Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2013 Earnings Presentation
24 slides from Annaly Capital Management's earnings presentation, Aug 7, 2013
Slide 1: 2Q 2013 Stockholder Supplement
2Q 2013 Stockholder Supplement August 7, 2013
Slide 2: Safe Harbor Notice
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) that may be identified by reference to a future peri
Slide 3: 2Q13 Financial Overview
(1)Adjusted net income excludes unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, net loss on extinguishment of the 4% Convertible Senior Notes, impairment of goodwill and loss on previously held equity interest in CreXus Investment Corp. (2)Includ
Slide 4: Strategy Overview
(1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. (2)Includes loan participations and mortgages payable which are non-recourse to the Company. Strategy Overview .Reinvest annual projected principal payments of $14 billion to $16 billion from existing holdings into
Slide 5: Last Four Quarters Financial Performance
Last Four Quarters Financial Performance (1)Adjusted net income excludes unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, net loss on extinguishment of the 4% Convertible Senior Notes, impairment of goodwill and loss on previously held equity inte
Slide 6: Illustrative Impact of Commercial Diversification
Illustrative Impact of Commercial Diversification Note: Dollar amounts of stockholders’ equity allocated to commercial based on 2Q13 amount of $13.3 billion. Agency MBS assumptions: 2.52% hedged unlevered yield, 0.35% borrowing cost and 6.0:1 total debt to stockholders’ equity supporting Agency port
Slide 7: Illustrative MBS Price Changes
Illustrative MBS Price Changes Source: Bloomberg. Note: Price information is provided for illustrative purposes only is for generic TBA Fannie Mae MBS. Prices can vary. (1)Change from end of 1Q13 to end of 2Q13. Unaudited Risk management involves numerous variables: .Coupon and maturity selection is
Slide 8: Summary Balance Sheet and Applicable Information
Unaudited, numbers in thousands except per share amounts Summary Balance Sheet and Applicable Information (1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. (2)Includes common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accum
Slide 9: Summary Income Statement and Applicable Information
Unaudited, dollars in thousands except per share amounts Summary Income Statement and Applicable Information (1)Includes realized gains (losses) on interest rate swaps. (2)Adjusted net income excludes unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securitie
Slide 10: Components of Economic Net Interest Income
Unaudited, dollars in thousands Components of Economic Net Interest Income (1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. (2)Includes realized gains (losses) on interest rate swaps. (3)Interest expense related to the Company’s interest rate swaps is recorded in
Slide 11: Change in Annualized Interest Rate Spread
Unaudited Change in Annualized Interest Rate Spread Change from 1Q13 to 2Q13 Note: Graph shows relative changes in contribution from 1Q13 to 2Q13. For example, net amortization of premiums and accretion of discounts increased annualized interest rate spread by 0.24% more in 2Q13 versus 1Q13. (1) Inc
Slide 12: Reconciliation to Adjusted Net Income
Unaudited, dollars in thousands Reconciliation to Adjusted Net Income Reconciliation of 2Q13 Net Income to Adjusted Net Income(1) (1) Adjusted net income excludes unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, net loss on extinguishment of the 4
Slide 13: Change in Annualized Return on Average Equity
Unaudited Change in Annualized Return on Average Equity Change from 1Q13 to 2Q13 Note: Graph shows relative changes in contribution from 1Q13 to 2Q13. For example, unrealized gains/losses on interest rate swaps increased annualized ROE by 22.71% more in 2Q13 versus 1Q13. (1) Includes realized gains
Slide 14: Change in Annualized Adjusted Return on Average Equity
Unaudited Change in Annualized Adjusted Return on Average Equity Change from 1Q13 to 2Q13 Note: Graph shows relative changes in contribution from 1Q13 to 2Q13. For example, economic interest expense decreased annualized adjusted ROE by 0.24% more in 2Q13 versus 1Q13. (1) Includes realized gains (los
Slide 15: Agency MBS Portfolio Net Premium and Discount Balance and CPR
Unaudited, dollars in thousands Agency MBS Portfolio Net Premium and Discount Balance and Constant Prepayment Rate $4,467,122 $5,453,012 $5,833,988 $5,367,186 $5,352,223 19% 20% 19% 18% 16% 27.43% 31.91% 36.64% 35.07% 40.35% 0% 10% 20% 30% 40% 50% 60% $0 $1,000,000 $2,000,000 $3,000,000 $4,000,000 $
Slide 16: Interest Rate and Liability Management
Unaudited Interest Rate and Liability Management Note: Interest rates do not take into consideration outstanding Convertible Senior Notes, loan participations or mortgages payable. 216 220 197 202 196 0.59% 0.61% 0.63% 0.59% 0.64% 1.99% 1.96% 1.97% 1.85% 1.83% 100 120 140 160 180 200 220 240 0.25% 0
Slide 17: Interest Rate Swaps, Swaptions and Repurchase Agreements
Unaudited, dollars in thousands Interest Rate Swaps, Swaptions and Repurchase Agreements as of June 30, 2013 (1) Of the total repurchase agreements, approximately 13% have a remaining maturity over one year. Interest Rate Swaps Current Weighted Avg. Weighted Avg. Weighted Avg. Maturity Notional Pay
Slide 18: Agency MBS and Debentures Overview
Unaudited, dollars in thousands Agency MBS and Debentures Overview as of June 30, 2013 (1) Weighted averages for % originated pre-June 2009 and three-month CPR exclude Callables and Step-Up securities. Agency Fixed-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Subje
Slide 19: Agency MBS and Debentures Overview (cont'd)
Unaudited, dollars in thousands Agency MBS and Debentures Overview as of June 30, 2013 (cont’d) Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations Current Weighted Avg. Weighted Avg. Weighted Avg. Subject to Weighted Avg. Estimated Type Face Value % Coupon Amortized Cost
Slide 20: Interest Rate and MBS Spread Sensitivity Analysis
Interest Rate and MBS Spread Sensitivity Analysis as of June 30, 2013 Unaudited Assumptions: .The interest rate sensitivity and spread sensitivity are based on the portfolio as of June 30, 2013 .The interest rate sensitivities are instantaneous parallel shifts in rates .The spread sensitivity shifts
Slide 21: Commercial Real Estate Overview
Unaudited, dollars in thousands Commercial Real Estate Overview as of June 30, 2013 (1) Based on most recent third party appraisal, which may be prior to loan origination\purchase date. (2) Maturity dates assume all of the borrowers’ extension options are exercised. (3) Based on GAAP net income, exc
Slide 22: Last Five Quarters Summary Data
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (1) Includes realized gains (losses) on interest rate swaps. (2) Adjusted net income excludes unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, net loss on ext
Slide 23: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands Last Five Quarters Summary Data (cont’d) (1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. For the quarters ended June 30, March 31, December 31, September 30, June 30, 2013 2013 2012 2012 2012 Total Agency mortgage-backed securities
Slide 24: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) (1)Includes common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2)Includes loan participations and mortgages payable which are non-recourse
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