Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2018 Earnings Presentation
23 slides from Annaly Capital Management's earnings presentation, Oct 31, 2018
Slide 1: Third Quarter 2018 Financial Summary
Third Quarter 2018 Financial Summary October 31, 2018
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) and may be identified by referen
Slide 3: Q3 2018 Financial Snapshot
Q3 2018 Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2018 6/30/2018 GAAP net income per average common share (1) $0.29 $0.49 Core earnings (excluding PAA) per average common share *(1) $0.30 $0.30 Core earnings per average common share *(1)
Slide 4: Portfolio Data
Portfolio Data Unaudited, dollars in thousands For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Agency mortgage-backed securities $89,290,128 $86,593,058 $88,579,097 $90,551,763 $85,889,131 Credit risk transfer securities 688,521 563,796 628,942 651,764 582,938 Non-agency mo
Slide 5: Financing and Capital Data
Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Repurchase agreements $79,073,026 $75,760,655 $78,015,431 $77,696,343 $69,430,268 Other secured financing 4,108,547 3,760,487 3,830,075 3,837,
Slide 6: Income Statement Data
Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Total interest income $816,596 $776,806 $879,487 $745,423 $622,550 Total interest expense 500,973 442,692 367,421 318,711 268,937 Net interest inco
Slide 7: Key Earnings Metrics
Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Dividends declared per common share $0.30 $0.30 $0.30 $0.30 $0.30 Total common and preferred dividends declared (1) $397,163 $380,677 $381,663 $388,
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income Unaudited, dollars in thousands For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Interest income: Residential Securities $680,037 $662,750 $779,588 $654,387 $540,436 Residential mortgage loans 21,184 18,868 15,505 10,750 8,509 Comme
Slide 9: GAAP Net Income to Core Earnings Reconciliation
GAAP Net Income to Core Earnings Reconciliation Unaudited, dollars in thousands For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 GAAP net income (loss) $385,429 $595,887 $1,327,704 $746,771 $367,315 Net income (loss) attributable to noncontrolling interests (149) (32) (96) (
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Book value per common share, beginning of period $10.35 $10.53 $11.34 $11.42 $11.19 Net income (loss) available (related) to common stockholders (1) 0.29 0.49 1.12 0.62 0.3
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
Quarter-Over-Quarter Changes in Key Metrics (cont’d) Unaudited For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Prior quarter net interest spread 1.15% 1.55% 1.14% 0.97% 0.84% Quarter-over-quarter changes in contribution: Net Interest Coupon on average interest earning asset
Slide 12: Quarter-Over-Quarter Changes in Return on Average Equity
Quarter-Over-Quarter Changes in Return on Average Equity Unaudited For the quarters ended 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Prior quarter GAAP return (loss) on average equity 17.20% 36.86% 20.58% 10.98% 0.46% Quarter-over-quarter changes in contribution: Coupon income (0.21%) 1.10%
Slide 13: Residential Investments and TBA Derivative Overview
Residential Investments and TBA Derivative Overview as of September 30, 2018 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Valu
Slide 14: Residential Investments & TBA Derivative Overview (cont'd)
Residential Investments & TBA Derivative Overview as of September 30, 2018 (cont’d) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cos
Slide 15: Residential Credit Investments Detail
(1) Residential Credit Investments Detail as of September 30, 2018 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit 60+ Product Fair Value Senior Subordinate Coupon Enhancement Delinquencies 3M VPR Agency Credit Risk Transfer $658,691 $— $658,691 5.46% 1.
Slide 16: Commercial Real Estate Overview
Commercial Real Estate Overview as of September 30, 2018 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Life Economic Book Values (1) % of Portfolio Levered Return(6) Mortgage Debt & Preferred Equity Investments Investments LTV (2) (3) (years) (4) Interest(5) First
Slide 17: Middle Market Lending Overview
Middle Market Lending Overview as of September 30, 2018 Unaudited, dollars in thousands Industry Dispersion Size Dispersion Industry Fixed Rate Floating Total Position Size Amount Percentage Aircraft and Parts $— $41,344 $41,344 $0 - $20 million $320,283 20.9% Coating, Engraving and Allied Services
Slide 18: Hedging and Liabilities
Hedging and Liabilities as of September 30, 2018 Unaudited, dollars in thousands Interest Rate Swaps (1) Interest Rate Swaptions Current Weighted Avg. Weighted Avg. Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Years to Underlying Underlying Underlying Underlying Mont
Slide 19: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2018 and June 30, 2018 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The
Slide 20: Appendix
Appendix
Slide 21: Endnotes
Endnotes for Page 2 * Represents a non-GAAP financial measure. In connection with the Company's continued growth and diversification, including the recent acquisition of MTGE Investment Corp., the Company has updated its calculation of core earnings and related metrics to reflect changes to its port
Slide 22: Non-GAAP Reconciliations
Non-GAAP Reconciliations Unaudited, dollars in thousands * 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, financ
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) Unaudited, dollars in thousands For the quarters ended, 9/30/2018 6/30/2018 3/31/2018 12/31/2017 9/30/2017 Economic Metrics (excluding PAA) Average interest earning assets $101,704,957 $102,193,435 $101,979,042 $100,247,589 $89,253,094 Interest income (excluding PAA
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