Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2019 Earnings Presentation
36 slides from Annaly Capital Management's earnings presentation, May 1, 2019
Slide 1: First Quarter 2019 Investor Presentation
First Quarter 2019 Investor Presentation May 1, 2019
Slide 2: Safe Harbor Notice
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Safe Harbor Notice Forward-Looking Statements This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are bas
Slide 3: Overview
Overview
Slide 4: Annaly is a Leading Diversified Capital Manager
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Annaly is a Leading Diversified Capital Manager 4 Source: Bloomberg and Company filings. Market data as of March 29, 2019. Financial data as of March 31, 2019. Detailed endnotes and a glossary of defined terms are included at the
Slide 5: First Quarter 2019 Financial Highlights
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. First Quarter 2019 Financial Highlights 5 Earnings & Book Value Investment Portfolio Financing, Liquidity & Hedging Earnings (Loss) per Share Dividend per Share Net Interest Margin (ex. PAA)* Book Value per Share ($0.63) | $0.29 $
Slide 6: Investment Highlights
Investment Highlights
Slide 7: Strong Performance
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Strong Performance 7 The diversification, scale and liquidity of Annaly’s established investment platform provide a unique opportunity in today’s markets Annaly Advantages Source: Bloomberg, SNL Financial and Company filings. Note
Slide 8: Annaly Advantages | Size & Scale
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. $0 $3,000 $6,000 $9,000 $12,000 $15,000 N L Y A G N C N R Z ST W D B X M T T W O C IM M F A A R I N R F C L N Y L A D R IV R R W T T R T X P M T A B R H T S C Y S K R E F A R R N Y M T G P M T C M O ST A R M T G E R C M IT T W M C
Slide 9: Annaly Advantages | Diversification Allows for Optionality
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. 13 16 26 29 36 37 2013 2014 2015 2016 2017 2018 Agency ARC ACREG AMML Annaly’s diversification strategy is made up of 37 investment options 9 Annaly Advantages | Diversification Allows for Optionality Total Number of Investment Op
Slide 10: Annaly Advantages | Efficiency of Annaly's Model Helps Drive Performance
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. 1.8% 3.8% 5.6% 12.2% 27.6% 51.3% 88.2% 55.1% NLY mREIT Peers Equity REITs MLPs Select Financials Utilities Consumer Staples S&P 500 Yield Sectors(2): 37.0% Annaly continues to further scale its diversified platform while operating
Slide 11: Annaly Advantages | Diversified Financing Enhances Liquidity
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Annaly’s diversified financing sources and liquidity provide the Company with unique competitive advantages Annaly Advantages | Diversified Financing Enhances Liquidity 11 Source: Company filings. Financial data as of March 31, 20
Slide 12: Annaly's Opportunity
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Annaly is positioned to capitalize on industry and macro trends Annaly’s Opportunity 12 Source: Company filings, Bloomberg and SNL Financial. Market data as of March 29, 2019. Detailed endnotes and a glossary of defined terms are
Slide 13: Annaly's Positioning & Impact
Annaly’s Positioning & Impact
Slide 14: Annaly is Positioned to Play a Significant Role
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. With a ~$16 billion capital base, Annaly manages permanent equity capital that is dedicated to producing attractive risk- adjusted returns for shareholders Annaly provides liquidity and competes for investment returns across mortg
Slide 15: In the Private Capital Solution to Housing Finance
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. 67% 14% 21% 70% 13% 16% 0% 25% 50% 75% 100% Prime Expanded Prime % b y In ve st or T yp e Banks & Insurance mREITs Other 15 …in the Private Capital Solution to Housing Finance… Source: Company filings, Inside Mortgage Finance, Int
Slide 16: Growth of the Credit Risk Transfer Market
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. The GSEs’ credit risk transfers have moved a substantial portion of credit risk to the private sector …That is Well Underway as Evidenced by the Growth of the CRT Market 16 Source: TRACE, Bank of America, FHFA, eMBS and Annaly Cal
Slide 17: Annaly's Real Estate & Housing Investment Impact
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. 17 Agency Residential Credit Commercial Real Estate Annaly’s Real Estate & Housing Investment Impact Through our investment strategies, we finance housing across the country, support the vitality of local communities and contribut
Slide 18: Leading Corporate Responsibility Practices
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. 18 Corporate Governance Responsible Investments Human Capital Recent initiatives and acknowledgements demonstrate Annaly’s continued focus on Corporate Responsibility Leading Corporate Responsibility Practices Note: Company statis
Slide 19: Market Research Suggests Benefits of ESG Commitment to Diversity
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Median Forward 3yr EPS Volatility Based on ESG Scores (annually, 2005-2015)(1)(2) Median Forward 1yr ROE Based on ESG Scores (annually, 2005-2017)(1) Market Research Suggests Benefits of ESG Commitment to Diversity 19 Source: Thom
Slide 20: Best-in-Class Corporate Responsibility & Governance Practices
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Annaly Strives for Best-in-Class Corporate Responsibility & Governance Practices 20 Source: Company filings and company websites. Data reflects most recently available disclosure, unless otherwise noted. Detailed endnotes and a gl
Slide 21: Committed to a Strong, Diverse and Independent Board
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Board Independence Representation of Women on Board Percent of Board with Tenure of 5 Years or Less Distribution of S&P 500 Companies by % Women on the Board(3) Annaly’s key Board composition metrics compare favorably to the avera
Slide 22: Business Update
Business Update
Slide 23: Agency | Portfolio Summary
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Agency | Portfolio Summary 23 Note: Data as of March 31, 2019. Percentages based on fair market value and may not sum to 100% due to rounding. Detailed endnotes and a glossary of defined terms are included at the end of this prese
Slide 24: Residential Credit | Portfolio Summary
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Residential Credit | Portfolio Summary 24 Note: Data as of March 31, 2019, unless otherwise noted. Portfolio statistics and percentages are based on fair market value and reflect economic interest in securitizations. Prime Jumbo a
Slide 25: Commercial Real Estate | Portfolio Summary
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Commercial Real Estate | Portfolio Summary Annaly Commercial Real Estate Portfolio: $2.1 billion in assets at the end of Q1 2019(1), calculated net of the managed CRE CLO issued during the quarter, reflecting a decrease of 15% f
Slide 26: Middle Market Lending | Portfolio Summary
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Middle Market Lending | Portfolio Summary Note: Data as of March 31, 2019. Percentages based on amortized cost and may not sum to 100% due to rounding. Detailed endnotes and a glossary of defined terms are included at the end of t
Slide 27: Performance Highlights and Trends
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Performance Highlights and Trends 27 Unaudited * Represents a non-GAAP financial measure; see Appendix. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. For the quarters ended 3/31/20
Slide 28: Performance Highlights and Trends (cont'd)
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Performance Highlights and Trends (cont’d) 28 Unaudited, dollars in thousands For the quarters ended 3/31/2019 12/31/2018 9/30/2018 6/30/2018 3/31/2018 Agency mortgage-backed securities $103,093,526 $90,752,995 $89,290,128 $86,593
Slide 29: Appendix: Non-GAAP Reconciliations
Appendix: Non-GAAP Reconciliations
Slide 30: Non-GAAP Reconciliations
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Non-GAAP Reconciliations 30 Beginning with the quarter ended September 30, 2018, the Company updated its calculation of core earnings and related metrics to reflect changes to its portfolio composition and operations, including th
Slide 31: Non-GAAP Reconciliations (cont'd)
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Non-GAAP Reconciliations (cont’d) 31 * Represents a non-GAAP financial measure. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. Unaudited, dollars in thousands except per share amoun
Slide 32: Non-GAAP Reconciliations (cont'd)
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Non-GAAP Reconciliations (cont’d) 32 * Represents a non-GAAP financial measure. Detailed endnotes and a glossary of defined terms are included at the end of this presentation. Unaudited, dollars in thousands For the quarters ended
Slide 33: Glossary
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Glossary 33 *Represents constituents as of March 29, 2019. 1. Affiliated Managers Group, Inc., AGNC Investment Corp., Apollo Global Management, LLC, Ameriprise Financial, Inc., Ares Capital Corporation, Ares Management Corp., ARMO
Slide 34: Endnotes
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Endnotes 34 Page 4 1. Agency assets include to be announced (“TBA”) purchase contracts (market value) and mortgage servicing rights (“MSRs”). Residential Credit assets exclude securitized debt of consolidated variable interest ent
Slide 35: Endnotes (cont'd)
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Endnotes (cont’d) 35 Page 16 1. Represents the share of CRT reference pool unpaid principal balance as disclosed in the FHFA Credit Risk Transfer Progress Reports relative to total conventional 30-year issuance guaranteed by Fanni
Slide 36: Endnotes (cont'd)
© Copyright 2019 Annaly Capital Management, Inc. All rights reserved. Endnotes (cont’d) 36 Page 27 1. Net of dividends on preferred stock. 2. The Company separately calculates core earnings per average common share and core earnings (ex- PAA) per average common share, with the difference between the
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