Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2023 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 27, 2023
Slide 1: First Quarter 2023 Investor Presentation
First Quarter 2023 Investor Presentation April 26, 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 First Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly produced a positive economic return in the first quarter despite elevated volatility in financial markets Earnings available for distribution* of $0.81 per average common share for the quarter, down $0.08 from the prior quarter Financial Perfor
Slide 4: First Quarter 2023 Financial Highlights
First Quarter 2023 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 1.90% GAAP for Distribution* $0.65 1.76% Earnings & Book Value ($1.79) | $0.81 Book Value per Share Dividend Yield(1) $20.77 13.6% Q4 2022 Q1 2023 Total Portfolio(2) Capita
Slide 5: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $85.5 billion(1) | Total Shareholders’ Equity: $11.8 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 6: Current Illustrative Levered Returns by Business
Current Illustrative Levered Returns by Business In the current environment, Annaly’s investment strategies offer attractive new money returns Agency Residential Credit MSR Blended Total Whole loans, our preferred Our three-pronged housing finance Current Agency MBS spread levels Low note rate MSR,
Slide 7: Market Environment & Annaly Positioning
Market Environment & Annaly Positioning
Slide 8: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The banking turmoil has increased uncertainty over the economic outlook; however, labor markets remained robust in the first quarter and inflation remained well above the Federal Reserve’s target The labor market is slowing though it Inflation appears to have peake
Slide 9: Conservative Approach to Credit in the Current Environment
Conservative Approach to Credit in the Current Environment With a keen focus on underwriting standards and risk management, Annaly's MSR and Residential Credit portfolios have strong credit profiles supported by high-quality borrowers Key Portfolio Characteristics MSR Portfolio (Excludes Interests i
Slide 10: Business Update
Business Update ANNALY Zz
Slide 11: Agency | Business Update
Agency | Business Update Annaly modestly grew its Agency portfolio in the first quarter and continued to shift upwards in coupon with nominal spreads at historically attractive levels Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high quality and liquid Volatility was
Slide 12: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly Agency Portfolio: $77.6 billion in assets at the end of Q1 2023, an increase of 7% compared to Q4 2022, driven by deployment of equity capital raised early in the quarter Purchased specified pools and TBAs as we selectively invested new capital while portfolio d
Slide 13: MSR | Business Update
MSR | Business Update Annaly has established a leading presence in the MSR market and is well positioned to continue to opportunistically grow Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strategy by offering The MSR bulk market remains extremely active, with tr
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly’s MSR portfolio size was relatively unchanged quarter-over-quarter, after growing nearly 3x in 2022 Annaly MSR Portfolio: $1.8 billion(1) in assets at the end of Q1 2023, a 2% increase compared to Q4 2022 and an increase of 48% year-over-year Portfolio is comprised
Slide 15: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group maintained its defensive positioning amidst volatility during the quarter, opportunistically utilizing its securitization platform and preserving the strong credit profile of the portfolio in the current environment Strategic Appro
Slide 16: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.2 billion in assets at the end of Q1 2023, up 4% from Q4 2022 − Consists of a $4.2 billion securities portfolio and a $1.0 billion whole loan portfolio(1) Securities portfolio up modestly quarter-over-quarter, driven
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends
Slide 18: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 (1) GAAP net income (loss) per average common share ($1.79) ($1.96) ($0.70) $2.21 $5.46 Earnings available for distribution per average common share*(1) $0.81 $0.89 $1.06 $1.22 $1.11 D
Slide 19: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Agency mortgage-backed securities $65,623,534 $62,274,895 $63,037,241 $55,593,336 $57,787,141 Residential credit risk transfer securities 1,085,384 997,
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: 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 22: 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 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Premium Amortization Reconciliation Premium amortization expense $56,534 $38,829 $39,406 ($4,869) ($25,353) Less: PAA cost (benefit) 491 (8,136) (45,414) (127,
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Economic leverage ratio reconciliation Repurchase agreements $60,993,018 $59,512,597 $54,160,731 $51,364,097 $52,626,503 Other secured financing 250,000 250,00
Slide 25: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 26: 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 27: Endnotes
Endnotes Page 3 Page 6 1. Issuer ranking data from Inside Nonconforming Markets for 2022 to 2023 YTD as of April 7, 2023. 1. Capital allocation for each of the investment strategies is calculated as the difference between each 2. Includes a $408mm whole loan securitization that priced in April 2023.
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) Page 18 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 22 assets. Net interest margin (excluding PAA) represents the sum of the Company's interest inco
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