Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2020 Earnings Presentation
25 slides from Annaly Capital Management's earnings presentation, Apr 29, 2020
Slide 1: First Quarter 2020 Financial Summary
First Quarter 2020 Financial Summary April 29, 2020
Slide 2: Important Notices
Important Notices This presentation is issued by Annaly Capital Management, Inc. ("Annaly"), a 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 First Quarter 2020 quarterly repor
Slide 3: Financial Snapshot
Financial Snapshot Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 GAAP net income (loss) per average common share (1) ($2.57) $0.82 Core earnings (excluding PAA) per average common share *(1) $0.21 $0.26 Income Statement Annualized GAAP return (l
Slide 4: Portfolio Data
Portfolio Data Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Agency mortgage-backed securities $78,456,846 $112,893,367 $114,462,524 $118,202,040 $103,093,526 Credit risk transfer securities 222,871 531,322 474,765 491,969 607,945 Non-agenc
Slide 5: Financing and Capital Data
Financing and Capital Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Repurchase agreements $72,580,183 $101,740,728 $102,682,104 $105,181,241 $88,554,170 Other secured financing 1,805,428 4,455,700 4,466,030 4,1
Slide 6: Income Statement Data
Income Statement Data Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Total interest income $555,026 $1,074,214 $919,299 $927,598 $866,186 Total interest expense 503,473 620,058 766,905 750,217 647,695 Net interest in
Slide 7: Key Earnings Metrics
Key Earnings Metrics Unaudited, dollars in thousands except per share amounts For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Dividends declared per common share $0.25 $0.25 $0.25 $0.25 $0.30 Total common and preferred dividends declared (1) $393,328 $393,203 $396,187 $396,
Slide 8: Components of Economic Net Interest Income
Components of Economic Net Interest Income * Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Interest income: Residential Securities $410,380 $923,653 $784,228 $777,891 $709,774 Residential mortgage loans 47,557 47,377 37,673 35,025 29,991 Co
Slide 9: GAAP Net Income to Core Earnings (excluding PAA) Reconciliation
GAAP Net Income to Core Earnings (excluding PAA)* Reconciliation Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 GAAP net income (loss) ($3,640,189) $1,209,742 ($747,169) ($1,776,413) ($849,251) Net income (loss) attributable to noncontrollin
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Quarter-Over-Quarter Changes in Key Metrics Unaudited For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Book value per common share, beginning of period $9.66 $9.21 $9.33 $9.67 $9.39 Net income (loss) available (related) to common stockholders (2.57) 0.82 (0.54) (1.24) (0.63)
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (continued)
Quarter-Over-Quarter Changes in Key Metrics (continued) Unaudited For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Prior quarter net interest margin (excluding PAA) * 1.41% 1.10% 1.28% 1.51% 1.49% Quarter-over-quarter changes in contribution: Coupon on average interest earni
Slide 12: Quarter-Over-Quarter Changes in Annualized Return on Average Equity
Quarter-Over-Quarter Changes in Annualized Return on Average Equity Unaudited For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Prior quarter annualized GAAP return (loss) on average equity 31.20% (19.32%) (45.13%) (22.72%) (62.05%) Quarter-over-quarter changes in contributio
Slide 13: Residential Investments & TBA Derivative Overview
Residential Investments & TBA Derivative Overview as of March 31, 2020 Unaudited, dollars in thousands Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity Face Value % (3) Coupon Amortized Cost Fair Value 3-Mo
Slide 14: Residential Investments & TBA Derivative Overview (continued)
Residential Investments & TBA Derivative Overview as of March 31, 2020 (continued) Unaudited, dollars in thousands Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Type Value % (1) Coupon Amortized Cost
Slide 15: Residential Credit Investments Detail
(1) Residential Credit Investments Detail as of March 31, 2020 Unaudited, dollars in thousands Payment Structure Investment Characteristics Estimated Credit Product Fair Value Senior Subordinate Coupon Enhancement 60+ Delinquencies 3M VPR Agency Credit Risk Transfer $207,849 $— $207,849 5.22% 0.58%
Slide 16: Commercial Real Estate Overview
Commercial Real Estate Overview as of March 31, 2020 Unaudited, dollars in thousands GAAP Non-GAAP Number of Weighted Avg Weighted Avg Economic Levered Investment Portfolio Investments Book Values % of Portfolio LTV (1) Life (years) (2) Interest (3) Return (4) Loans Senior Mortgages 17 $519,387 12.1
Slide 17: Middle Market Lending Overview
Middle Market Lending Overview as of March 31, 2020 Industry Dispersion Unaudited, dollars in thousands Industry Fixed Rate Floating Rate Total Size Dispersion Computer Programming, Data Processing & Other Computer Related Services — 391,559 391,559 Management and Public Relations Services — 288,586
Slide 18: Hedging and Liabilities
Hedging and Liabilities as of March 31, 2020 Unaudited, dollars in thousands Interest Rate Swaps Weighted Current Weighted Avg. Weighted Avg. Avg. Maturity Notional (1) Pay Rate Receive Rate Years to Maturity(2) 0 to 3 years $1,459,400 1.41% 1.03% 2.98 >3 to 6 years 1,310,400 1.47% 0.93% 2.97 > 6 to
Slide 19: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Unaudited Assumptions: ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of March 31, 2020 and December 31, 2019 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The
Slide 20: Appendix
ANN ALY Appendix
Slide 21: Non-GAAP Reconciliations
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 accordanc
Slide 22: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Premium Amortization Reconciliation Premium amortization expense $616,937 $171,447 $376,306 $318,587 $247,446 Less: PAA cost (benefit) 290,722 (83,892) 117,1
Slide 23: Non-GAAP Reconciliations (continued)
Non-GAAP Reconciliations (continued) Unaudited, dollars in thousands For the quarters ended 3/31/2020 12/31/2019 9/30/2019 6/30/2019 3/31/2019 Economic Metrics (excluding PAA) Average interest earning assets $116,063,895 $121,801,951 $127,207,668 $122,601,881 $109,946,527 Interest income (excluding
Slide 24: Endnotes
Endnotes Page 2 Page 4 (continued) (1) Net of dividends on preferred stock. (4) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver (2) Debt consists of repurchase agreements, other secured financing, securitized debt and mortgages swaptions) and futu
Slide 25: Endnotes (continued)
Endnotes (continued) Page 9 Page 15 (1) Represents the opening adjustment to retained earnings upon adoption of Accounting Standards (1) Based on an internal valuation or the most recent third party appraisal, which may be prior to loan Update 2016-13 Financial instruments - Credit losses (Topic 326
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