Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2024 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 24, 2024
Slide 1: First Quarter 2024 Supplemental Information
First Quarter 2024 Supplemental Information April 24, 2024
Slide 2: Forward-Looking Statements
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 First Quarter 2024 earnings rel
Slide 3: Financial Snapshot: Key Statistics
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 3/31/2024 12/31/2023 GAAP net income (loss) per average common share (1) $0.85 ($0.88) Earnings available for distribution per average common share *(1) $0.64 $0.68 Annualized GAAP return (loss) on average
Slide 4: Portfolio-Related Data
Portfolio-Related Data Portfolio Data For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Agency mortgage-backed securities $63,542,230 $66,308,788 $66,591,536 $67,764,264 $65,623,534 Residential credit risk transfer securities 871,421 974,059 982,951 1,064,401 1,085,384 Non-ag
Slide 5: Financing and Capital Data
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Financing and Capital Data For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Repurchase agreements $58,975,232 $62,201,543 $64,69
Slide 6: Income Statement Data
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Total interest income
Slide 7: Dividends and Return Metrics
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Dividends declared per common share $0.65 $0.65 $0.65 $0.65 $0.65 Total common and preferred dividends declared (1) $363,933 $363,758 $360,018 $358,214 $354,374 Annualized GAAP return (loss) on average equity (2) 16.29% (14.21
Slide 8: Interest Income and Expense Detail
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Interest income: Agency Securities $751,516 $697,299 $753,007 $686,912 $603,102 Resi Credit Securities 55,996 57,815 57,229 56,477 53,745 Residential mortgage loans 252,016 212,440 181,965 162,202 147,231 Commercial investment
Slide 9: GAAP Net Income to Earnings Available for Distribution
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 GAAP net income (loss) $465,174 ($391,232) ($569,084) $161,187 ($839,328) Adjus
Slide 10: Book Value and Net Interest Margin Rollforward
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Book value per common share, beginning of period $19.44 $18.25 $20.73 $20.77 $20.79 Net income (loss) available (related) to common stockholders 0.85 (0.88) (1.21) 0.27 (1.79) Other comprehensive income (loss) attributable to
Slide 11: Net Interest Margin and Spread Rollforward (excluding PAA)
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Prior quarter net interest margin (excluding PAA) * 1.58% 1.48% 1.66% 1.76% 1.90% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (including average TBA dollar roll and CMBX balances) 0.
Slide 12: Return on Average Equity Rollforward
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Prior quarter annualized GAAP return (loss) on average equity (14.21%) (20.18%) 5.42% (28.84%) (31.78%) Quarter-over-quarter changes in contribution: Coupon income 1.41% 1.44% 4.18% 1.88% 0.22% Net amortization of premiums and
Slide 13: Agency Securities Portfolio
___________________ 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 Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg.
Slide 14: Mortgage Servicing Rights and Residential Credit Portfolio
Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rate Valuation Discount Rate Projected CPR Estimated Fair Value MSR held directly $185,923,819 0.26% 3.1% 142.6% 8.6% 5.6% $2,651,279 MSR of limited partnership interest (1) 2,519,523 34,404 Total/Weighted Avg.
Slide 15: Residential Credit Payment Structure and Characteristics
Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR (2) Credit Risk Transfer $871,421 $— $871,421 9.73% 1.68% 0.85% 4.55% Alt-A 141,989 — 141,989 6.98% 9.61% 2.70% 10.42% Prime 81,870 20,773 61,097 3.68%
Slide 16: Borrowings and Hedging Portfolio
Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $58,975,232 5.55% 5.55% 43 Other secured financing 600,000 8.08% 8.07% 500 Debt issued by securitization vehicles 14,801,428 4.74% 4.72% 12,623 Participations issued 1,134,210 7.55% 7.32% 1
Slide 17: Interest Rate and MBS Spread Sensitivity
Unaudited ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2024 and December 31, 2023 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exp
Slide 18: Appendix
Appendix ANNALY
Slide 19: Consolidated Balance Sheets
3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,665,370 $ 1,412,148 $ 1,241,122 $ 1,236,872 $ 1,794,173 Securities 66,500,689 69,613,565 69,860,730 71,202,461 69,238,185 Loans, net 2,717,823 2,353,084 1,793,140 1
Slide 20: Consolidated Income Statements
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Net interest income Interest income $ 1,094,488 $ 990,352 $ 1,001,485 $ 921,494 $ 818,250 Interest expense 1,100,939 1,043,902 1,046,819 953,457 798,787 Net interest income (6,451) (53,550) (45,334) (31,963) 19,463 Net servici
Slide 21: Income Statement Gains (Losses) Detail
Unaudited, dollars in thousands For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Net gains (losses) on disposal of investments and other ($545,947) ($1,174,680) ($616,525) ($610,397) ($521,592) Net unrealized gains (losses) on instruments measured at fair value through earni
Slide 22: Non-GAAP Financial Measures
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 accordance with GAAP. While intend
Slide 23: Economic Leverage and Economic Capital Ratios
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. The Company’s capital structure is desi
Slide 24: Economic Leverage Ratio Reconciliation
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Economic leverage ratio reconciliation Repurchase agreements $58,975,232 $62,201,543 $64,693,821 $61,637,600 $60,993,018 Other secured financing 600,000 500,000 500,000 500,000 250,000 Debt issued by securitization vehicles 13
Slide 25: Economic Capital Ratio Reconciliation
For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Economic capital ratio reconciliation Total GAAP assets $91,483,546 $93,227,236 $89,648,423 $89,330,477 $86,832,017 Less: Gross unrealized gains on TBA derivatives (1) (7,220) (20,689) (7,232) (21,460) (167,065) Debt issued by
Slide 26: Economic Metrics (excluding PAA)
___________________ * Represents a non-GAAP financial measure. For the quarters ended 3/31/2024 12/31/2023 9/30/2023 6/30/2023 3/31/2023 Economic Metrics (excluding PAA) Average interest earning assets $89,738,726 $87,020,120 $89,300,922 $86,254,955 $82,644,998 Interest income (excluding PAA) * $1,0
Slide 27: Endnotes
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 4.07% and (3.55%) for the quarters ende
Slide 28: Endnotes (continued)
Page 12 (1) Includes gains (losses) related to the sale of the Company's Middle Market Lending portfolio for the quarter ended December 31, 2022. (2) Includes other, net, general and administrative expenses and income taxes. (3) Includes other, net (excluding non-EAD items), MSR amortization (a comp
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