Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2016 Earnings Presentation
21 slides from Annaly Capital Management's earnings presentation, Aug 3, 2016
Slide 1: Second Quarter 2016 Financial Summary
August 3, 2016 Second Quarter 2016 Financial Summary
Slide 2: Forward-Looking Statements and Non-GAAP Financial Measures
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 reference to a future perio
Slide 3: 2Q 2016 Financial Snapshot
Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per common share, annualized core return on average equity, core average yield on interest earning assets, core net interest margin and core net interest spread represe
Slide 4: Last Five Quarters Financial Performance
Last Five Quarters Financial Performance Unaudited Core Earnings Per Average Common Share Annualized Core Return on Average Equity Core Average Yield on Interest Earning Assets Capital Ratio
Slide 5: Last Five Quarters Summary Data
Unaudited, dollars in thousands Last Five Quarters Summary Data Includes consolidated variable interest entities (“VIEs”) and loans held for sale. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Portfolio-Related Data: Agency mortgage-backed sec
Slide 6: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Consists of common stock, additional paid in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptio
Slide 7: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Core metrics are exclusive of premium amortization adjustment resulting from the quarter-over-quarter change in estimated long-term constant prepayment rate (“CPR”).Includes interest expense on interest
Slide 8: Components of Economic Net Interest Income
Unaudited, dollars in thousands Components of Economic Net Interest Income Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016
Slide 9: Reconciliations and Changes in Key Metrics
Unaudited, dollars in thousands Reconciliations and Changes in Key Metrics Represents transaction costs incurred in connection with the Company’s acquisition of Hatteras Financial Corp.Represents a component of Net gains (losses) on trading assets. For the quarters ended June 30, March 31, December
Slide 10: Changes in Key Metrics
Unaudited Changes in Key Metrics Includes interest expense on interest rate swaps used to hedge cost of funds. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2016 2016 2015 2015 2015 Changes in net interest margin Prior quarter net interest margin 0.79% 1.80% 1.27% 2.0
Slide 11: Changes in Key Metrics
Unaudited Changes in Key Metrics Includes investment advisory income, dividend income from affiliates, other income (loss), general and administrative expenses and income taxes.Includes investment advisory income, dividend income from affiliates, other income (loss), general and administrative expen
Slide 12: Residential Investment Securities and TBA Derivative Overview
Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of June 30, 2016 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % Coupon Amortized Cost Fair Val
Slide 13: Residential Investment Securities and TBA Derivative Overview (cont'd)
Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of June 30, 2016 (cont’d) (1) Weighted by fair value. Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estima
Slide 14: Residential Credit Investments Detail
Residential Credit Investments Detail as of June 30, 2016 Unaudited, dollars in thousands By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $167,918 4.25% 6.80% 9.45% 6.89% Prime 213,906 4.43% 1.22% 1.80% 1.97% Subprime 229,931 1.95% 20.40% 17.36% 3.17%
Slide 15: Commercial Real Estate Overview
Commercial Real Estate Overview as of June 30, 2016 (1) Book values include unamortized net origination fees.(2) Total weighted based on book value.(3) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an "as is" bas
Slide 16: Middle Market Lending Overview
Middle Market Lending Overview as of June 30, 2016 Industry Dispersion Industry Fixed Rate Floating Rate Total Commercial Fishing $ - $ 41,196 $ 41,196 Computer Programming & Data Processing - 49,425 49,425 Drugs - 34,452 34,452 Home Health Care Services - 39,455 39,455 Insurance Agents, Brokers & S
Slide 17: Hedging and Liabilities
Hedging and Liabilities as of June 30, 2016 Unaudited, dollars in thousands Notional amount includes $0.2B of forward starting receive fixed swaps; weighted average pay rate, weighted average receive rate and weighted average years to maturity exclude forward starting swaps.Weighted average years to
Slide 18: Interest Rate and MBS Spread Sensitivity
Unaudited Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Scenarios include Residential Investment Securities and derivative instruments.NAV represents book value of common equity. Assumptions:The interest rate sensitivity and spread sensitivity are based on the portfolios as of June 3
Slide 19: Appendix
ANNALY Appendix
Slide 20: Endnotes
Endnotes for Page 2 Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and financial instruments measured at fair value through earnings, net gains and losses on
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations A reconciliation of GAAP net income (loss) to non-GAAP core earnings for the quarters ended June 30, 2016, March 31, 3016, December 31, 2015, September 30, 2015 and June 30, 2015, is provided in a previous section of this financial summary. The table above presents a reconci
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