Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2023 Earnings Presentation
26 slides from Annaly Capital Management's earnings presentation, Oct 26, 2023
Slide 1: Third Quarter 2023 Investor Presentation
Third Quarter 2023 Investor Presentation October 25, 2023
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 Third Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly generated earnings in line with the dividend amidst rapidly rising rates and elevated market volatility Earnings available for distribution* of $0.66 per average common share for the quarter, down $0.06 from the prior quarter Financial Book v
Slide 4: Third Quarter 2023 Financial Highlights
Third Quarter 2023 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 1.66% GAAP for Distribution* $0.65 1.48% Earnings & Book Value ($1.21) | $0.66 Book Value per Share Dividend Yield(1) $18.25 13.8% Q2 2023 Q3 2023 Total Portfolio(2) Capita
Slide 5: Annaly Investment Strategies
Annaly Investment Strategies Total Portfolio: $76.2 billion(1) | Total Shareholders’ Equity: $10.6 billion Mortgage Residential Agency Servicing Credit Rights Invests in Agency MBS collateralized by Invests in Mortgage Servicing Rights, Invests in Non-Agency residential residential mortgages, which
Slide 6: Current Illustrative Returns Across Annaly’s Investment Strategies
Current Illustrative Returns Across Annaly’s Investment Strategies In the current environment, Annaly’s investment strategies offer attractive new money returns despite market volatility Agency Residential Credit MSR Current Agency MBS spread levels remain wide Low note rate MSR, similar to our curr
Slide 7: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The U.S. economy has been robust, but Treasury yields are rising in a volatile fashion as investors demand more term premium The U.S. economy remained strong in Q3 2023, and median expectations do not currently Q3 2023 Market and Economic Developments forecast a re
Slide 8: Business Update
Business Update ANNALY z=
Slide 9: Agency | Business Update
Agency | Business Update Annaly’s Agency MBS portfolio decreased modestly in the third quarter, with activity focused on continuing to shift upward in coupon primarily through the addition of production coupon specified pools Strategic Approach Market Trends Annaly’s Agency portfolio is made up of
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $68.5 billion in assets at the end of Q3 2023, a decrease of 4% compared to Q2 2023 During the third quarter, Annaly’s notional holdings were roughly unchanged with portfolio activity focused on shifting up in coupon − Portfolio additions wer
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio grew in the third quarter through production from the correspondent channel, while maintaining a defensive credit profile Strategic Approach Market and Credit Trends Programmatic securitization sponsor of new origination, r
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $5.3 billion in assets at the end of Q3 2023, up 6% from Q2 2023 − Consists of a $4.3 billion securities portfolio and a $1.0 billion whole loan portfolio(1) Settled approximately $1.5 billion(2) of whole loans in Q3 202
Slide 13: MSR | Business Update
MSR | Business Update Annaly continues to evaluate opportunities in the MSR market in order to expand its footprint and achieve attractive returns for shareholders Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS strategy by offering Bulk activity slowed quarter-ove
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly’s MSR portfolio grew by $90 million in the third quarter and has increased by more than $480 million since the beginning of 2023 Annaly MSR Portfolio: $2.3 billion in assets at the end of Q3 2023, a 4% increase compared to Q2 2023 − Increase in portfolio was driven b
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 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 (1) GAAP net income (loss) per average common share ($1.21) $0.27 ($1.79) ($1.96) ($0.70) (1) Earnings available for distribution per average common share* $0.66 $0.72 $0.81 $0.89 $1.0
Slide 17: Financial Highlights and Trends (cont’d)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Agency mortgage-backed securities $66,591,536 $67,764,264 $65,623,534 $62,274,895 $63,037,241 Residential credit risk transfer securities 982,951 1,064,
Slide 18: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 19: 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 20: 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 21: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Premium Amortization Reconciliation Premium amortization expense $24,272 $33,105 $56,534 $38,829 $39,406 Less: PAA cost (benefit) (6,062) (11,923) 491 (8,136)
Slide 22: Non-GAAP Reconciliations (cont’d)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2023 6/30/2023 3/31/2023 12/31/2022 9/30/2022 Economic leverage ratio reconciliation Repurchase agreements $64,693,821 $61,637,600 $60,993,018 $59,512,597 $54,160,731 Other secured financing 500,000 500,00
Slide 23: Glossary and Endnotes
Glossary and Endnotes ANNALY z=
Slide 24: Glossary
Glossary ARC: Refers to Annaly Residential Credit Group Re-Performing Loan A type of loan in which payments were previously (“RPL”): delinquent by at least 90 days but have resumed CRT: Refers to Credit Risk Transfer Securities TBA: Refers to To-Be-Announced Securities EAD: Refers to Earnings Availa
Slide 25: Endnotes
Endnotes Page 3 Page 7 1. Issuer ranking data from Inside Nonconforming Markets for 2022 through 2023 YTD (October 6, 2023 1. Represents quarterly real GDP growth from the U.S. Bureau of Economic Analysis through Q2 2023. issue). 2. Represents median economist forecasts of quarterly real GDP growth
Slide 26: 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 Page 20 full year performance, unannualized GAAP return (loss) on average equity is (5.04%), 1.35%,
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