Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2023 Earnings Presentation
26 slides from Annaly Capital Management's earnings presentation, Oct 25, 2023
Slide 1: Third Quarter 2023 Investor Presentation
Third Quarter 2023 Investor Presentation October 25, 2023
Slide 2: Important Notices
Important Notices 2 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 Third Quart
Slide 3: Recent Achievements and Performance Highlights
Financing & Liquidity Recent Achievements and Performance Highlights 3 Annaly generated earnings in line with the dividend amidst rapidly rising rates and elevated market volatility Annaly continued its role as a leading programmatic securitization issuer providing attractive non mark-to-market fina
Slide 4: Third Quarter 2023 Financial Highlights
Third Quarter 2023 Financial Highlights 4 ($1.21) | $0.66 $18.25 Earnings per Share Earnings Available for Distribution*GAAP Book Value per Share 13.8% Dividend per Share Dividend Yield(1) $0.65 Net Interest Margin (ex. PAA)* $76.2bn $10.6bn Total Portfolio(2) Total Stockholders’ Equity Capital Allo
Slide 5: Annaly Investment Strategies
Invests in Agency MBS collateralized by residential mortgages, which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae, and complementary investments within the Agency market Annaly Investment Strategies Total Portfolio: $76.2 billion(1) | Total Shareholders’ Equity: $10.6 billion 5 Assets(1)
Slide 6: Current Illustrative Returns Across Annaly's Investment Strategies
Agency MSRResidential Credit Current Illustrative Returns Across Annaly’s Investment Strategies In the current environment, Annaly’s investment strategies offer attractive new money returns despite market volatility 6 Source: Company filings. Financial data as of September 30, 2023. Market data as o
Slide 7: Q3 2023 Market and Economic Developments
Q3 2023 Market and Economic Developments The U.S. economy remained strong in Q3 2023, and median expectations do not currently forecast a recession despite a growth slowdown The Macroeconomic State of Affairs Note: Data as of October 20, 2023, unless otherwise noted. For source information, please r
Slide 8: Business Update
Business Update ANNALY |
Slide 9: Agency | Business Update
Agency | Business Update Annaly’s Agency MBS portfolio decreased modestly in the third quarter, with activity focused on continuing to shift upward in coupon primarily through the addition of production coupon specified pools 9 Annaly’s Agency portfolio is made up of high quality and liquid securi
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary 10 Total Dedicated Capital: $6.7 billion(1) Asset Type(1) Pass Through Coupon Type(2) Portfolio Quality(3) Note: Financial data as of September 30, 2023. Percentages based on fair market value and may not sum to 100% due to rounding. Detailed endnotes and a glossary of def
Slide 11: Residential Credit | Business Update
$1,094 $2,095 $1,846 $3,857 $6,196 $3,857 3 5 4 10 16 10 0 2 4 6 8 10 12 14 16 18 $0 $1,000 $2,000 $3,000 $4,000 $5,000 $6,000 2018 2019 2020 2021 2022 2023 YTD UPB Issued Deal Count Residential Credit | Business Update Annaly’s Residential Credit portfolio grew in the third quarter through producti
Slide 12: Residential Credit | Portfolio Summary
OBX Retained 23% Prime 4% Alt A 2% Subprime 4%NPL 8% RPL 15% Prime Jumbo 6% WL 19% CRT 19% Fixed 62% Fixed Duration <2yrs 9% Floating 20% ARM 3% IO 6% Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.3 billion in assets at the end of Q3 2023, up 6% from Q2 2023 − Cons
Slide 13: MSR | Business Update
5.48x 5.25x 5.34x 5.52x 5.66x 5.4% 4.9% 4.3% 4.1% 3.5% 3.0% 2.5% 2.4% 2.7% 3.2% 3.7% 3.9% 4.0% 4.0% 3.7% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 MSR | Business Update 13 Source: Company filings. Financial data as of September 30, 2023. Deta
Slide 14: MSR | Portfolio Summary
Annaly MSR Portfolio: $2.3 billion in assets at the end of Q3 2023, a 4% increase compared to Q2 2023 − Increase in portfolio was driven by combination of settlements from bulk purchases and mark-to-market gains Portfolio is comprised of primarily low WAC, high credit quality collateral sourced
Slide 15: Financial Highlights and Trends
Financial Highlights and Trends
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends 16 For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 GAAP net income (loss) per average common share(1) ($1.21) $0.27 ($1.79) ($1.96) ($0.70) Earnings available for distribution per average common share*(1) $0.66 $0.72 $0.81 $0.89 $1.06 Dividen
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) 17 Unaudited (dollars in thousands) For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Agency mortgage-backed securities $66,591,536 $67,764,264 $65,623,534 $62,274,895 $63,037,241 Residential credit risk transfer securities 982,951 1,0
Slide 18: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 19: Non-GAAP Reconciliations
Non-GAAP Reconciliations 19 Earnings Available for Distribution (“EAD”), a non-GAAP measure, is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding am
Slide 20: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 20 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
Slide 21: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 21 Unaudited (dollars in thousands) * Represents a non-GAAP financial measure. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Premium Amortizat
Slide 22: Economic leverage ratio reconciliation
For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Economic leverage ratio reconciliation Repurchase agreements $64,693,821 $61,637,600 $60,993,018 $59,512,597 $54,160,731 Other secured financing 500,000 500,000 250,000 250,000 250,000 Debt issued by securitization vehicles 9,
Slide 23: Glossary and Endnotes
Glossary and Endnotes ANNALY |
Slide 24: Glossary
Glossary 24 ARC: Refers to Annaly Residential Credit Group CRT: Refers to Credit Risk Transfer Securities EAD: Refers to Earnings Available for Distribution (formerly Core Earnings (excluding PAA)) Economic Return: Refers to the Company’s change in book value plus dividends declared divided by the p
Slide 25: Endnotes
Endnotes 25 Page 3 1. Issuer ranking data from Inside Nonconforming Markets for 2022 through 2023 YTD (October 6, 2023 issue). 2. Includes a $407mm whole loan securitization that priced in October 2023. 3. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investmen
Slide 26: Endnotes (cont'd)
Endnotes (cont’d) 26 Page 16 1. Net of dividends on preferred stock. 2. Annualized GAAP return (loss) on average equity annualizes gains and (losses) which are not indicative of full year performance, unannualized GAAP return (loss) on average equity is (5.04%), 1.35%, (7.21%), (7.95%) and (2.49%) f
Annaly Capital Management — Q3 2023 Earnings Presentation on 6ix