Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2019 Earnings Presentation
26 slides from Annaly Capital Management's earnings presentation, May 1, 2019
Slide 1: First Quarter 2019 Financial Summary
First Quarter 2019 Financial Summary May 1, 2019
Slide 2: Safe Harbor Notice
Safe Harbor Notice This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by referen
Slide 3: Financial Snapshot
Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 GAAP net income per average common share (1) ($0.63) ($1.74) Core earnings (excluding PAA) per average common share *(1) $0.29 $0.29 Core earnings per average common share *(1) $0.
Slide 4: Portfolio Data
Portfolio Data Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Agency mortgage-backed securities $103,093,526 $90,752,995 $89,290,128 $86,593,058 $88,579,097 Credit risk transfer securities 607,945 552,097 688,521 563,796 628,942 Non-agency m
Slide 5: Financing and Capital Data
Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Repurchase agreements $88,554,170 $81,115,874 $79,073,026 $75,760,655 $78,015,431 Other secured financing 4,144,623 4,183,311 4,108,547 3,760,
Slide 6: Income Statement Data
Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Total interest income $866,186 $859,674 $816,596 $776,806 $879,487 Total interest expense 647,695 586,774 500,973 442,692 367,421 Net interest inco
Slide 7: Key Earnings Metrics
Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared $467,121 $426,816 $397,163 $380,677
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Interest income: Residential securities $709,774 $708,146 $680,037 $662,750 $779,588 Residential mortgage loans 29,991 27,703 21,184 18,868 15,505 Comm
Slide 9: GAAP Net Income to Core Earnings Reconciliation
GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 GAAP net income (loss) ($849,251) ($2,254,872) $385,429 $595,887 $1,327,704 Net income (loss) attributable to noncontrolling interests (101) 17 (1
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Book value per common share, beginning of period $9.39 $10.03 $10.35 $10.53 $11.34 Net income (loss) available (related) to common stockholders (0.63) (1.74) 0.29 0.49 1.12
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (continued)
Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Prior quarter net interest spread 0.99% 1.13% 1.15% 1.55% 1.14% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.03% 0.
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Prior quarter annualized GAAP return (loss) on average equity (62.05%) 10.73% 17.20% 36.86% 20.58% Quarter-over-quarter changes in contribution: Cou
Slide 13: Residential Investments and TBA Derivative Overview
Residential Investments and TBA Derivative Overview as of March 31, 2019 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-
Slide 14: Residential Investments & TBA Derivative Overview (continued)
Residential Investments & TBA Derivative Overview as of March 31, 2019 (continued) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cost
Slide 15: Residential Credit Investments Detail
(1) Residential Credit Investments Detail as of March 31, 2019 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit 60+ Product Fair Value Senior Subordinate Coupon Enhancement Delinquencies 3M VPR Agency Credit Risk Transfer $580,544 $— $580,544 5.80% 1.11%
Slide 16: Commercial Real Estate Overview
Commercial Real Estate Overview as of March 31, 2019 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 15 $403,497 8.8%
Slide 17: Middle Market Lending Overview
Middle Market Lending Overview as of March 31, 2019 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Aircraft and Parts $— $41,394 $41,394 $0 - $20 million $323,761 18.0% Arrangement of Transportation of Freig
Slide 18: Hedging and Liabilities
Hedging and Liabilities as of March 31, 2019 Unaudited, dollars in thousands Interest Rate Swaps (1) Interest Rate Swaptions Weighted Weighted Weighted Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Current Avg. Avg. Avg. Underlying Underlying Underlying Underlying Months to Maturit
Slide 19: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2019 and December 31, 2018 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The
Slide 20: Appendix
ANN ALY Appendix
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations 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 accordanc
Slide 22: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Premium Amortization Reconciliation Premium amortization expense $247,446 $220,131 $187,537 $202,426 $95,832 Less: PAA cost (benefit) 81,871 45,472 3,386 7,
Slide 23: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Economic Metrics (excluding PAA) Average interest earning assets $109,946,527 $107,232,861 $101,704,957 $102,193,435 $101,979,042 Interest income (excluding
Slide 24: Endnotes
Endnotes Page 2 Page 4 (1) Net of dividends on preferred stock. (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (2) The Company separately calculates core earnings per average common share and core earnings (loss) and accumulated deficit. (excluding P
Slide 25: Endnotes (continued)
Endnotes (continued) Page 8 Page 13 (1) Includes depreciation and amortization expense related to equity method investments. (1) Weighted by current notional value. (2) Beginning with the quarter ended September 30, 2018, the Company excludes non-core (income) (2) Weighted by estimated fair value. l
Slide 26: Endnotes (continued)
Endnotes (continued) Page 18 (1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with internally derived inputs. Actual results could differ materially from these estimates. (2) Scenarios include Residential Investment Securities, residential mort
Annaly Capital Management — Q1 2019 Earnings Presentation on 6ix