Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2022 Earnings Presentation
29 slides from Annaly Capital Management's earnings presentation, Apr 27, 2022
Slide 1: First Quarter 2022 Financial Summary
First Quarter 2022 Financial Summary April 27, 2022
Slide 2: Important Notices and 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 2022 earnings rel
Slide 3: Updates to Financial Disclosures
Updates to Financial Disclosures Beginning with the quarter ended March 31, 2022, in light of the continued growth of its mortgage servicing rights portfolio, the Company enhanced its financial disclosures by separately reporting servicing income and servicing expense in its Consolidated Statements
Slide 4: GAAP Key Statistics
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 3/31/2022 12/31/2021 GAAP net income (loss) per average common share (1) $1.37 $0.27 Earnings available for distribution per average common share *(1) $0.28 $0.28 Annualized GAAP return (loss) on average e
Slide 5: Portfolio-Related Data
Portfolio- Related Data Unaudited, dollars in thousands 4 Portfolio Data For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Agency mortgage-backed securities $57,787,141 $60,525,605 $62,818,079 $66,468,519 $69,637,229 Residential credit risk transfer securities 845,809 936,228
Slide 6: Financing Data and Key Capital and Hedging Metrics
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 included within the Appendix at the end of this presentation. Unaudited, do
Slide 7: 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 6 Income Statement Data For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Tot
Slide 8: Dividends, Returns and Net Interest Margin
For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Dividends declared per common share $0.22 $0.22 $0.22 $0.22 $0.22 Total common and preferred dividends declared (1) $349,080 $348,793 $346,651 $345,417 $335,229 Annualized GAAP return (loss) on average equity 65.62% 12.44% 15.
Slide 9: Economic Net Interest Income
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 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Interest income: Agency Securities $522,951 $301,001 $299,
Slide 10: EAD Reconciliation
EAD* Reconciliation 9 GAAP Net Income to Earnings Available for Distribution* Reconciliation For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 GAAP net income (loss) $2,023,894 $418,460 $521,534 ($294,848) $1,751,134 Net income (loss) attributable to noncontrolling interests
Slide 11: Book Value Rollforward and Net Interest Margin
Book Value Rollforward Net Interest Margin Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Book value per common share, beginning of period $7.97 $8.39 $8.37 $8.95 $8.92 Net income (loss) available (related) to common
Slide 12: Net Interest Margin (excluding PAA)
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 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Prior quarter net interest margin (excluding PAA) * 2.03% 2.04
Slide 13: Annualized Return on Average Equity Changes
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 Notices on page 2. Detailed endnotes are included within the Appendix at t
Slide 14: Residential & Other Investments Overview
______________ 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, 2022 Agency Fixed-Rate Securities (Pools) Original Weighted Avg. Years to Maturity Current Face Value % (3) W
Slide 15: Residential & Other Investments Overview (continued)
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential & Other Investments Overview as of March 31, 2022 (continued) Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rat
Slide 16: Residential Credit Securities Detail
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 15 Residential Credit Securities Detail as of March 31, 2022 Product Estimated Fair Value Payment Structure Investment Characteristics Senior Subordinate Coupon Credit E
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands 16 Middle Market Lending Overview as of March 31, 2022 Industry Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services $464,921 Management & Public Relations Services 229,097 Industrial Inorganic Chemicals 155,728 Miscell
Slide 18: Hedging and Liabilities
______________ Detailed endnotes are included within the Appendix at the end of this presentation. 17 Unaudited, dollars in thousands Hedging and Liabilities as of March 31, 2022 Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $ 52,626,5
Slide 19: Interest Rate and MBS Spread Sensitivity
______________ 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 spread sensitivity are based on the portfolios as of March 31, 2022 and D
Slide 20: Appendix
Appendix ANNALY
Slide 21: Consolidated Statements of Financial Condition
Dollars in thousands, except per share data 20 Consolidated Statements of Financial Condition 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 955,840 $ 1,342,090 $ 1,046,300 $ 1,380,456 $ 1,122,793 Securities 60,72
Slide 22: Consolidated Statements of Comprehensive Income (Loss)
Unaudited, dollars in thousands, except per share data 21 Consolidated Statements of Comprehensive Income (Loss) For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Net interest income Interest income $ 655,850 $ 422,780 $ 412,972 $ 383,906 $ 763,378 Interest expense 74,922 61,
Slide 23: Income Statement Gains (Losses) Detail
Unaudited, dollars in thousands 22 Income Statement Gains (Losses) Detail For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Net gains (losses) on disposal of investments and other ($144,224) ($25,144) $12,002 $16,223 ($65,786) Net unrealized gains (losses) on instruments meas
Slide 24: Non-GAAP Reconciliations
23 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 25: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 24 Non-GAAP Reconciliations (continued) For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Economic leverage ratio reconciliation Repurchase agreements $52,626,503 $54,769,643 $55,475,420 $60,221,067 $61,202,477 Other secured financing 914,255 9
Slide 26: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 25 Non-GAAP Reconciliations (continued) For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Economic capital ratio reconciliation Total GAAP assets $76,185,134 $76,764,064 $76,662,433 $82,376,305 $85,369,589 Less: Gross unrealized gains on TBA de
Slide 27: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 26 Non-GAAP Reconciliations (continued) For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Economic Metrics (excluding PAA) Average interest earning assets $72,590,876 $73,134,966 $72,145,283 $77,916,766 $81,121,340 Interest income (excluding PA
Slide 28: Endnotes
27 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 payable divided by total equity. Economic leverage is computed as the su
Slide 29: Endnotes (continued)
28 Endnotes (continued) Page 12 (1) Includes other, net, general and administrative expenses and income taxes. (2) Includes other, net (excluding non-EAD items), MSR amortization (a component of net gains (losses) on investments and other), general and administrative expenses (excluding transaction
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