Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2025 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Apr 30, 2025
Slide 1: First Quarter 2025 Financial Supplement
First Quarter 2025 Financial Supplement April 30, 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 First Quarter
Slide 3: Financial Snapshot
Financial Snapshot 3 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet Non-GAAP Key Statistics
Slide 4: Portfolio Data
Portfolio Data 4 Unaudited, dollars in thousands Portfolio-Related Data For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Agency mortgage-backed securities $68,329,720 $67,434,068 $69,150,399 $64,390,905 $63,542,230 Residential credit risk transfer securities 521,059 754,915
Slide 5: Financing and Capital Data
Financing and Capital Data 5 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Financing Data Key Capital and Hedging Metrics For the quarters ended 3/31/2025 12/31/2
Slide 6: Income Statement Data
Income Statement Data 6 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Summary Income Statement For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/3
Slide 7: Key Earnings Metrics
Key Earnings Metrics 7 Unaudited, dollars in thousands except per share amounts * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Key GAAP Earnings Metrics Key Non-GAAP Earnings Metrics For the quarters ended 3/31/2025 12/3
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income* 8 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Economic Net Interest Income * For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024
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 * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. EAD* Reconciliation For the quarters ended 3/31/2025 12/31/2024 9/30
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics 10 Unaudited Book Value Rollforward Net Interest Margin Net Interest Spread For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Book value per common share, beginning of period $19.15 $19.54 $19.25 $19.73 $19.44 Net income (loss) avai
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)* Net Interest Spread (excluding PAA)* * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 3/31/2025
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity 12 Unaudited * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Annualized GAAP Return (Loss) on Average Equity Annualized EAD Return on Average Equity* For
Slide 13: Residential & Other Investments Overview
Residential & Other Investments Overview as of March 31, 2025 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 Avg
Slide 14: Residential & Other Investments Overview (cont'd)
Residential & Other Investments Overview as of March 31, 2025 (cont'd) 14 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rate Valuation Discou
Slide 15: Residential Credit Securities Detail
Residential Credit Securities Detail as of March 31, 2025 15 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement
Slide 16: Hedging & Liabilities
Hedging & Liabilities as of March 31, 2025 16 Unaudited, dollars in thousands Detailed endnotes are included within the Appendix at the end of this presentation. Interest Rate Swaps Interest Rate Swaptions U.S. Treasury Hedging Positions Repurchase Agreements and Other Secured Financing Total Indebt
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 March 31, 2025 and December 31, 2024 The interest rate sensitivity reflects instantaneous parallel shifts in rates The MBS spread sensitivity s
Slide 18: Appendix
ANNALY Appendix
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. 3/31/2025 12/31/2024 (1) 9/30/2024 6/30/2024 3/31/2024 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cas
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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Net interest income Interest income $ 1,317,108 $ 1,338,880 $ 1,229,341 $ 1,177,325 $ 1,094,488 Interest expense
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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Net gains (losses) on disposal of investments and other ($49,369) ($34,063) ($169,079) ($335,987) ($545,947) Net unrealiz
Slide 22: Non-GAAP Reconciliations
Non-GAAP Reconciliations 22 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 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) 23 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. Th
Slide 24: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont'd) 24 Unaudited, dollars in thousands * Represents a non-GAAP financial measure. For the quarters ended 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Economic leverage ratio reconciliation Repurchase agreements $61,659,460 $65,688,923 $64,310,276 $60,787,994 $58,9
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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Economic capital ratio reconci
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 3/31/2025 12/31/2024 9/30/2024 6/30/2024 3/31/2024 Economic Metrics (excluding PAA) Average interest earning assets $101,631,610 $99,876,810 $95,379,071 $91,008,934
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 1.01% and 3.75% for the qua
Slide 28: Endnotes (cont'd)
Endnotes (cont’d) 28 Page 12 (1) Includes other, net, general and administrative expenses and income taxes. (2) Includes other, net (excluding non-EAD items), MSR amortization (a component of net gains (losses) on investments and other), general and administrative expenses (excluding transaction rel
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