Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2016 Earnings Presentation
20 slides from Annaly Capital Management's earnings presentation, Nov 2, 2016
Slide 1: Third Quarter 2016 Financial Summary
November 2, 2016 Third Quarter 2016 Financial Summary
Slide 2: Forward-Looking Statements and Non-GAAP Financial Measures
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: 3Q 2016 Financial Snapshot
Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per common share, annualized core return on average equity, core average yield on interest earning assets, core net interest margin and core net interest spread represe
Slide 4: Last Five Quarters Summary Data
Unaudited, dollars in thousands Last Five Quarters Summary Data Includes consolidated variable interest entities (“VIEs”) and loans held for sale.The current quarter change in constant prepayment rate (“CPR”) measures also reflects the change in portfolio mix due to the Company’s acquisition of Hatt
Slide 5: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Consists of common stock, additional paid in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptio
Slide 6: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) Includes interest expense on interest rate swaps used to hedge cost of funds. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls. For the quarters ended September 30, June 3
Slide 7: Components of Economic Net Interest Income
Unaudited, dollars in thousands Components of Economic Net Interest Income Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar rolls. For the quarters ended September 30, June 30, March 31, December 31, September 30, 2016
Slide 8: Reconciliations and Changes in Key Metrics
Unaudited, dollars in thousands Reconciliations and Changes in Key Metrics Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents a component of Net unrealized gains (losses) on investments measured
Slide 9: Changes in Key Metrics
Unaudited Changes in Key Metrics Includes interest expense on interest rate swaps used to hedge cost of funds. For the quarters ended September 30, June 30, March 31, December 31, September 30, 2016 2016 2016 2015 2015 Changes in net interest margin Prior quarter net interest margin 1.15% 0.79% 1.80
Slide 10: Changes in Key Metrics
Unaudited Changes in Key Metrics Includes investment advisory income, other income (loss), general and administrative expenses and income taxes.Includes investment advisory income, other income (loss), mortgage servicing rights (“MSR”) amortization (a component of Net unrealized gains (losses) on fi
Slide 11: Residential Investment Securities and TBA Derivative Overview
Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of September 30, 2016 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % Coupon Amortized Cost Fai
Slide 12: Residential Investment Securities and TBA Derivative Overview (cont'd)
Unaudited, dollars in thousands Residential Investment Securities and TBA Derivative Overview as of September 30, 2016 (cont’d) (1) Weighted by fair value. Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimat
Slide 13: Residential Credit Investments Detail
Residential Credit Investments Detail as of September 30, 2016 (1) Excludes Residential Mortgage Loans. Unaudited, dollars in thousands (1) By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $160,233 4.41% 7.21% 15.07% 5.90% Prime 230,140 4.52% 1.55% 10.4
Slide 14: Commercial Real Estate Overview
Commercial Real Estate Overview as of September 30, 2016 Book values include unamortized net origination fees.Total weighted based on book value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an “as is” basis at t
Slide 15: Middle Market Lending Overview
Middle Market Lending Overview as of September 30, 2016 Industry Dispersion Industry Fixed Rate Floating Rate Total Airports, Flying Fields and Airport Terminal $ - $ 47,184 $ 47,184 Commercial Fishing - 40,590 40,590 Computer Programming & Data Processing - 63,253 63,253 Drugs - 34,247 34,247 Home
Slide 16: Hedging and Liabilities
Hedging and Liabilities as of September 30, 2016 Unaudited, dollars in thousands Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 16% of the total repurchase agreements and FHLB advances have a remaining maturity over
Slide 17: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Unaudited Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Scenarios include Residential Investment Securities and derivative instruments.Net asset value (“NAV”) represents book value of common equity. Assumptions:The interest rate sensitivity and spread sensitivity are based on the por
Slide 18: Appendix
ANNALY Appendix 7
Slide 19: Endnotes
Endnotes for Page 2 Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earnings, net gains and losses on trading a
Slide 20: Non-GAAP Reconciliations
Non-GAAP Reconciliations To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or sup
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