Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2022 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 28, 2022
Slide 1: First Quarter 2022 Investor Presentation
First Quarter 2022 Investor Presentation April 27, 2022
Slide 2: Important Notices
Important Notices 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
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Market performance was challenged by substantial rate and spread volatility, though Annaly continued to generate strong earnings Earnings available for distribution* of $0.28 per average common share for the quarter; unchanged from the prior quarter w
Slide 4: First Quarter 2022 Financial Highlights
First Quarter 2022 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available GAAP for Distribution* $0.22 2.03% 2.04% Earnings & Book Value $1.37 | $0.28 Book Value per Share Dividend Yield(1) $6.77 12.5% Q4 2021 Q1 2022 Total Portfolio(2) Capital A
Slide 5: Annaly Middle Market Lending Portfolio Sale
Annaly Middle Market Lending Portfolio Sale Transaction Overview On April 25, 2022, Annaly entered into a definitive agreement to sell substantially all of the assets that comprise the Annaly Middle Market Lending portfolio, including assets held on balance sheet as well as assets managed for thir
Slide 6: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $84.4 billion(1) | Total Shareholders’ Equity: $11.5 billion Mortgage Residential Agency Servicing Credit Rights Invests in Agency MBS collateralized by Invests in Mortgage Servicing Rights, Invests in Non-Agency residential residential mortgages, which
Slide 7: Market Environment & Annaly Positioning
Market Environment & Annaly Positioning
Slide 8: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs A tight labor market and elevated inflation have forced the Fed to signal faster policy tightening, leading to sharp fixed-income market underperformance By the end of Q1 2022, markets expect nine 25 bps hikes in 2022, compared to just three Q1 2022 Market and Econ
Slide 9: The Changed Mortgage Environment
The Changed Mortgage Environment Mortgage spreads are now the most attractive in several years, though some technical factors continue to weigh on the sector Tailwinds for the Mortgage Market Nominal mortgage spreads have reached their widest levels in years MBS Current Coupon less Average 5-year/10
Slide 10: Business Update
Business Update ANNALY Zz
Slide 11: Agency | Business Update
Agency | Business Update Amidst one of the most challenging market environments for fixed-income in decades, Annaly maintained a defensive posture by rotating up in coupon and closely managing duration exposure Strategic Approach Market Trends Annaly’s Agency Portfolio is made up of high quality a
Slide 12: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly Agency Portfolio: $76.1 billion in assets at the end of Q1 2022, a decrease of 6% compared to Q4 2021 During the first quarter, Annaly’s notional holdings were roughly unchanged and portfolio activity focused on shifting up in coupon − Annaly reduced exposure to
Slide 13: MSR | Business Update
MSR | Business Update Annaly continued to opportunistically grow its MSR platform amidst elevated bulk market volumes in the first quarter Strategic Approach Market Trends MSR portfolio is complementary to Annaly’s Agency MBS strategy As the primary-secondary mortgage spread has compressed, mort
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly grew its complementary MSR portfolio by $588 million during the quarter through purchases and mark-to-market gains Annaly MSR Portfolio: $1.2 billion(1) in assets at the end of Q1 2022, an increase of 91% compared to Q4 2021 − Purchased $426 million of MSR during the
Slide 15: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group’s securitization program continues to serve as a long-term, non mark-to-market financing mechanism in addition to an asset generation strategy Strategic Approach Market Trends Programmatic securitization sponsor of new originatio
Slide 16: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $4.4 billion in assets at the end of Q1 2022, a decrease of 6% compared to Q4 2021 driven primarily by whole loan securitizations − The composition consists of a $3.5 billion securities portfolio and $0.9 billion whole loa
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends
Slide 18: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 (1) GAAP net income (loss) per average common share $1.37 $0.27 $0.34 ($0.23) $1.23 Earnings available for distribution per average common share*(1) $0.28 $0.28 $0.28 $0.30 $0.29 Divid
Slide 19: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) 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 845,809 936,22
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations The Company has relabeled “Core Earnings (excluding PAA)” as “Earnings Available for Distribution” (“EAD”). The definition of Earnings Available for Distribution is identical to the definition of Core Earnings (excluding PAA) from prior reporting periods. As such, Earnings A
Slide 22: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands, except per share amounts) 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 subs
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 3/31/2022 12/31/2021 9/30/2021 6/30/2021 3/31/2021 Premium Amortization Reconciliation Premium amortization expense ($25,353) $219,172 $233,429 $320,108 ($11,891) Less: PAA cost (benefit) (179,516) 57,395 60,72
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) 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 914,255 903,25
Slide 25: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 26: Glossary
Glossary AMML: Refers to Annaly Middle Market Lending Group Non-Performing Loan A loan that is close to defaulting or is in default (“NPL”): ARC: Refers to Annaly Residential Credit Group Non-QM: Refers to a Non-Qualified Mortgage CRE CLO: Refers to Commercial Real Estate Collateralized OBX: Refers
Slide 27: Endnotes
Endnotes Page 3 Page 8 1. Issuer ranking data from Inside Nonconforming Markets as of April 9, 2022. 1. Based on April 19, 2022 market rates retrieved via Bloomberg. 2. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are 2. Represents quarterly h
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) Page 18 1. Net of dividends on preferred stock. Non-GAAP Reconciliations 2. Net interest margin represents interest income less interest expense divided by average interest earning Page 22 assets. Net interest margin (excluding PAA) represents the sum of the Company's interest inco
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