Annaly Capital Management Inc. · NYSE:NLY

Annaly Capital Management — Q4 2020 Earnings Presentation

25 slides from Annaly Capital Management's earnings presentation, Feb 10, 2021

  1. Slide 1: Fourth Quarter 2020 Financial Summary

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Fourth Quarter 2020 Financial Summary February 10, 2021

  2. Slide 2: Important Notices

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 1 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 pur

  3. Slide 3: Financial Snapshot

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 12/31/2020 9/30/2020 GAAP net income (loss) per average common share (1) $0.60 $0.70 Core earnings (excluding PAA) per average common s

  4. Slide 4: Portfolio-Related Data

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Portfolio- Related Data Residential Securities Summary Portfolio Statistics Unaudited, dollars in thousands 3 Portfolio Data For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Agency mortgage-backed securit

  5. Slide 5: Financing Data

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Financing Data Key Capital and Hedging Metrics ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except pe

  6. Slide 6: Income Statement Data

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ * 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 5 Income Statement Data For the

  7. Slide 7: Dividends and Key Return Metrics

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Dividends declared per common share $0.22 $0.22 $0.22 $0.25 $0.25 Total common and preferred dividends declared (1) $343,666 $344,684 $345,481 $393,328 $39

  8. Slide 8: Economic Net Interest Income

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 7 Components of Economic Net Interest Income * For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/202

  9. Slide 9: Core Earnings (excluding PAA) Reconciliation

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Core Earnings (excluding PAA)* Reconciliation 8 GAAP Net Income to Core Earnings (excluding PAA)* Reconciliation For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 GAAP net income (loss) $878,635 $1,015,548

  10. Slide 10: Book Value Rollforward and Net Interest Margin

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Book Value Rollforward Net Interest Margin Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics ______________ Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/202

  11. Slide 11: Net Interest Margin (excluding PAA) Changes

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Net Interest Margin (excluding PAA)* Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12

  12. Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Annualized GAAP Return (Loss) on Average Equity Annualized Core Return on Average Equity (excluding PAA)* ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of t

  13. Slide 13: Residential Investments & TBA Derivative Overview

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 12 Residential Investments & TBA Derivative Overview as of December 31, 2020 Agency Fixed-Rate Secu

  14. Slide 14: Residential Investments & TBA Derivative Overview (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of December 31, 2020 (continued) Agency Int

  15. Slide 15: Residential Credit Investments Detail

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of December 31, 2020 (1) Product Estimated Fair Value P

  16. Slide 16: Commercial Real Estate Overview

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands ______________ Detailed endnotes are included within the Appendix at the end of this presentation. 15 Commercial Real Estate Overview as of December 31, 2020 Investment Portfolio Number of Investmen

  17. Slide 17: Middle Market Lending Overview

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 16 Middle Market Lending Overview as of December 31, 2020 Industry Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services 483,142 Management and Public

  18. Slide 18: Hedging and Liabilities

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ Detailed endnotes are included within the Appendix at the end of this presentation. 17 Unaudited, dollars in thousands Hedging and Liabilities as of December 31, 2020 Principal Balance Weighted Average Rate Days to

  19. Slide 19: Interest Rate and MBS Spread Sensitivity

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. ______________ 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 spr

  20. Slide 20: Appendix

    Appendix ANNALY

  21. Slide 21: Non-GAAP Reconciliations

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 20 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

  22. Slide 22: Non-GAAP Reconciliations (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 21 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Premium Amortization Reconciliation Premium amortization expense $239,118 $248,718

  23. Slide 23: Non-GAAP Reconciliations (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. Unaudited, dollars in thousands 22 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2020 9/30/2020 6/30/2020 3/31/2020 12/31/2019 Economic Metrics (excluding PAA) Average interest earning assets $80,973,433 $83,28

  24. Slide 24: Endnotes

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 23 Endnotes Page 2 (1) Net of dividends on preferred stock. (2) Debt consists of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable. Certain credit f

  25. Slide 25: Endnotes (continued)

    © Copyright 2021 Annaly Capital Management, Inc. All rights reserved. 24 Endnotes (continued) Page 9 (1) Represents the opening adjustment to retained earnings upon adoption of Accounting Standards Update 2016-13 Financial instruments - Credit losses (Topic 326): Measurement of credit losses on fina

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