Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2022 Earnings Presentation
29 slides from Annaly Capital Management's earnings presentation, Feb 9, 2023
Slide 1: Fourth Quarter 2022 Investor Presentation
Fourth Quarter 2022 Investor Presentation February 8, 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 Fourth Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly generated a robust economic return in the fourth quarter supported by tighter mortgage spreads Earnings available for distribution* of $0.89 per average common share for the quarter, down $0.17 from the prior quarter Financial Performance Boo
Slide 4: Fourth Quarter 2022 Financial Highlights
Fourth Quarter 2022 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 1.98% GAAP for Distribution* $0.88 1.90% Earnings & Book Value ($1.96) | $0.89 Book Value per Share Dividend Yield(1) $20.79 16.7% Q3 2022 Q4 2022 Total Portfolio(2) Capit
Slide 5: Strategic Milestones Since the Beginning of 2022
Strategic Milestones Since the Beginning of 2022 Annaly enhanced its positioning as the leading residential mortgage REIT in 2022 through key strategic initiatives, including the sale of its Middle Market Lending (“MML”) business and the expansion of its housing finance capabilities Key Milestones A
Slide 6: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $80.6 billion(1) | Total Shareholders’ Equity: $11.3 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 7: Market Environment
Market Environment ANNALY Zz
Slide 8: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs A shift towards less aggressive monetary policy amid slowing growth and easing inflation pressures has led to more constructive fixed income flows and easing of financial conditions Economic growth is witnessing weaker Inflation appears to have peaked, while wages
Slide 9: Business Update
Business Update ANNALY Zz
Slide 10: Agency | Business Update
Agency | Business Update Annaly continued to rotate up in coupon and reduce its TBA exposure as investor demand returned to the Agency MBS market and volatility moderated Strategic Approach Market Trends Annaly’s Agency Portfolio is made up of high quality and liquid While 2022 was one of the mo
Slide 11: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly Agency Portfolio: $72.9 billion in assets at the end of Q4 2022, a decrease of 7% compared to Q3 2022 Consistent with recent quarters, Annaly’s portfolio continued to shift modestly up in coupon, rotating out of both lower coupon TBA and specified pools in favor
Slide 12: MSR | Business Update
MSR | Business Update Annaly has established a leading presence in the MSR market over the last year, with the fully-scaled platform expected to continue benefitting from a lower prepayment environment and is well-positioned to grow should anticipated supply lead to spread widening Strategic Approac
Slide 13: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly’s MSR portfolio declined modestly in the fourth quarter, though it grew by over $1.1bn, or nearly 3x, in 2022 Annaly MSR Portfolio: $1.8 billion(1) in assets at the end of Q4 2022, a 6% decline compared to Q3 2022 and an increase of nearly threefold since year end 20
Slide 14: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group generated strong activity through its correspondent channel and securitization platform throughout 2022, while maintaining a conservative posture in light of deteriorating housing market fundamentals Strategic Approach Market and C
Slide 15: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.0 billion in assets at the end of Q4 2022, in line with Q3 2022 − Consists of a $4.0 billion securities portfolio and a $1.0 billion whole loan portfolio(1) Securities portfolio decreased 5% quarter-over-quarter as po
Slide 16: ESG Leadership
ESG Leadership ANNALY Zz
Slide 17: 2022 ESG Enhancements and Highlights
2022 ESG Enhancements and Highlights Annaly’s robust ESG commitments and initiatives continue to lead the industry, as evidenced by its latest achievements and recognition Environmental Social Governance TCFD >50% 40% 60% Provided additional climate-related of employees identify of Directors are wom
Slide 18: Financial Highlights and Trends
Financial Highlights and Trends
Slide 19: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 12/31/2022 9/30/2022 6/30/2022 3/31/2022 12/31/2021 (1) GAAP net income (loss) per average common share ($1.96) ($0.70) $2.21 $5.46 $1.07 Earnings available for distribution per average common share*(1) $0.89 $1.06 $1.22 $1.11 $1.14 Di
Slide 20: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2022 9/30/2022 6/30/2022 3/31/2022 12/31/2021 Agency mortgage-backed securities $62,274,895 $63,037,241 $55,593,336 $57,787,141 $60,525,605 Residential credit risk transfer securities 997,557 1,056
Slide 21: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 22: 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 depre
Slide 23: 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 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2022 9/30/2022 6/30/2022 3/31/2022 12/31/2021 Premium Amortization Reconciliation Premium amortization expense $38,829 $39,406 ($4,869) ($25,353) $219,172 Less: PAA cost (benefit) (8,136) (45,414) (127,52
Slide 25: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2022 9/30/2022 6/30/2022 3/31/2022 12/31/2021 Economic leverage ratio reconciliation Repurchase agreements $59,512,597 $54,160,731 $51,364,097 $52,626,503 $54,769,643 Other secured financing 250,000 250,0
Slide 26: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 27: 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 EAD: Refers to Earnings Available for Distribution Re-Performing Loan A type of loan in which payments were previousl
Slide 28: Endnotes
Endnotes Page 3 Page 6 1. Issuer ranking data from Inside Nonconforming Markets for 2021 to 2022. 1. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are 2. Includes a $405mm residential whole loan securitization that priced in January 2023. off-b
Slide 29: Endnotes (cont'd)
Endnotes (cont’d) Page 19 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 23 assets. Net interest margin (excluding PAA) represents the sum of the Company's interest inco
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