Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2023 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Feb 7, 2024
Slide 1: Fourth Quarter 2023 Supplemental Information
Fourth Quarter 2023 Supplemental Information February 7, 2024
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: Financial Snapshot
Financial Snapshot 3 Unaudited, dollars in thousands except per share amounts Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 12/31/2023 9/30/2023 GAAP net income (loss) per average common share (1) ($0.88) ($1.21) Earnings available for distribution pe
Slide 4: Portfolio Data
Portfolio Data 4 Unaudited, dollars in thousands Portfolio-Related Data For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Agency mortgage-backed securities $66,308,788 $66,591,536 $67,764,264 $65,623,534 $62,274,895 Residential credit risk transfer securities 974,059 982,951
Slide 5: Financing and Capital Data
Financing and Capital Data 5 Unaudited, dollars in thousands except per share amounts Key Capital and Hedging Metrics Financing Data * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/2023 9/30/2
Slide 6: Income Statement Data
Income Statement Data 6 Unaudited, dollars in thousands except per share amounts Summary Income Statement * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/
Slide 7: Key Earnings Metrics
Key Earnings Metrics 7 Unaudited, dollars in thousands except per share amounts Key GAAP Earnings Metrics * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income* 8 Unaudited, dollars in thousands Economic Net Interest Income* * Represents a non-GAAP financial measure. For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Interest income: Agency Securities $697,299 $753,007 $686,912 $603,102 $60
Slide 9: GAAP Net Income to Earnings Available for Distribution Reconciliation
GAAP Net Income to Earnings Available for Distribution* Reconciliation 9 Unaudited, dollars in thousands EAD* Reconciliation For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 GAAP net income (loss) ($391,232) ($569,084) $161,187 ($839,328) ($886,814) Adjustments to exclude r
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics 10 Unaudited Book Value Rollforward For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Book value per common share, beginning of period $18.25 $20.73 $20.77 $20.79 $19.94 Net income (loss) available (related) to common stockholders
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
Quarter-Over-Quarter Changes in Key Metrics (cont’d) 11 Unaudited Net Interest Margin (excluding PAA)* * Represents a non-GAAP financial measure. Net Interest Spread (excluding PAA)* For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Prior quarter net interest margin (excludi
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity 12 Unaudited Annualized GAAP Return (Loss) on Average Equity * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Annualized EAD Return on Average Equity* For
Slide 13: Residential & Other Investments Overview as of December 31, 2023
Residential & Other Investments Overview as of December 31, 2023 13 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Agency Fixed-Rate Securities (Pools) (1) Original Weighted Avg. Years to Maturity Current Face Value % (3) Weighted
Slide 14: Residential & Other Investments Overview (cont'd)
Residential & Other Investments Overview as of December 31, 2023 (cont’d) 14 Unaudited, dollars in thousands Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rate Valuation Discount Rate Projected CPR Estimated Fair Value MSR held directly $151,172,993 0.26% 3
Slide 15: Residential Credit Securities Detail as of December 31, 2023
Residential Credit Securities Detail as of December 31, 2023 15 Unaudited, dollars in thousands Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR (2) Credit Risk Transfer $974,059 $— $974,059 9.66% 1.73
Slide 16: Hedging & Liabilities as of December 31, 2023
Hedging & Liabilities as of December 31, 2023 16 Unaudited, dollars in thousands Interest Rate Swaps Detailed endnotes are included within the Appendix at the end of this presentation. Total Indebtedness Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurch
Slide 17: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2023 and September 30, 2023 The interest rate sensitivity reflects instantaneous parallel shifts in rates The MBS spread sensitivi
Slide 18: Appendix
Appendix ANNALY |
Slide 19: Consolidated Statements of Financial Condition
Consolidated Statements of Financial Condition 19 Dollars in thousands, except per share data Detailed endnotes are included within the Appendix at the end of this presentation. 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash e
Slide 20: Consolidated Statements of Comprehensive Income (Loss)
Consolidated Statements of Comprehensive Income (Loss) 20 Unaudited, dollars in thousands, except per share data For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Net interest income Interest income $ 990,352 $ 1,001,485 $ 921,494 $ 818,250 $ 798,934 Interest expense 1,043,9
Slide 21: Income Statement Gains (Losses) Detail
Income Statement Gains (Losses) Detail 21 Unaudited, dollars in thousands Other Income Statement Details For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Net gains (losses) on disposal of investments and other ($1,174,680) ($616,525) ($610,397) ($521,592) ($1,289,865) Net u
Slide 22: Non-GAAP Reconciliations
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 accordanc
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Economic leverage and economic capital ratios The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The C
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 24 Unaudited, dollars in thousands For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Economic leverage ratio reconciliation Repurchase agreements $62,201,543 $64,693,821 $61,637,600 $60,993,018 $59,512,597 Other secured financing 500,000 500
Slide 25: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 25 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Economic capital ratio reconc
Slide 26: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 26 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. For the quarters ended 12/31/2023 9/30/2023 6/30/2023 3/31/2023 12/31/2022 Economic Metrics (excluding PAA) Average interest earning assets $87,020,120 $89,300,922 $86,254,955 $82,644,998
Slide 27: Endnotes
Endnotes 27 Page 3 (1) Net of dividends on preferred stock. (2) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is (3.55%) and (5.04%) for the
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) 28 Page 12 (1) Includes gains (losses) related to the sale of the Company's Middle Market Lending portfolio for the quarter ended December 31, 2022. (2) Includes other, net, general and administrative expenses and income taxes. (3) Includes other, net (excluding non-EAD items), MSR
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