Annaly Capital Management Inc. · NYSE:NLY

Annaly Capital Management — Q3 2021 Earnings Presentation

28 slides from Annaly Capital Management's earnings presentation, Oct 27, 2021

  1. Slide 1: Third Quarter 2021 Financial Summary

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Third Quarter 2021 Financial Summary October 27, 2021

  2. Slide 2: Important Notices and Forward-Looking Statements

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 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

  3. Slide 3: Updates to Financial Disclosures

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Updates to Financial Disclosures Commencing with the Company’s financial results for the quarter ended June 30, 2021 and for subsequent reporting periods, the Company has relabeled “Core Earnings (excluding PAA)” as “Earnings Avai

  4. Slide 4: GAAP Key Statistics

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 9/30/2021 6/30/2021 GAAP net income (loss) per average common share (1) $0.34 ($0.23) Earnings available for distribution per average c

  5. Slide 5: Portfolio-Related Data

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio- Related Data Unaudited, dollars in thousands 4 Portfolio Data For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Agency mortgage-backed securities $62,818,079 $66,468,519 $69,637,229 $74,067,059 $

  6. Slide 6: Financing Data and Key Capital and Hedging Metrics

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Financing Data Key Capital and Hedging Metrics ______________ * Represents a non-GAAP financial measure. ** Please refer to Divestiture of Commercial Real Estate Business in Important Notices on page 2. Detailed endnotes are inclu

  7. Slide 7: Income Statement Data

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ * 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 6 Income Statement Data For the

  8. Slide 8: Dividends and Return Metrics

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Dividends declared per common share $0.22 $0.22 $0.22 $0.22 $0.22 Total common and preferred dividends declared (1) $346,651 $345,417 $335,229 $343,666 $344

  9. Slide 9: Economic Net Interest Income

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 8 Components of Economic Net Interest Income * For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/202

  10. Slide 10: EAD Reconciliation

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. EAD* Reconciliation 9 GAAP Net Income to Earnings Available for Distribution* Reconciliation For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 GAAP net income (loss) $521,534 ($294,848) $1,751,134 $878,635

  11. Slide 11: Book Value Rollforward and Net Interest Margin

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Book Value Rollforward Net Interest Margin Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Book value per common share, beginning of period $8.37 $

  12. Slide 12: Net Interest Margin (excluding PAA)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Net Interest Margin (excluding PAA)* Unaudited 11 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/

  13. Slide 13: Quarter-Over-Quarter Changes in Return on Average Equity

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Annualized GAAP Return (Loss) on Average Equity Annualized EAD Return on Average Equity* ______________ * Represents a non-GAAP financial measure. ** Please refer to Divestiture of Commercial Real Estate Business in Important Noti

  14. Slide 14: Residential & Other Investments Overview

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential & Other Investments Overview as of September 30, 2021 Agency Fixed-Rate Securities (

  15. Slide 15: Residential & Other Investments Overview (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential & Other Investments Overview as of September 30, 2021 (continued) Mortgage Servicing

  16. Slide 16: Residential Credit Securities Detail

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 15 Residential Credit Securities Detail as of September 30, 2021 Product Estimated Fair Value Payme

  17. Slide 17: Middle Market Lending Overview

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 16 Middle Market Lending Overview as of September 30, 2021 Industry Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services $435,210 Management and Publ

  18. Slide 18: Hedging and Liabilities

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. 17 Unaudited, dollars in thousands Hedging and Liabilities as of September 30, 2021 Principal Balance Weighted Average Rate Days to

  19. Slide 19: Interest Rate and MBS Spread Sensitivity

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 18 Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: ▪ The interest rate sensitivity and MBS spr

  20. Slide 20: Appendix

    Appendix ANNALY

  21. Slide 21: Consolidated Statements of Financial Condition

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Dollars in thousands, except per share data 20 Consolidated Statements of Financial Condition 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,

  22. Slide 22: Consolidated Statements of Comprehensive Income (Loss)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands, except per share data 21 Consolidated Statements of Comprehensive Income (Loss) For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Net interest income Interest income $ 412,9

  23. Slide 23: Non-GAAP Reconciliations

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 22 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

  24. Slide 24: Non-GAAP Reconciliations (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 23 Non-GAAP Reconciliations (continued) For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Economic leverage ratio reconciliation Repurchase agreements $55,475,420 $60,221,067

  25. Slide 25: Non-GAAP Reconciliations (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 24 Non-GAAP Reconciliations (continued) For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Economic capital ratio reconciliation Total assets $76,662,433 $82,376,305 $85,369,5

  26. Slide 26: Non-GAAP Reconciliations (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 25 Non-GAAP Reconciliations (continued) For the quarters ended 9/30/2021 6/30/2021 3/31/2021 12/31/2020 9/30/2020 Economic Metrics (excluding PAA) Average interest earning assets $72,145,283 $77,916

  27. Slide 27: Endnotes

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 26 Endnotes Page 3 (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 pa

  28. Slide 28: Endnotes (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 27 Endnotes (continued) Page 12 (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss) (excluding non-EAD items), MSR amortization (a component of Net unrealized ga

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