Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2023 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 26, 2023
Slide 1: First Quarter 2023 Supplemental Information
First Quarter 2023 Supplemental Information April 26, 2023
Slide 2: Forward-Looking Statements
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 2023 earnings rel
Slide 3: Financial Snapshot
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 3/31/2023 12/31/2022 GAAP net income (loss) per average common share (1) ($1.79) ($1.96) Earnings available for distribution per average common share *(1) $0.81 $0.89 Annualized GAAP return (loss) on avera
Slide 4: Portfolio-Related Data
Portfolio- Related Data Unaudited, dollars in thousands 3 Portfolio Data 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 1,085,384 997,5
Slide 5: Financing Data and Key Capital and Hedging Metrics
Financing Data Key Capital and Hedging Metrics ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 4 Financing and Capital Data For the quarters ended 3/
Slide 6: Income Statement Data
______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 5 Income Statement Data For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Tot
Slide 7: Dividends and Return Metrics
For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Dividends declared per common share $0.65 $0.88 $0.88 $0.88 $0.88 Total common and preferred dividends declared (1) $354,374 $443,513 $440,033 $382,350 $349,080 Annualized GAAP return (loss) on average equity (28.84%) (31.78%)
Slide 8: Economic Net Interest Income
Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 7 Components of Economic Net Interest Income * For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Interest income: Agency Securities $603,102 $607,082 $517,
Slide 9: EAD Reconciliation
EAD* Reconciliation 8 GAAP Net Income to Earnings Available for Distribution* Reconciliation For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 GAAP net income (loss) ($839,328) ($886,814) ($273,977) $863,317 $2,023,894 Adjustments to exclude reported realized and unrealized (
Slide 10: Book Value Rollforward and Net Interest Margin
Book Value Rollforward Net Interest Margin Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Book value per common share, beginning of period $20.79 $19.94 $23.59 $27.08 $31.88 Net income (loss) available (related) to co
Slide 11: Net Interest Margin (excluding PAA)
Net Interest Margin (excluding PAA)* Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Prior quarter net interest margin (excluding PAA) * 1.90% 1.98
Slide 12: Annualized Return on Average Equity
Annualized GAAP Return (Loss) on Average Equity Annualized EAD Return on Average Equity* ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 11 Quarter-Over-Quarter Changes in Annualized Return on Ave
Slide 13: Residential & Other Investments Overview
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 12 Residential & Other Investments Overview as of March 31, 2023 Agency Fixed-Rate Securities (Pools) Original Weighted Avg. Years to Maturity Current Face Value % (3) W
Slide 14: Residential & Other Investments Overview (continued)
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential & Other Investments Overview as of March 31, 2023 (continued) Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rat
Slide 15: Residential Credit Securities Detail
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential Credit Securities Detail as of March 31, 2023 Product Estimated Fair Value Payment Structure Investment Characteristics Senior Subordinate Coupon Credit E
Slide 16: Hedging and Liabilities
______________ Detailed endnotes are included within the Appendix at the end of this presentation. 15 Unaudited, dollars in thousands Hedging and Liabilities as of March 31, 2023 Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $60,993,01
Slide 17: Interest Rate and MBS Spread Sensitivity
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 16 Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2023 and D
Slide 18: Appendix
Appendix ANNALY
Slide 19: Consolidated Statements of Financial Condition
Dollars in thousands, except per share data 18 Consolidated Statements of Financial Condition 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,794,173 $ 1,576,714 $ 1,466,171 $ 853,932 $ 955,840 Securities 69,238,
Slide 20: Consolidated Statements of Comprehensive Income (Loss)
Unaudited, dollars in thousands, except per share data 19 Consolidated Statements of Comprehensive Income (Loss) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Net interest income Interest income $ 818,250 $ 798,934 $ 678,488 $ 645,615 $ 655,850 Interest expense 798,787 66
Slide 21: Income Statement Gains (Losses) Detail
Unaudited, dollars in thousands 20 Income Statement Gains (Losses) Detail For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Net gains (losses) on disposal of investments and other ($521,592) ($1,289,865) ($1,464,360) ($646,177) ($144,224) Net unrealized gains (losses) on inst
Slide 22: Non-GAAP Reconciliations
21 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 accord
Slide 23: Non-GAAP Reconciliations (continued)
22 Non-GAAP Reconciliations (continued) Economic leverage and economic capital ratios The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities.
Slide 24: Economic leverage ratio reconciliation
Unaudited, dollars in thousands 23 Non-GAAP Reconciliations (continued) 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 2
Slide 25: Economic capital ratio reconciliation
Unaudited, dollars in thousands 24 Non-GAAP Reconciliations (continued) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Economic capital ratio reconciliation Total GAAP assets $86,832,017 $81,850,712 $85,406,764 $73,637,249 $76,185,134 Less: Gross unrealized gains on TBA de
Slide 26: Economic Metrics (excluding PAA)
Unaudited, dollars in thousands 25 Non-GAAP Reconciliations (continued) For the quarters ended 3/31/2023 12/31/2022 9/30/2022 6/30/2022 3/31/2022 Economic Metrics (excluding PAA) Average interest earning assets $82,644,998 $82,859,799 $78,143,337 $72,123,055 $72,590,876 Interest income (excluding PA
Slide 27: Endnotes
26 Endnotes Page 2 (1) Net of dividends on preferred stock. (2) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the su
Slide 28: Endnotes (continued)
27 Endnotes (continued) Page 8 (continued) (6) All quarters presented include costs incurred in connection with securitizations of residential whole loans. (7) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives. CMBX coupon income totaled $1
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