Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2024 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, Jul 25, 2024
Slide 1: Second Quarter 2024 Investor Presentation
Second Quarter 2024 Investor Presentation July 24, 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 Second Quarte
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly generated earnings with ample dividend coverage in the second quarter and delivered a strong 2024 YTD economic return Earnings available for distribution* of $0.68 per average common share for the quarter Financial Book value per common share
Slide 4: Second Quarter 2024 Financial Highlights
Second Quarter 2024 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 1.58% GAAP for Distribution* $0.65 1.43% Earnings & Book Value ($0.09) | $0.68 Book Value per Share Dividend Yield(1) $19.25 13.6% Q1 2024 Q2 2024 Total Portfolio(2) Capit
Slide 5: Established, Scaled Platforms Across Annaly's Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $74.8bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralize
Slide 6: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs Labor market and inflation data have shown moderation, increasing the likelihood of less restrictive monetary policy and further declines in volatility Labor market is moving into better balance Inflation is easing driven by services and, Q2 2024 Market and Economi
Slide 7: Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies
Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies Agency Residential Credit MSR Current Illustrative Market Levered Returns(1) 15%–17% 12%–15% 12%–14% Key Market Dynamics & Commentary Mortgage spreads provide attractive new money Home price appreciation has remained fi
Slide 8: Business Update
Business Update ANNALY Zz
Slide 9: Agency | Business Update
Agency | Business Update Annaly opportunistically grew its Agency MBS portfolio as it continued to shift up in coupon through high-quality specified pools Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high quality and liquid Agency MBS spreads widened modestly during t
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $66.0 billion in assets at the end of Q2 2024, an increase of 2% compared to Q1 2024 Annaly continued to rotate the portfolio into higher coupon high-quality specified pools, while modestly increasing TBA exposure − At the end of the quarter,
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly Residential Credit Group’s whole loan correspondent channel continues to achieve record whole loan production, while maintaining a robust pace of securitization issuance Strategic Approach Market and Credit Trends Programmatic securitization sponsor of n
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.9 billion in assets(1) at the end of Q2 2024, a decrease of 4% compared to Q1 2024 − Consists of a $4.5 billion securities portfolio and a $1.4 billion whole loan portfolio(1) Record whole loan settlements for the fir
Slide 13: MSR | Business Update
MSR | Business Update Annaly’s MSR portfolio grew modestly in the second quarter, while continuing to benefit from stable cash flows, muted delinquencies and accretive float income Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strategy by offering Bulk MSR supply
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $2.8 billion in market value at the end of Current MSR Portfolio by the Numbers Q2 2024, an increase of 5% compared to Q1 2024 and 29% year- (Excludes Interests in MSR / MSR of LP Interest) over-year Onslow Bay settled $9.3 billion in UPB (nearly $12
Slide 15: Financial Highlights and Trends
Financial Highlights and Trends
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 (1) GAAP net income (loss) per average common share ($0.09) $0.85 ($0.88) ($1.21) $0.27 (1) Earnings available for distribution per average common share* $0.68 $0.64 $0.68 $0.66 $0.72
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Agency mortgage-backed securities $64,390,905 $63,542,230 $66,308,788 $66,591,536 $67,764,264 Residential credit risk transfer securities 838,437 871,42
Slide 18: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity Unaudited The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of June 30, 2024 and March 31, 2024, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates The MBS
Slide 19: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 20: 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 amort
Slide 21: 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 22: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Premium Amortization Reconciliation Premium amortization expense $10,437 $26,732 $51,247 $24,272 $33,105 Less: PAA cost (benefit) (7,306) (3,013) 19,148 (6,062
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Economic leverage ratio reconciliation Repurchase agreements $60,787,994 $58,975,232 $62,201,543 $64,693,821 $61,637,600 Other secured financing 600,000 600,00
Slide 24: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 25: Glossary
Glossary ARC: Refers to Annaly Residential Credit Group PCE Refers to Personal Consumption Expenditure CRT: Refers to Credit Risk Transfer Securities Re-Performing Loan A type of loan in which payments were previously (“RPL”): delinquent by at least 90 days but have resumed EAD: Refers to Earnings A
Slide 26: Endnotes
Endnotes Page 3 Page 7 1. Comprised of $5.4bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Levered return assumptions are for illustrative purposes only and attempt to represent current market asset that have not been pledged or securitized (generally i
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 16 1. Net of dividends on preferred stock. Non-GAAP Reconciliations 2. Annualized GAAP return (loss) on average equity annualizes gains and (losses) which are not indicative of full Page 21 year performance, unannualized GAAP return (loss) on average equity is (0.08%), 4.07%,
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