Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2019 Earnings Presentation
25 slides from Annaly Capital Management's earnings presentation, Feb 12, 2020
Slide 1: Fourth Quarter 2019 Financial Summary
Fourth Quarter 2019 Financial Summary February 12, 2020
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), a 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 Quarter 2019 quarterly repor
Slide 3: Financial Snapshot
Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2019 9/30/2019 GAAP net income (loss) per average common share (1) $0.82 ($0.54) Core earnings (excluding PAA) per average common share *(1) $0.26 $0.21 Core earnings per average common share *(1
Slide 4: Portfolio Data
Portfolio Data Unaudited, dollars in thousands For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Agency mortgage-backed securities $112,893,367 $114,462,524 $118,202,040 $103,093,526 $90,752,995 Credit risk transfer securities 531,322 474,765 491,969 607,945 552,097 Non-agen
Slide 5: Financing and Capital Data
Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Repurchase agreements $101,740,728 $102,682,104 $105,181,241 $88,554,170 $81,115,874 Other secured financing 4,455,700 4,466,030 4,127,989 4,
Slide 6: Income Statement Data
Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Total interest income $1,074,214 $919,299 $927,598 $866,186 $859,674 Total interest expense 620,058 766,905 750,217 647,695 586,774 Net interest i
Slide 7: Key Earnings Metrics
Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Dividends declared per common share $0.25 $0.25 $0.25 $0.30 $0.30 Total common and preferred dividends declared $393,203 $396,187 $396,388 $467,121
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Interest income: Residential Securities $923,653 $784,228 $777,891 $709,774 $708,146 Residential mortgage loans 47,377 37,673 35,025 29,991 27,703 Com
Slide 9: GAAP Net Income to Core Earnings Reconciliation
GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 GAAP net income (loss) $1,209,742 ($747,169) ($1,776,413) ($849,251) ($2,254,872) Net income (loss) attributable to noncontrolling interests 68 (
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Book value per common share, beginning of period $9.21 $9.33 $9.67 $9.39 $10.03 Net income (loss) available (related) to common stockholders 0.82 (0.54) (1.24) (0.63) (1.7
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (continued)
Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Prior quarter net interest spread 0.61% 0.62% 1.00% 0.99% 1.13% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets 0.02% (
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Prior quarter annualized GAAP return (loss) on average equity (19.32%) (45.13%) (22.72%) (62.05%) 10.73% Quarter-over-quarter changes in contributi
Slide 13: Residential Investments and TBA Derivative Overview
Residential Investments and TBA Derivative Overview as of December 31, 2019 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value
Slide 14: Residential Investments & TBA Derivative Overview (continued)
Residential Investments & TBA Derivative Overview as of December 31, 2019 (continued) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized C
Slide 15: Residential Credit Investments Detail
(1) Residential Credit Investments Detail as of December 31, 2019 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit Product Fair Value Senior Subordinate Coupon Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $508,643 $— $508,643 5.67% 1.0
Slide 16: Commercial Real Estate Overview
Commercial Real Estate Overview as of December 31, 2019 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 21 $499,690 1
Slide 17: Middle Market Lending Overview
Middle Market Lending Overview as of December 31, 2019 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Floating Industry Fixed Rate Rate Total Position Size Amount Percentage Chemicals & Allied Products — 15,002 15,002 $0 - $20 million $238,713 11.1% Coating, Engraving and Allied
Slide 18: Hedging and Liabilities
Hedging and Liabilities as of December 31, 2019 Unaudited, dollars in thousands Interest Rate Swaps Interest Rate Swaptions Weighted Weighted Weighted Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Current Avg. Avg. Avg. Underlying Underlying Underlying Underlying Months to Maturity
Slide 19: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2019 and September 30, 2019 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪
Slide 20: Appendix
ANN ALY Appendix
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations 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 accordanc
Slide 22: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Premium Amortization Reconciliation Premium amortization expense $171,447 $376,306 $318,587 $247,446 $220,131 Less: PAA cost (benefit) (83,892) 117,152 139
Slide 23: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended, 12/31/2019 9/30/2019 6/30/2019 3/31/2019 12/31/2018 Economic Metrics (excluding PAA) Average interest earning assets $121,801,951 $127,207,668 $122,601,881 $109,946,527 $107,232,861 Interest income (excludin
Slide 24: Endnotes
Endnotes Page 2 Page 4 (1) Net of dividends on preferred stock. The quarter ended September 30, 2019 excludes cumulative (1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income and undeclared dividends of $0.3 million on the Company's Series I Preferred Stock
Slide 25: Endnotes (continued)
Endnotes (continued) Page 8 Page 13 (1) Includes depreciation and amortization expense related to equity method investments. (1) Weighted by current notional value. (2) The Company excludes non-core (income) loss allocated to equity method investments, which (2) Weighted by estimated fair value. rep
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