Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2022 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Oct 27, 2022
Slide 1: Third Quarter 2022 Investor Presentation
Third Quarter 2022 Investor Presentation October 26, 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 Third Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Despite significant spread widening and sharp interest rate moves weighing on the market, Annaly generated strong earnings Earnings available for distribution* of $1.06 per average common share for the quarter, down $0.16 from the prior quarter with d
Slide 4: Third Quarter 2022 Financial Highlights
Third Quarter 2022 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 2.20% GAAP for Distribution* $0.88 1.98% Earnings & Book Value ($0.70) | $1.06 Book Value per Share Dividend Yield(1) $19.94 20.5% Q2 2022 Q3 2022 Total Portfolio(2) Capita
Slide 5: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $86.2 billion(1) | Total Shareholders’ Equity: $10.9 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 6: Market Environment & Annaly Positioning
Market Environment & Annaly Positioning
Slide 7: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The Federal Reserve continues to tighten monetary policy at an aggressive pace to slow persistent inflation, in turn bringing volatility to financial markets, restricting financial conditions and resulting in negative fixed income fund flows The labor market remain
Slide 8: Funding Conditions
Agency MBS Market Conditions While Agency MBS spreads have widened significantly, financing conditions are stable as the financial system has ample cash Agency MBS spreads have widened significantly year-to-date… Agency MBS spreads have widened to MBS Current Coupon less Average 5-year/10-year Tre
Slide 9: Annaly Positioned for Continued Market Volatility
Annaly Positioned for Continued Market Volatility Annaly’s disciplined portfolio and risk management, capital base and deep financing sources are intended to aid in withstanding volatility Active Portfolio Management Leverage & Liquidity Profile Managed through volatility in the Agency MBS market
Slide 10: Business Update
Business Update ANNALY Zz
Slide 11: Agency | Business Update
Agency | Business Update Annaly maintained its defensive positioning – rotating up in coupon and managing duration exposure – against the backdrop of weak supply/demand dynamics and heightened volatility posing significant challenges for the Agency MBS market Strategic Approach Market Trends Annal
Slide 12: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly Agency Portfolio: $78.2 billion in assets at the end of Q3 2022, an increase of 4.5% compared to Q2 2022 During the third quarter, Annaly’s portfolio increased by $3 billion as we selectively deployed capital from our accretive equity raises; portfolio activity
Slide 13: MSR | Business Update
MSR | Business Update As the second largest MSR purchaser in 2022 to date, Annaly has established a scaled MSR platform, which will continue to benefit from a low prepayment environment Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strategy by offering MSR bulk v
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly grew its MSR portfolio by $161 million during the quarter and over $1.25 billion year-to-date Annaly MSR Portfolio: $1.9 billion(1) in assets at the end of Q3 2022, an increase of 9% compared to Q2 2022 − Purchased approximately $150 million of MSR during the third q
Slide 15: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group’s high quality whole loan and securities portfolio should be well positioned amidst housing deceleration Strategic Approach Market and Credit Trends Programmatic securitization sponsor of new origination, residential All sector
Slide 16: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.1 billion in assets at the end of Q3 2022, an increase of 6% compared to Q2 2022 − The composition consists of a $4.3 billion securities portfolio and a $0.8 billion whole loan portfolio(1) Securities portfolio grew m
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 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 (1) GAAP net income (loss) per average common share ($0.70) $2.21 $5.46 $1.07 $1.36 Earnings available for distribution per average common share*(1) $1.06 $1.22 $1.11 $1.14 $1.14 Divid
Slide 19: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Agency mortgage-backed securities $63,037,241 $55,593,336 $57,787,141 $60,525,605 $62,818,079 Residential credit risk transfer securities 1,056,906 965,
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 and CMBX coupon income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding depre
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 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Premium Amortization Reconciliation Premium amortization expense $39,406 ($4,869) ($25,353) $219,172 $233,429 Less: PAA cost (benefit) (45,414) (127,521) (179,
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Economic leverage ratio reconciliation Repurchase agreements $54,160,731 $51,364,097 $52,626,503 $54,769,643 $55,475,420 Other secured financing 250,000 - 914,
Slide 25: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 26: Glossary
Glossary ARC: Refers to Annaly Residential Credit Group Non-QM: Refers to a Non-Qualified Mortgage CRT: Refers to Credit Risk Transfer Securities OBX: Refers to Onslow Bay Securities EAD: Refers to Earnings Available for Distribution Re-Performing Loan A type of loan in which payments were previousl
Slide 27: Endnotes
Endnotes Page 3 Page 5 1. Issuer ranking data from Inside Nonconforming Markets for 2021 to 2022 year-to date. 1. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are 2. Total portfolio represents Annaly’s investments that are on-balance sheet as
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) Page 12 1. Includes TBA purchase contracts. Non-GAAP Reconciliations 2. Includes TBA purchase contracts and fixed-rate pass-through certificates. Page 22 3. Includes fixed-rate pass-through certificates only. “High Quality Spec” protection is defined as pools 1. Excludes $141.1mm,
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