Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2018 Earnings Presentation
23 slides from Annaly Capital Management's earnings presentation, May 2, 2018
Slide 1: First Quarter 2018 Financial Summary
First Quarter 2018 Financial Summary May 2, 2018
Slide 2: 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 based on various assumptions (some of which are beyond our control) and may be identified by reference to a future peri
Slide 3: Q1 2018 Financial Snapshot
Unaudited, dollars in thousands except per share amounts Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. 2 Q1 2018 Financial Snapshot Income Statement Balance Sheet Portfolio Efficiency Key Statistics For the quarters ended 3/31/2018 12/31/2017
Slide 4: Portfolio Data
Unaudited, dollars in thousands 3 Portfolio Data Portfolio-Related Data Summary Portfolio Statistics For the quarters ended 3/31/2018 12/31/2017 9/30/2017 6/30/2017 3/31/2017 Agency mortgage-backed securities $88,579,097 $90,551,763 $85,889,131 $73,963,998 $72,708,490 Mortgage servicing rights 596,3
Slide 5: Financing and Capital Data
(1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and to be annou
Slide 6: Income Statement Data Summary
* Represents a non-GAAP financial measure. (1) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2
Slide 7: Key Earnings Metrics
* Represents a non-GAAP financial measure. (1) The quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. (2) Includes GAAP intere
Slide 8: Components of Economic Net Interest Income
* Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as a result of changes to the Company’s hedging portfolio, this metric
Slide 9: GAAP Net Income to Core Earnings Reconciliation
* Represents a non-GAAP financial measure. (1) Represents costs incurred in connection with a securitization of residential whole loans. (2) Represents a component of Net gains (losses) on trading assets. (3) Represents the portion of changes in fair value that is attributable to the realization of
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics * Represents a non-GAAP financial measure. (1) For book value purposes, the quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
* Represents a non-GAAP financial measure. (1) Includes GAAP interest expense and interest expense on interest rate swaps. Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2
Slide 12: Quarter-Over-Quarter Changes in Return on Average Equity
* Represents a non-GAAP financial measure. (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss), MSR amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), gener
Slide 13: Residential Investments and TBA Derivative Overview
(1) Includes Agency-backed multifamily securities with an estimated fair value of $499.1 million. (2) Weighted by current face value. (3) Weighted by notional value. Unaudited, dollars in thousands 12 Residential Investments and TBA Derivative Overview as of March 31, 2018 Agency Fixed-Rate Securiti
Slide 14: Residential Investments & TBA Derivative Overview (cont'd)
(1) Weighted by current notional value. (2) Weighted by estimated fair value. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of March 31, 2018 (cont’d) Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg
Slide 15: Residential Credit Investments Detail
(1) Excludes residential mortgage loans. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of March 31, 2018 (1) Payment Structure Investment Characteristics Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR Agency Credit Ris
Slide 16: Commercial Real Estate Investments Overview
Unaudited, dollars in thousands (1) Commercial real estate debt and preferred equity, held for investment book values are net of unamortized net origination fees. (2) Total weighted based on carry value. (3) Based on an internal valuation or the most recent third party appraisal, which may be prior
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands 16 Middle Market Lending Overview as of March 31, 2018 Size Dispersion Position Size Amount Percentage $0 - $20 million $252,682 21.9% $20 - $40 million 402,578 34.9% $40 - $60 million 219,879 19.1% Greater than $60 million 277,606 24.1% Total $1,152,745 100.0% Tenor
Slide 18: Hedging and Liabilities
(1) There were no forward starting swaps as of March 31, 2018. (2) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts cheapest to deliver. (3) Approximately 5% of the total repurchase agreements and other secured financing have a remaining maturity over
Slide 19: Interest Rate and MBS Spread Sensitivity
(1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates. (2) Scenarios include Residential Investment Securities, residential mortgage
Slide 20: Appendix
"| Appendix
Slide 21: Endnotes
20 Endnotes for Page 2 * Represents a non-GAAP financial measure. Core earnings (excluding PAA) per average share, core earnings per average common share, annualized core return on average equity (excluding PAA), net interest margin (excluding PAA), average yield on interest earning assets (excludin
Slide 22: Non-GAAP Financial Measures
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 accordance with GAAP. While inte
Slide 23: Non-GAAP Reconciliations (cont'd)
Unaudited, dollars in thousands 22 Non-GAAP Reconciliations (cont’d) * Represents a non-GAAP financial measure. (1) Prior to the quarter ended March 31, 2018, this metric included interest expense on interest rate swaps used to hedge cost of funds. Beginning with the quarter ended March 31, 2018, as
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