic Update | Correspondent Channel Enhances Market Leadership Annaly’s correspondent channel has seen record volume year-to-date, driving whole loan purchase activity and securitization issuance, while maintaining the conservative credit profile of the whole loan portfolio Summary Cumulative L
Slide 9: Corporate Responsibility Update | Annaly Publishes Fourth ESG Report
Corporate Responsibility Update | Annaly Publishes Fourth ESG Report Annaly’s 2022 ESG Report highlights its continued focus on developing and executing on its ESG strategy 775,000+ American homes financed(1) “ In 2022, Annaly celebrated its 25th anniversary as a public company, representing twenty-
Slide 10: Business Update
Business Update ANNALY Zz
Slide 11: Agency | Business Update
Agency | Business Update Annaly reduced its Agency MBS portfolio early in the second quarter, predominantly through reductions to its TBA position, to proactively manage leverage ahead of expected volatility Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high quality and
Slide 12: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $71.4 billion in assets at the end of Q2 2023, a decrease of 8% compared to Q1 2023 − Proactively managed leverage to prepare for the impact of elevated supply and a continuation of volatility, including faster than expected FDIC sales and debt
Slide 13: MSR | Business Update
MSR | Business Update Annaly continues to pursue opportunities in the MSR market to grow the business while achieving attractive returns Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strategy by offering MSR trading volumes remained robust in the second quarter a
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly was active in the bulk market during the second quarter, growing its MSR portfolio by $352 million to $2.2 billion Annaly MSR Portfolio: $2.2 billion(1) in assets at the end of Q2 2023, a 19% increase compared to Q1 2023 − Purchased approximately $300 million(2) of M
Slide 15: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group expanded its market leadership through strong performance from its correspondent channel and programmatic securitization issuance, while preserving the strong credit profile of the portfolio Strategic Approach Market and Credit Tre
Slide 16: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $4.9 billion in assets at the end of Q2 2023, down 6% from Q1 2023 − Consists of a $4.2 billion securities portfolio and a $0.7 billion whole loan portfolio(1) Securities portfolio was flat on the quarter; activity was d
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends
Slide 18: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 6/30/2023 3/31/2023 12/31/2022 9/30/2022 6/30/2022 (1) GAAP net income (loss) per average common share $0.27 ($1.79) ($1.96) ($0.70) $2.21 (1) Earnings available for distribution per average common share* $0.72 $0.81 $0.89 $1.06 $1.22
Slide 19: Financial Highlights and Trends (cont’d)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2023 3/31/2023 12/31/2022 9/30/2022 6/30/2022 Agency mortgage-backed securities $67,764,264 $65,623,534 $62,274,895 $63,037,241 $55,593,336 Residential credit risk transfer securities 1,064,401 1,08
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations Earnings Available for Distribution (“EAD”), a non-GAAP measure, is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amort
Slide 22: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands, except per share amounts) To supplement its consolidated financial statements, which are prepared and presented in accordance with GAAP, the Company provides non-GAAP financial measures. These measures should not be considered a subs
Slide 23: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2023 3/31/2023 12/31/2022 9/30/2022 6/30/2022 Premium Amortization Reconciliation Premium amortization expense $33,105 $56,534 $38,829 $39,406 ($4,869) Less: PAA cost (benefit) (11,923) 491 (8,136) (45,414
Slide 24: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2023 3/31/2023 12/31/2022 9/30/2022 6/30/2022 Economic leverage ratio reconciliation Repurchase agreements $61,637,600 $60,993,018 $59,512,597 $54,160,731 $51,364,097 Other secured financing 500,000 250,00
Slide 25: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 26: Glossary
Glossary ARC: Refers to Annaly Residential Credit Group Non-QM: Refers to a Non-Qualified Mortgage CRT: Refers to Credit Risk Transfer Securities OBX: Refers to Onslow Bay Securities DEI: Refers to Diversity, Equity & Inclusion SASB: Refers to the Sustainability Accounting Standards Board EAD: Refer
Slide 27: Endnotes
Endnotes Page 3 Page 8 1. Issuer ranking data from Inside Nonconforming Markets for 2022 through Q2 2023. 1. Issuer ranking data from Inside Nonconforming Markets for 2022 through Q2 2023. 2. Includes a $401mm whole loan securitization that priced in July 2023. 2. Based on Wall Street Research as of
Slide 28: Endnotes (cont’d)
Endnotes (cont’d) Page 18 1. Net of dividends on preferred stock. Non-GAAP Reconciliations 2. Net interest margin represents interest income less interest expense divided by average interest earning Page 22 assets. Net interest margin (excluding PAA) represents the sum of the Company's interest inco
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