Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2016 Earnings Presentation
24 slides from Annaly Capital Management's earnings presentation, Feb 15, 2017
Slide 1: Fourth Quarter 2016 Investor Presentation
Fourth Quarter 2016 Investor Presentation February 15, 2017
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 referenc
Slide 3: Overview
ANNALY | Overview
Slide 4: Annaly is a Leading Diversified Capital Manager
Annaly is a Leading Diversified Capital Manager Residential Commercial Real Middle Market Agency Credit Estate (CRE) Lending (MML) $87.7bn Assets (1) | $9.7bn Capital $2.5bn Assets | $0.9bn Capital $2.3bn Assets (2) | $1.2bn Capital $0.8bn Assets | $0.5bn Capital The Annaly Commercial The Annaly Res
Slide 5: Annaly's Diversification Strategy: Book Value Protection & Earnings Stability
Annaly’s Diversification Strategy: Book Value Protection & Earnings Stability Across Annaly’s four investment groups, the Company has twenty-five investment options with fixed and floating rate exposure Agency Residential Credit Commercial Real Estate Middle Market Lending Assets: $87.7bn (1) Assets
Slide 6: Sum of the Parts Capital Diversification
Sum of the Parts Capital Diversification Annaly is positioned as a permanent capital solution for the redistribution of MBS, residential credit, CRE assets and middle market loans Commercial Real Middle Market Agency Residential Credit Estate Lending $ Amount / % of Total $9.7bn / 80% $0.9bn / 7% $1
Slide 7: Annaly's Strong Balance Sheet and Liquidity
Annaly’s Strong Balance Sheet and Liquidity Annaly’s liability profile and large capital base provide the Company with unique competitive advantages Total Capitalization of $82 bn Weighted average maturity of 96 days represents one of the longest term repo in the mREIT sector (1) RCap, in place
Slide 8: Rate Shock Sensitivity Comparison
Rate Shock Sensitivity Comparison Annaly has proactively managed its portfolio and has significantly outperformed expected book value changes in volatile markets 12.0% 7.6% 8.0% 4.4% 4.2% 4.0% 4.0% 2.9% 1.8% 2.1% 1.4% 1.0% 1.2% – (1.0%) (0.9%) (1.5%) (1.7%) (2.7%) (2.2%) (2.7%) (4.0%) (3.5%) (3.5%)
Slide 9: Performance vs. Other mREITs and Fixed Income Strategies
Performance vs. Other mREITs and Fixed Income Strategies Annaly’s total return has outperformed in comparison to mREIT competitors and other fixed income benchmarks 2014 – 2017 YTD Annualized Total Return Comparison 14.0% 12.6% 12.0% 10.7% 10.3% 10.0% 8.0% 6.0% 4.0% 3.6% 3.1% 2.0% 1.6% 0.0% Annaly A
Slide 10: Performance vs. Other Equity Yield Investments
Performance vs. Other Equity Yield Investments Annaly’s current investment team has outperformed all other yield options since 2014 60.0% 44.3% 40.0% 40.8% 37.5% 33.9% 31.5% 20.0% Total Return 9.2% – (12.3%) (20.0%) (40.0%) (60.0%) Annaly mREITs Utilities MLPs Asset Managers Banks S&P 500 Source: Bl
Slide 11: Market Positioning
~ ANNALY’ Market Positioning 10
Slide 12: 2017 Macro Outlook
2017 Macro Outlook Evolving political and economic themes will drive the global macro landscape and markets in 2017 Details and impact of economic measures, as well as priorities of new Administration Trump remain uncertain Economics Questionable if proposed measures will result in sustainable g
Slide 13: Hiking Cycle Comparison
Hiking Cycle Comparison Annaly’s diversified platform is now built to manage various rate environments 2004 / 2005 2016 Key Takeaways 2.5% 1.4% 1.3% In contrast to the last hiking 2.0% 1.2% cycle, the yield curve has 1.5% steepened despite the rise in 1.1% Market 1.0% short-term rates Spread 1.0%
Slide 14: Relative Value Equation
Relative Value Equation Annaly has adjusted the pace of its diversification effort to reflect significant spread tightening across all credit markets – Agency spreads look relatively attractive vs. the historical trading range Residential, Commercial and Corporate Spreads Agency MBS Spreads Agency (
Slide 15: Business Update
~ ANNALY’ | Business Update
Slide 16: 2016 Year-in-Review
2016 Year-in-Review In addition to paying ~$1.2 billion in dividends in 2016, Annaly achieved several significant milestones related to the continued evolution of its leading diversified investment platform Portfolio & Growth Capital & Liability Organizational Strategy Management Largest mREIT acq
Slide 17: Agency MBS Portfolio
Agency MBS Portfolio As of Q4 2016, the market value of Agency portfolio was approximately $87.7 billion in assets, inclusive of the TBA position Approximately 86% of the portfolio is positioned in securities with prepayment protection Agency MBS underperformed hedges in Q4 given the rate sell
Slide 18: Residential Credit Portfolio
Residential Credit Portfolio As of Q4 2016, the portfolio grew to $2.5 billion in assets and is comprised of the following sectors: Credit Risk Transfer: Faster speeds resulted in shortening spread duration and increased credit enhancement; expect increased liquidity in assets and funding Jumb
Slide 19: Commercial Real Estate Portfolio
Commercial Real Estate Portfolio As of Q4 2016, the commercial real estate portfolio was approximately $2.3 billion in assets(1) The combination of a significant decline in new acquisition activity by sponsors, a volatile marketplace and a cautious stance on credit resulted in a slower pace of n
Slide 20: Middle Market Lending Portfolio
Middle Market Lending Portfolio As of Q4 2016, the middle market lending portfolio grew to nearly $800 million in assets A combination of repeat sponsor business, heightened activity in industries of origination focus and larger ownership positions resulted in increased new deal origination duri
Slide 21: Performance Highlights and Trends
Performance Highlights and Trends Unaudited, dollars in thousands except per share amounts For the quarters ended December 31, September 30, June 30, March 31, December 31, 2016 2016 2016 2016 2015 GAAP net income (loss) per average common share $1.79 $0.70 ($0.32) ($0.96) $0.69 Core earnings per av
Slide 22: Appendix: Non-GAAP Reconciliations
Appendix: Non-GAAP Reconciliations 21 21
Slide 23: Non-GAAP Reconciliations
Non-GAAP Reconciliations Unaudited, dollars in thousands except per share amounts To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides non-GAAP financial measures. These m
Slide 24: 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 U.S. generally accepted accounting principles (“GAAP”), the Company provides non-GAAP financial measures
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