Annaly Capital Management Inc. · NYSE:NLY

Annaly Capital Management — Investor Presentation (May 2019)

30 slides from Annaly Capital Management's investor presentation, May 2019

  1. Slide 1: Onslow Bay Financial LLC

    Onslow Bay Financial LLC May 2019

  2. Slide 2: Safe Harbor Notice

    Safe Harbor Notice Forward-Looking Statements 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 m

  3. Slide 3: Annaly is a Leading Diversified Capital Manager

    Annaly is a Leading Diversified Capital Manager The Annaly Agency Group invests in Agency MBS The Annaly Residential Credit Group (“ARC”) invests collateralized by residential mortgages which are in Non-Agency residential mortgage assets within the guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae

  4. Slide 4: First Quarter 2019 Financial Highlights

    First Quarter 2019 Financial Highlights Earnings (Loss) per Share Dividend per Share Net Interest Margin Net Interest Margin Core (ex. PAA)* GAAP (ex. PAA)* $0.30 1.34% 1.49% 1.51% Earnings & ($0.63) | $0.29 1.25% Book Value Book Value per Share Dividend Yield(1) $9.67 12.01% Q4 2018 Q1 2019 Q4 2018

  5. Slide 5: Agency | Portfolio Summary

    Agency | Portfolio Summary  Annaly Agency Portfolio: $119.5 billion in assets at the end of Q1 2019, an increase of 13% from Q4 2018  The portfolio mix is comprised of predominately 30-year fixed rate securities, as we believe these offer the most attractive risk- adjusted returns in the Agency MB

  6. Slide 6: Residential Credit | Portfolio Summary

    Residential Credit | Portfolio Summary  Annaly Residential Credit Portfolio: $3.4 billion at the end of Q1 2019, an increase of 2% from Q4 2018  Closed a $394 million Agency Investor Securitization in January – Subsequent to quarter end, priced an additional $388 million Securitization backed by e

  7. Slide 7: Commercial Real Estate | Portfolio Summary

    Commercial Real Estate | Portfolio Summary  Annaly Commercial Real Estate Portfolio: $2.1 billion in assets at the end of Q1 2019(1), calculated net of the managed CRE CLO issued during the quarter, reflecting a decrease of 15% from Q4 2018  Issued $857 million actively managed CRE CLO, providing

  8. Slide 8: Middle Market Lending | Portfolio Summary

    Middle Market Lending | Portfolio Summary  Annaly Middle Market Lending Portfolio: $1.8 billion in assets at the end of Q1 2019, a decrease of 4% from Q4 2018 – Executed successful syndication of $242 million of a unitranche loan across six lenders(1), driving modest decline in portfolio balance 

  9. Slide 9: Onslow Bay Financial LLC

    Onslow Bay Financial LLC ANNALY

  10. Slide 10: Onslow Bay Overview

    Onslow Bay Overview Annaly purchases residential whole loans through Onslow Bay Financial LLC  Onslow Bay Financial LLC (“Onslow Bay”) (previously Onslow Bay Servicing LLC) was formed on July 17, 2013  Onslow Bay was a wholly owned subsidiary of Hatteras Financial Corp. (“Hatteras”). In July of 20

  11. Slide 11: Loan Due Diligence & Servicer Oversight

    Loan Due Diligence & Servicer Oversight 100% Full Securitization Diligence Sub-Servicer Oversight  Onslow Bay uses both American Mortgage Consultants  Onslow Bay contracts Select Portfolio Servicing (“SPS”) and (“AMC”) and Clayton Holdings LLC (“Clayton”) to perform Specialized Loan Servicing (“SL

  12. Slide 12: Onslow Bay Residential Whole Loan Target Acquisitions

    Onslow Bay Residential Whole Loan Target Acquisitions  Onslow Bay seeks to purchase closed, funded, performing residential whole loans made to mortgagors with stable incomes and employment histories  The summary below is representative of the “Expanded Prime” guidelines Onslow Bay utilizes to purc

  13. Slide 13: Onslow Bay Residential Whole Loan Target Acquisitions (cont'd)

    Onslow Bay Residential Whole Loan Target Acquisitions (cont’d)  Onslow Bay also purchases 12 Month PnL, Agency Eligible Investor and Debt Service Coverage Ratio (“DSCR”) Investor loans  The summary below is representative of the guidelines Onslow Bay utilizes to purchase whole loans from our origi

  14. Slide 14: Onslow Bay Securitizations

    Onslow Bay Securitizations OBX 2015-1 OBX 2018-1 OBX 2018-EXP1 OBX 2018-EXP2 OBX 2019-INV1 OBX 2019-EXP1 Issue Date Dec-15 Mar-18 Aug-18 Oct-18 Jan-19 Apr-19 Collateral Type Prime Jumbo Seasoned Prime ARMs Expanded Prime Expanded Prime Agency Investor Expanded Prime Collapse of 2 Legacy Deals Source

  15. Slide 15: Onslow Bay Securitization Performance

    Onslow Bay Securitization Performance OBX securitizations have performed in line with expectations 3M VPR D60+ 35 2.00 1.76(1) 31.36 30 1.50 25 21.46 20 1.00 19.20 18.86 15 0.50 10 17.76 5 0.00 OBX 2015-1 OBX 2018-1 OBX 2018-EXP1 OBX 2015-1 OBX 2018-1 OBX 2018-EXP1 OBX 2018-EXP2 OBX 2019-INV1 OBX 20

  16. Slide 16: Appendix

    Appendix ANNALY

  17. Slide 17: OBX Securitizations

    OBX Securitizations ANNALY

  18. Slide 18: OBX 2018-1

    OBX 2018-1 Seasoned Prime Transaction Transaction Highlights $327,161,759 Deal Size  Represents Onslow Bay’s first rated securitization of 2018 and the OBX 2018-1 Trust company’s second overall, achieving AAA-rating from Issuer Fitch and DBRS  3/26/2018 Pricing Onslow Bay Financial LLC Seller and

  19. Slide 19: OBX 2018-EXP1

    OBX 2018-EXP1 Expanded Prime Transaction $383,451,233 Transaction Highlights Deal Size  Represents Onslow Bay’s first expanded prime securitization, OBX 2018-EXP1 Trust achieving AAA-rating from Fitch and KBRA Issuer  7/31/2018 Pricing Onslow Bay Financial LLC  100% of the loans are first lien mo

  20. Slide 20: OBX 2018-EXP2

    OBX 2018-EXP2 Expanded Prime Transaction $384,027,255 Transaction Highlights Deal Size  Represents Onslow Bay’s third securitization of 2018, and the OBX 2018-EXP2 Trust Company’s second expanded prime securitization, achieving AAA- Issuer rating from Fitch and DBRS Onslow Bay Financial LLC  10/23

  21. Slide 21: OBX 2019-INV1

    OBX 2019-INV1 Agency Investor Transaction $393,961,409 Transaction Highlights Deal Size  Represents Onslow Bay’s first securitization of 2019, and the OBX 2019-INV1 Trust Company’s first agency investor securitization, achieving AAA-rating Issuer from Moody’s and Kroll Onslow Bay Financial LLC  1/

  22. Slide 22: OBX 2019-EXP1

    OBX 2019-EXP1 Expanded Prime Transaction Transaction Highlights $388,155,948 Deal Size  Represents Onslow Bay’s second securitization of 2019, and the OBX 2019-EXP1 Trust Company’s third expanded prime securitization, achieving AAA- Issuer rating from Fitch and Kroll  4/16/2019 Pricing Onslow Bay

  23. Slide 23: Non-GAAP Reconciliations

    Non-GAAP Reconciliations ANNALY

  24. Slide 24: Non-GAAP Reconciliations

    Non-GAAP Reconciliations Beginning with the quarter ended September 30, 2018, the Company updated its calculation of core earnings and related metrics to reflect changes to its portfolio composition and operations, including the acquisition of MTGE in September 2018. Compared to prior periods, the r

  25. Slide 25: 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 substi

  26. Slide 26: Non-GAAP Reconciliations (cont'd)

    Non-GAAP Reconciliations (cont’d) Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Premium Amortization Reconciliation Premium amortization expense $247,446 $220,131 $187,537 $202,426 $95,832 Less: PAA cost (benefit) $81,871 $45,472 $3,386 $7,

  27. Slide 27: Glossary and Endnotes

    Glossary and Endnotes ANNALY

  28. Slide 28: Glossary

    Glossary ACREG: Refers to Annaly Commercial Real Estate Group AMML: Refers to Annaly Middle Market Lending Group ARC: Refers to Annaly Residential Credit Group BBREMTG: Represents the Bloomberg Mortgage REIT Index* BK: Refers to bankruptcy CRT: Refers to credit risk transfer securities DTI: Refers t

  29. Slide 29: Endnotes

    Endnotes Page 2 40-year pools. “40+ WALA” is defined as weighted average loan age greater than 40 1. Agency assets include to be announced (“TBA”) purchase contracts (market value) and months and treated as seasoned collateral. mortgage servicing rights (“MSRs”). Residential Credit assets exclude se

  30. Slide 30: Endnotes (cont'd)

    Endnotes (cont’d) Page 11 1. 1 Year seasoning period for any 30 day delinquency. Non-GAAP Reconciliations 2. Represent Onslow Bay credit overlays. Page 24 Page 12 1. Includes depreciation and amortization expense related to equity method investments. 1. 2 Year seasoning period for any 30 day delinqu

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