Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2012 Earnings Presentation
16 slides from Annaly Capital Management's earnings presentation, Feb 6, 2013
Slide 1: 4Q 2012 Stockholder Supplement
4Q 2012 Stockholder Supplement FEBRUARY 6, 2013
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) may be identified by reference to
Slide 3: Summary Performance
Summary Performance Unaudited, dollars in thousands except per share amounts (1) Includes realized gains / losses on interest rate swaps. (2) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishm
Slide 4: Annualized Return on Average Equity: Change from 3Q12 to 4Q12
10.76% 0.98% 0.45% 0.28% 5.39% 0.0% 2.5% 5.0% 7.5% 10.0% 12.5% 15.0% 17.5% 20.0% 3Q12 ROE Unrealized gains / losses on interest rate swaps Other(1) Net amortization of premiums and accretion of discounts Convertible debt extinguishment loss Realized / unrealized gains / losses on inv. and trading as
Slide 5: Annualized Adjusted Return on Average Equity
Annualized Adjusted Return on Average Equity Unaudited Change from 3Q12 to 4Q12 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 0.98% 0.45% (0.29%) (0.29%) (0.36%) 11.27% 3Q12 Adjusted ROE Other(1) Net amortization of premiums and accretion of discounts Economic interest expense(2) Realized gains
Slide 6: Reconciliation of 4Q12 net income to Adjusted net income
$465,101 $75,012 $31,148 ($341,554) $700,495 $0 $100,000 $200,000 $300,000 $400,000 $500,000 $600,000 $700,000 $800,000 $900,000 Net income Convertible debt extinguishment loss Unrealized losses on Agency interest-only MBS Unrealized gains / losses on interest rate swaps Adjusted net income Adjusted
Slide 7: Annualized Interest Rate Spread: Change from 3Q12 to 4Q12
0.12% 0.00% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 3Q12 Annualized interest rate spread Net amortization of premiums and accretion of discounts Cost of funds on average interest-bearing liabilities(1) Coupon on average interest-earning assets 4Q12 Annualized interest rate spread 1.02% 0.02% (0.21%) 0.9
Slide 8: Common Equity Change from 3Q12 to 4Q12
Common Equity Change from 3Q12 to 4Q12 (1) Includes stock option expense and long-term compensation expense and liquidation of subsidiary. Unaudited, numbers in thousands except per share amounts CommonBookSharesValueBalanceOutstandingper ShareSeptember 30, 2012 common equity$16,177,604974,800$16.60
Slide 9: Agency MBS Portfolio Net Premium and Discount Balance and Constant Prepayment Rate
Agency MBS Portfolio Net Premium and Discount Balance and Constant Prepayment Rate Unaudited, dollars in thousands $3,337,063 $3,820,276 $4,467,122 $5,453,012 $5,833,988 22% 19% 19% 20% 19% 21.17% 23.97% 27.43% 31.91% 36.64% 0% 10% 20% 30% 40% 50% 60% $0 $1,000,000 $2,000,000 $3,000,000 $4,000,000 $
Slide 10: Interest Rate Swaps and Repurchase Agreements as of December 31, 2012
Interest Rate Swaps and Repurchase Agreements as of December 31, 2012 (1) Of the total repurchase agreements, approximately 11% have a remaining maturity over one year. Unaudited, dollars in thousands Interest Rate Swaps Repurchase Agreements CurrentWeighted Avg.Weighted Avg.Weighted Avg.MaturityNot
Slide 11: Interest Rate and Liability Management
Interest Rate and Liability Management Unaudited 110 127 216 220 197 0.53% 0.49% 0.59% 0.61% 0.63% 2.22% 2.11% 1.99% 1.96% 1.97% 100 120 140 160 180 200 220 240 0.25% 0.75% 1.25% 1.75% 2.25% 2.75% 3.25% 4Q11 1Q12 2Q12 3Q12 4Q12 Weighted average days to maturity on interest-bearing liabilities Weight
Slide 12: Agency MBS and Debentures Overview as of December 31, 2012
Agency MBS and Debentures Overview as of December 31, 2012 Unaudited, dollars in thousands Agency Fixed-Rate Securities Agency Adjustable-Rate Securities Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations (1) Weighted averages for % originated pre-March 2009 and three-mon
Slide 13: Agency Fixed-Rate Portfolio Originated Post-March 2009
Agency Fixed-Rate Portfolio Originated Post-March 2009 Unaudited, dollars in thousands Note: Portfolio data as of December 31, 2012. Certain securities are classified under more than one category. <=15 Years Weighted Average Maturity 20 Years Weighted Average Maturity >=30 Years Weighted Average Mat
Slide 14: Agency Fixed-Rate Portfolio Originated Pre-March 2009
Agency Fixed-Rate Portfolio Originated Pre-March 2009 Unaudited, dollars in thousands <=15 Years Weighted Average Maturity 20 Years Weighted Average Maturity >=30 Years Weighted Average Maturity Note: Portfolio data as of December 31, 2012. Certain securities are classified under more than one categ
Slide 15: Last Five Quarters Summary Data
Last Five Quarters Summary Data Unaudited, dollars in thousands except per share amounts (1) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of the 4% Convertible Notes. December 31,Sept
Slide 16: Last Five Quarters Summary Data
Last Five Quarters Summary Data Unaudited, dollars in thousands December 31,September 30,June 30,March 31,December 31,20122012201220122011Total Agency mortgage-backed securities and debentures$126,972,775$132,533,252$119,751,155$111,790,839$105,140,635% Fixed-rate93%93%92%91%90%% Adjustable-rate7%7%
Annaly Capital Management — Q4 2012 Earnings Presentation on 6ix