Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2024 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Oct 23, 2024
Slide 1: Third Quarter 2024 Supplemental Information
Third Quarter 2024 Supplemental Information October 23, 2024
Slide 2: Important Notices
Important Notices 2 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 Third Quart
Slide 3: Financial Snapshot
Financial Snapshot 3 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended
Slide 4: Portfolio Data
Portfolio Data 4 Unaudited, dollars in thousands Portfolio-Related Data For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Agency mortgage-backed securities $69,150,399 $64,390,905 $63,542,230 $66,308,788 $66,591,536 Residential credit risk transfer securities 826,841 838,437
Slide 5: Financing and Capital Data
Financing and Capital Data 5 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Repurchase ag
Slide 6: Income Statement Data
Income Statement Data 6 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Total interest inc
Slide 7: Key Earnings Metrics
Key Earnings Metrics 7 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Dividends declared
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income* 8 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Interest income: Agen
Slide 9: GAAP Net Income to Earnings Available for Distribution Reconciliation
GAAP Net Income to Earnings Available for Distribution* Reconciliation 9 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics 10 Unaudited For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Book value per common share, beginning of period $19.25 $19.73 $19.44 $18.25 $20.73 Net income (loss) available (related) to common stockholders 0.05 (0.09) 0.85 (0.88)
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
Quarter-Over-Quarter Changes in Key Metrics (cont’d) 11 Unaudited * Represents a non-GAAP financial measure. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Prior quarter net interest margin (excluding PAA) * 1.58% 1.43% 1.58% 1.48% 1.66% Quarter-over-quarter changes in con
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity 12 Unaudited * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Prior quarter annu
Slide 13: Residential & Other Investments Overview as of September 30, 2024
Residential & Other Investments Overview as of September 30, 2024 13 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Agency Fixed-Rate Securities (Pools) (1) Original Weighted Avg. Years to Maturity Current Face Value % (3) Weighted
Slide 14: Residential & Other Investments Overview (cont'd)
Residential & Other Investments Overview as of September 30, 2024 (cont’d) 14 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rate Valuation Di
Slide 15: Residential Credit Securities Detail
Residential Credit Securities Detail as of September 30, 2024 15 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancem
Slide 16: Hedging & Liabilities
Hedging & Liabilities as of September 30, 2024 16 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $64,310,276 5.23% 5.50%
Slide 17: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2024 and June 30, 2024 The interest rate sensitivity reflects instantaneous parallel shifts in rates The MBS spread sensitivity s
Slide 18: Appendix
Appendix ANNALY |
Slide 19: Consolidated Statements of Financial Condition
Consolidated Statements of Financial Condition 19 Dollars in thousands, except per share data Detailed endnotes are included within the Appendix at the end of this presentation. 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash eq
Slide 20: Consolidated Statements of Comprehensive Income (Loss)
Consolidated Statements of Comprehensive Income (Loss) 20 Unaudited, dollars in thousands, except per share data For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Net interest income Interest income $ 1,229,341 $ 1,177,325 $ 1,094,488 $ 990,352 $ 1,001,485 Interest expense 1,
Slide 21: Income Statement Gains (Losses) Detail
Income Statement Gains (Losses) Detail 21 Unaudited, dollars in thousands For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Net gains (losses) on disposal of investments and other ($169,079) ($335,987) ($545,947) ($1,174,680) ($616,525) Net unrealized gains (losses) on instru
Slide 22: Non-GAAP Reconciliations
Non-GAAP Reconciliations 22 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 substitute for, or superior to, financial measures computed in accord
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 23 Economic leverage and economic capital ratios The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. Th
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 24 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Economic leverage ratio reconciliation Repurchase agreements $64,310,276 $60,787,994 $58,975,232 $62,201,543 $64,6
Slide 25: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 25 Unaudited, dollars in thousands For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Economic capital ratio reconciliation Total GAAP assets $101,515,995 $93,668,577 $91,483,546 $93,227,236 $89,648,423 Less: Gross unrealized gains on TBA deri
Slide 26: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 26 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Economic Metrics (excluding PAA) Average interest earning assets $95,379,071 $91,008,934 $89,738,726 $87,020,120 $
Slide 27: Endnotes
Endnotes 27 Page 3 (1) Net of dividends on preferred stock. (2) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 0.69% and (0.08%) for the q
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) 28 Page 12 (1) Includes other, net, general and administrative expenses and income taxes. (2) Includes other, net (excluding non-EAD items), MSR amortization (a component of net gains (losses) on investments and other), general and administrative expenses (excluding transaction rel
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