Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2021 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Feb 9, 2022
Slide 1: Fourth Quarter 2021 Financial Summary
Fourth Quarter 2021 Financial Summary February 9, 2022
Slide 2: Forward-Looking Statements and 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 Fourth Quarter 2021 earnings re
Slide 3: Updates to Financial Disclosures
Updates to Financial Disclosures Commencing with the Company’s financial results for the quarter ended June 30, 2021 and for subsequent reporting periods, the Company has relabeled “Core Earnings (excluding PAA)” as “Earnings Available for Distribution” (“EAD”). Earnings Available for Distribution,
Slide 4: Portfolio Efficiency and GAAP Key Statistics
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 12/31/2021 9/30/2021 GAAP net income (loss) per average common share (1) $0.27 $0.34 Earnings available for distribution per average common share *(1) $0.28 $0.28 Annualized GAAP return (loss) on average e
Slide 5: Portfolio-Related Data
Portfolio- Related Data Unaudited, dollars in thousands 4 Portfolio Data For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Agency mortgage-backed securities $60,525,605 $62,818,079 $66,468,519 $69,637,229 $74,067,059 Residential credit risk transfer securities 936,228 787,23
Slide 6: Financing Data and Key Capital and Hedging Metrics
Financing Data Key Capital and Hedging Metrics ______________ * Represents a non-GAAP financial measure. ** Please refer to Divestiture of Commercial Real Estate Business in Important Notices on page 2. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, do
Slide 7: Income Statement Data
______________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts 6 Income Statement Data For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 To
Slide 8: Dividends and Return Metrics
For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Dividends declared per common share $0.22 $0.22 $0.22 $0.22 $0.22 Total common and preferred dividends declared (1) $348,793 $346,651 $345,417 $335,229 $343,666 Annualized GAAP return (loss) on average equity 12.44% 15.25% (8
Slide 9: Components of Economic Net Interest Income
Economic Net Interest Income * ______________ * Represents a non-GAAP financial measure. Unaudited, dollars in thousands 8 Components of Economic Net Interest Income * For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Interest income: Agency Securities $301,001 $299,898 $255
Slide 10: EAD Reconciliation
EAD* Reconciliation 9 GAAP Net Income to Earnings Available for Distribution* Reconciliation For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 GAAP net income (loss) $418,460 $521,534 ($294,848) $1,751,134 $878,635 Net income (loss) attributable to noncontrolling interests 2
Slide 11: Book Value Rollforward and Net Interest Margin
Book Value Rollforward Net Interest Margin Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Book value per common share, beginning of period $8.39 $8.37 $8.95 $8.92 $8.70 Net income (loss) available (related) to commo
Slide 12: Net Interest Margin (excluding PAA)
Net Interest Margin (excluding PAA)* Unaudited 11 Quarter-Over-Quarter Changes in Key Metrics (continued) ______________ * Represents a non-GAAP financial measure. For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Prior quarter net interest margin (excluding PAA) * 2.04% 2.0
Slide 13: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Annualized GAAP Return (Loss) on Average Equity Annualized EAD Return on Average Equity* ______________ * Represents a non-GAAP financial measure. ** Please refer to Divestiture of Commercial Real Estate Business in Important Notices on page 2. Detailed endnotes are included within the Appendix at t
Slide 14: Residential & Other Investments Overview
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 13 Residential & Other Investments Overview as of December 31, 2021 Agency Fixed-Rate Securities (Pools) Original Weighted Avg. Years to Maturity Current Face Value % (4
Slide 15: Residential & Other Investments Overview (continued)
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 14 Residential & Other Investments Overview as of December 31, 2021 (continued) Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note
Slide 16: Residential Credit Securities Detail
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands 15 Residential Credit Securities Detail as of December 31, 2021 Product Estimated Fair Value Payment Structure Investment Characteristics Senior Subordinate Coupon Credi
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands 16 Middle Market Lending Overview as of December 31, 2021 Industry Dispersion Industry Total (1) Computer Programming, Data Processing & Other Computer Related Services $437,257 Management & Public Relations Services 263,187 Industrial Inorganic Chemicals 156,292 Meta
Slide 18: Hedging and Liabilities
______________ Detailed endnotes are included within the Appendix at the end of this presentation. 17 Unaudited, dollars in thousands Hedging and Liabilities as of December 31, 2021 Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $ 54,76
Slide 19: Interest Rate and MBS Spread Sensitivity
______________ Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited 18 Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of December 31, 2021 an
Slide 20: Appendix
Appendix ANNALY
Slide 21: Consolidated Statements of Financial Condition
Dollars in thousands, except per share data 20 Consolidated Statements of Financial Condition 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,342,090 $ 1,046,300 $ 1,380,456 $ 1,122,793 $ 1,243,703 Securities 63
Slide 22: Consolidated Statements of Comprehensive Income (Loss)
Unaudited, dollars in thousands, except per share data 21 Consolidated Statements of Comprehensive Income (Loss) For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Net interest income Interest income $ 422,780 $ 412,972 $ 383,906 $ 763,378 $ 527,344 Interest expense 61,785 50
Slide 23: Non-GAAP Reconciliations
22 Non-GAAP Reconciliations 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 24: Non-GAAP Reconciliations (continued): Economic leverage ratio
Unaudited, dollars in thousands 23 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Economic leverage ratio reconciliation Repurchase agreements $54,769,643 $55,475,420 $60,221,067 $61,202,477 $64,825,239 Other secured financing 903,255
Slide 25: Non-GAAP Reconciliations (continued): Economic capital ratio
Unaudited, dollars in thousands 24 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Economic capital ratio reconciliation Total assets $76,764,064 $76,662,433 $82,376,305 $85,369,589 $88,455,103 Less: Gross unrealized gains on TBA deriva
Slide 26: Non-GAAP Reconciliations (continued): Economic Metrics
Unaudited, dollars in thousands 25 Non-GAAP Reconciliations (continued) For the quarters ended 12/31/2021 9/30/2021 6/30/2021 3/31/2021 12/31/2020 Economic Metrics (excluding PAA) Average interest earning assets $73,134,966 $72,145,283 $77,916,766 $81,121,340 $80,973,433 Interest income (excluding P
Slide 27: Endnotes
26 Endnotes Page 3 (1) Net of dividends on preferred stock. (2) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the su
Slide 28: Endnotes (continued)
27 Endnotes (continued) Page 12 (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss) (excluding non-EAD items), MSR amortization (a component of Net unrealized gains (losses) on instruments measured at fair value through earnings),
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