Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2013 Earnings Presentation
17 slides from Annaly Capital Management's earnings presentation, May 1, 2013
Slide 1: 1Q 2013 Stockholder Supplement
1Q 2013 Stockholder Supplement May 1, 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) may be identified by reference to a future period or
Slide 3: Summary Performance
For the quarters ended March 31, March 31, December 31, 2013 2012 2012 Total interest income $737,217 $854,895 $756,661 Total economic interest expense (1) 403,066 352,685 413,646 Economic net interest income (1) $334,151 $502,210 $343,015 Net income (loss) $870,278 $901,806 $700,495 Net income (los
Slide 4: Change from 4Q12 to 1Q13 Annualized Return on Average Equity
4.37% 1.82% 0.86% 0.07% 16.97% 0.0% 2.5% 5.0% 7.5% 10.0% 12.5% 15.0% 17.5% 20.0% 22.5% 25.0% 4Q12 ROE Realized / unrealized gains / losses on inv. and trading assets Convertible debt extinguishment loss Coupon income Unrealized gains / losses on interest rate swaps Economic interest expense(1) Net a
Slide 5: Change from 4Q12 to 1Q13 Annualized Adjusted Return on Average Equity
Unaudited Change from 4Q12 to 1Q13 Annualized Adjusted Return on Average Equity Note: Graph shows relative changes in contribution from 4Q12 to 1Q13. For example, economic interest expense decreased annualized adjusted ROE by 0.30% more in 1Q13 than it did in 4Q12. (1) Includes realized gains / loss
Slide 6: Reconciliation of 1Q13 Net Income to Adjusted Net Income
Unaudited, dollars in thousands Reconciliation of 1Q13 Net income to Adjusted net income(1) Adjusted Net Income (1) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities. $464,417 ($80,127 ) ($325,734) $870,278 $0 $100,000
Slide 7: Change from 4Q12 to 1Q13 Annualized Interest Rate Spread
66Unaudited Change from 4Q12 to 1Q13 Annualized Interest Rate Spread Note: Graph shows relative changes in contribution from 4Q12 to 1Q13. For example, net amortization of premiums and accretion of discounts decreased annualized interest rate spread by 0.05% less in 1Q13 than it did in 4Q12. (1) Inc
Slide 8: Common Equity Change from 4Q12 to 1Q13
Unaudited, numbers in thousands except per share amounts Common Equity Change from 4Q12 to 1Q13 Balance Common Shares Book Value Outstanding per Share December 31, 2012 common equity $15,011,385 947,213 $15.85 Net income 870,278 Other comprehensive income (loss) (1,049,994) Contingent beneficial con
Slide 9: 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 $3,820,276 $4,467,122 $5,453,012 $5,833,988 $5,367,186 19% 19% 20% 19% 18% 24.0% 27.4% 31.9% 36.6% 35.1% 0% 10% 20% 30% 40% 50% 60% $0 $1,000,000 $2,000,000 $3,000,000 $4,000,000 $5,000
Slide 10: Interest Rate Swaps and Repurchase Agreements as of March 31, 2013
Unaudited, dollars in thousands Interest Rate Swaps and Repurchase Agreements as of March 31, 2013 (1) Of the total repurchase agreements, approximately 11% have a remaining maturity over one year. Interest Rate Swaps Maturity Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Pay Rate Recei
Slide 11: Interest Rate and Liability Management
Unaudited Interest Rate and Liability Management Note: Rates do not take into consideration outstanding Convertible Senior Notes. 127 216 220 197 202 0.49% 0.59% 0.61% 0.63% 0.59% 2.11% 1.99% 1.96% 1.97% 1.85% 100 120 140 160 180 200 220 240 0.25% 0.75% 1.25% 1.75% 2.25% 2.75% 3.25% 1Q12 2Q12 3Q12 4
Slide 12: Agency MBS and Debentures Overview as of March 31, 2013
1111Unaudited, dollars in thousands Agency MBS and Debentures Overview as of March 31, 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
Slide 13: Agency MBS and Debentures Overview (cont'd.)
1212Unaudited, dollars in thousands Agency MBS and Debentures Overview as of March 31, 2013 (cont’d.) Agency Fixed-Rate and Floating-Rate Collateralized Mortgage-Backed Obligations Type Current % Weighted Avg. Weighted Avg. Weighted Avg. Subject to Weighted Avg. Estimated Fair Value Face Value Coupo
Slide 14: Agency Fixed-Rate Portfolio Not Subject to HARP
1313Unaudited, dollars in thousands Agency Fixed-Rate Portfolio Not Subject to HARP Note: Portfolio data as of March 31, 2013. Certain securities are classified under more than one category. <=15 Years Weighted Average Maturity Type Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Fac
Slide 15: Agency Fixed-Rate Portfolio Subject to HARP
1414Unaudited, dollars in thousands Agency Fixed-Rate Portfolio Subject to HARP Note: Portfolio data as of March 31, 2013. Certain securities are classified under more than one category. <=15 Years Weighted Average Maturity Type Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Face Va
Slide 16: Last Five Quarters Summary Data
1515Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (1) Adjusted net income excludes unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities and net loss on extinguishment of the 4% Convertible Notes. For the quar
Slide 17: Last Five Quarters Summary Data (cont'd.)
1616For the quarters ended March 31, 2013 December 31, 2012 September 30, 2012 June 30, 2012 March 31, 2012 Total Agency mortgage-backed securities and debentures $112,226,950 $126,972,775 $132,533,252 $119,751,155 $111,790,839 % Fixed-rate 92% 93% 93% 92% 91% % Adjustable-rate 8% 7% 7% 7% 8% % Floa
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