Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2022 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Oct 26, 2022
Slide 1: Third Quarter 2022 Financial Summary
Third Quarter 2022 Financial Summary October 26, 2022
Slide 2: Forward-Looking Statements
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 2022 earnings rel
Slide 3: Basis of Presentation
Basis of Presentation On September 8, 2022, the Company announced that its Board of Directors had unanimously approved a reverse stock split of the Company’s common stock at a ratio of 1- for-4 (the “Reverse Stock Split”). The Reverse Stock Split was effective following the close of business on Sept
Slide 4: GAAP Key Statistics, Income Statement, Balance Sheet
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 9/30/2022 6/30/2022 GAAP net income (loss) per average common share (1) ($0.70) $2.21 Earnings available for distribution per average common share *(1) $1.06 $1.22 Annualized GAAP return (loss) on average
Slide 5: Portfolio-Related Data
Portfolio- Related Data Unaudited, dollars in thousands 4 Portfolio Data 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 1,056,906 965,7
Slide 6: Financing Data: Key Capital and Hedging Metrics
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 per share amounts 5 Financing and Capital Data For the quarters ended 9/
Slide 7: Income Statement Data
______________ * 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 6 Income Statement Data For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Tot
Slide 8: Dividends and Return Metrics
For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Dividends declared per common share $0.88 $0.88 $0.88 $0.88 $0.88 Total common and preferred dividends declared (1) $440,033 $382,350 $349,080 $348,793 $346,651 Annualized GAAP return (loss) on average equity (9.94%) 30.60% 65
Slide 9: Components of Economic Net Interest Income
Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 8 Components of Economic Net Interest Income * For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Interest income: Agency Securities $517,528 $497,135 $522,
Slide 10: EAD Reconciliation
EAD* Reconciliation 9 GAAP Net Income to Earnings Available for Distribution* Reconciliation For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 GAAP net income (loss) ($273,977) $863,317 $2,023,894 $418,460 $521,534 Net income (loss) attributable to noncontrolling interests 1,
Slide 11: Book Value Rollforward and Net Interest Margin
Book Value Rollforward Net Interest Margin Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Book value per common share, beginning of period $23.59 $27.08 $31.88 $33.55 $33.46 Net income (loss) available (related) to c
Slide 12: Net Interest Margin (excluding PAA)
Net Interest Margin (excluding PAA)* Unaudited 11 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Prior quarter net interest margin (excluding PAA) * 2.20% 2.04
Slide 13: Annualized Return on Average Equity Changes
Annualized GAAP Return (Loss) on Average Equity Annualized EAD Return on Average Equity* ______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 12 Quarter-Over-Quarter Changes in Annualized Return on Ave
Slide 14: Residential & Other Investments Overview
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential & Other Investments Overview as of September 30, 2022 Agency Fixed-Rate Securities (Pools) Original Weighted Avg. Years to Maturity Current Face Value % (
Slide 15: Residential & Other Investments Overview (continued)
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential & Other Investments Overview as of September 30, 2022 (continued) Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note
Slide 16: Residential Credit Securities Detail
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 15 Residential Credit Securities Detail as of September 30, 2022 Product Estimated Fair Value Payment Structure Investment Characteristics Senior Subordinate Coupon Cred
Slide 17: Hedging and Liabilities
______________ Detailed endnotes are included within the Appendix at the end of this presentation. 16 Unaudited, dollars in thousands Hedging and Liabilities as of September 30, 2022 Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $ 54,1
Slide 18: Interest Rate and MBS Spread Sensitivity
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 17 Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2022 a
Slide 19: Appendix
Appendix ANNALY
Slide 20: Consolidated Statements of Financial Condition
Dollars in thousands, except per share data 19 Consolidated Statements of Financial Condition 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,466,171 $ 853,932 $ 955,840 $ 1,342,090 $ 1,046,300 Securities 66,839,
Slide 21: Consolidated Statements of Comprehensive Income (Loss)
Unaudited, dollars in thousands, except per share data 20 Consolidated Statements of Comprehensive Income (Loss) For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Net interest income Interest income $ 678,488 $ 645,615 $ 655,850 $ 422,780 $ 412,972 Interest expense 400,491 17
Slide 22: Income Statement Gains (Losses) Detail
Unaudited, dollars in thousands 21 Income Statement Gains (Losses) Detail For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Net gains (losses) on disposal of investments and other ($1,464,360) ($646,177) ($144,224) ($25,144) $12,002 Net unrealized gains (losses) on instrument
Slide 23: Non-GAAP Reconciliations
22 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 substitute for, or superior to, financial measures computed in accord
Slide 24: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 23 Non-GAAP Reconciliations (continued) 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 —
Slide 25: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 24 Non-GAAP Reconciliations (continued) For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Economic capital ratio reconciliation Total GAAP assets $85,406,764 $73,637,249 $76,185,134 $76,764,064 $76,662,433 Less: Gross unrealized gains on TBA de
Slide 26: Non-GAAP Reconciliations (continued)
Unaudited, dollars in thousands 25 Non-GAAP Reconciliations (continued) For the quarters ended 9/30/2022 6/30/2022 3/31/2022 12/31/2021 9/30/2021 Economic Metrics (excluding PAA) Average interest earning assets $78,143,337 $72,123,055 $72,590,876 $73,134,966 $72,145,283 Interest income (excluding PA
Slide 27: Endnotes
26 Endnotes Page 3 (1) Net of dividends on preferred stock. (2) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the su
Slide 28: Endnotes (continued)
27 Endnotes (continued) Page 9 (continued) (6) All quarters presented include costs incurred in connection with securitizations of residential whole loans. (7) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives. CMBX coupon income totaled $1
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