Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2024 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Jan 29, 2025
Slide 1: Fourth Quarter 2024 Investor Presentation
Fourth Quarter 2024 Investor Presentation January 29, 2025
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 Fourth Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Financial Performance Annaly generated a ~12% economic return for the year with earnings available for distribution in excess of the dividend Earnings available for distribution* of $0.72 per average common share for the quarter Book value per commo
Slide 4: Fourth Quarter 2024 Financial Highlights
Fourth Quarter 2024 Financial Highlights Net Interest Margin (ex. PAA)* Earnings & Book Value $0.78 | $0.72 $0.65 1.71% GAAP Earnings Available Dividend per Share 1.52% for Distribution* $19.15 14.2% Book Value per Share Dividend Yield(1) Q3 2024 Q4 2024 Capital Allocation(3) Average Yield on Intere
Slide 5: Established, Scaled Platforms Across Annaly’s Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $80.9bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralize
Slide 6: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The U.S. economy has remained strong, prompting the Federal Reserve (the “Fed”) to signal a slowdown of their easing cycle Q4 2024 Market and Economic Developments Lack of inflation progress and rising risks have reduced rate cut expectations in 2025 The U.S. eco
Slide 7: Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies
Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies Agency Residential Credit MSR Current Illustrative Market Levered Returns(1) 15%–17% 12%–15% 12%–14% Key Market Dynamics & Commentary The current favorable environment for Agency Home prices are holding firm, up 2.6% ye
Slide 8: Onslow Bay 2024 Strategic Milestones
Onslow Bay 2024 Strategic Milestones Onslow Bay expanded its leadership across the Residential Credit and MSR markets with another year of substantial growth Residential Credit MSR Key Milestones Onslow Bay has issued 73 securitizations since MSR portfolio grew by nearly 25% to $3.3 billion Acro
Slide 9: Business Update
ANNALY Business Update
Slide 10: Agency | Business Update
Agency | Business Update Annaly’s portfolio decline during the quarter was driven primarily by market value changes; activity focused on continuing to shift the portfolio towards higher coupons Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high-quality and liquid securit
Slide 11: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $70.6 billion in assets at the end of Q4 2024, a decrease of 3% compared to Q3 2024 Annaly modestly shifted the portfolio into higher coupon (6.0% coupons and higher) specified pools and TBAs during the quarter, while primarily rotating out o
Slide 12: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio continued to benefit from the significant and growing presence of the Onslow Bay correspondent channel in the expanded credit whole loan market Strategic Approach Market and Credit Trends Programmatic securitization sponsor
Slide 13: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $7.0 billion in assets(1) at the end of Q4 2024, an increase of 8% compared to Q3 2024 − Consists of a $4.6 billion securities portfolio and a $2.4 billion whole loan portfolio(1) Record quarterly whole loan settlements
Slide 14: MSR | Business Update
MSR | Business Update Annaly was the third largest buyer of MSR in 2024, resulting in nearly 25% portfolio market value growth year-over-year; Annaly remains a top 10 Agency MBS servicer with the lowest note rate among the top 20 servicers Strategic Approach Market Trends MSR portfolio complements
Slide 15: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $3.3 billion in market value (including Current MSR Portfolio by the Numbers(2) unsettled commitments) at the end of Q4 2024, an increase of (Excludes Interests in MSR / MSR of LP Interest) 17% compared to Q3 2024(1) − Onslow Bay committed to purchase
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends
Slide 17: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 12/31/2024 9/30/2024 6/30/2024 3/31/2024 12/31/2023 (1) GAAP net income (loss) per average common share $0.78 $0.05 ($0.09) $0.85 ($0.88) Earnings available for distribution per average common share*(1) $0.72 $0.66 $0.68 $0.64 $0.68 Di
Slide 18: Financial Highlights and Trends (cont’d)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2024 9/30/2024 6/30/2024 3/31/2024 12/31/2023 Agency mortgage-backed securities $67,434,068 $69,150,399 $64,390,905 $63,542,230 $66,308,788 Residential credit risk transfer securities 754,915 826,8
Slide 19: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity Unaudited The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2024 and September 30, 2024, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates
Slide 20: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 21: Non-GAAP Reconciliations
Non-GAAP Reconciliations 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, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles,
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 12/31/2024 9/30/2024 6/30/2024 3/31/2024 12/31/2023 Premium Amortization Reconciliation Premium amortization expense $8,196 $53,448 $10,437 $26,732 $51,247 Less: PAA cost (benefit) (25,287) 21,365 (7,306) (3,01
Slide 24: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 12/31/2024 9/30/2024 6/30/2024 3/31/2024 12/31/2023 Economic leverage ratio reconciliation Repurchase agreements $65,688,923 $64,310,276 $60,787,994 $58,975,232 $62,201,543 Other secured financing 750,000 600,0
Slide 25: Glossary and Endnotes
ANNALY Glossary and Endnotes
Slide 26: Glossary
Glossary ARM: Refers to Adjustable-Rate Mortgage MSR: Refers to Mortgage Servicing Rights CPR: Refers to Constant Prepayment Rate Non-Performing Loan A loan that is close to defaulting or is in default (“NPL”): CRT: Refers to Credit Risk Transfer Securities Non-QM: Refers to a Non-Qualified Mortgage
Slide 27: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $5.8bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents the year-over-year change in the monthly Personal Consumption Expenditure Price Index excluding that have not been pledged or securitized (generally in
Slide 28: Endnotes (cont’d)
Endnotes (cont’d) Page 13 Page 19 1. Excludes assets transferred or pledged to securitization vehicles of $22.0bn, include $2.3bn of retained 1. Interest rate and MBS spread sensitivity are based on results from third-party models in conjunction with securities that are eliminated in consolidation a
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