Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2024 Earnings Presentation
27 slides from Annaly Capital Management's earnings presentation, Oct 24, 2024
Slide 1: Third Quarter 2024 Investor Presentation
Third Quarter 2024 Investor Presentation October 23, 2024
Slide 2: Important Notices
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 Third Quarter
Slide 3: Recent Achievements and Performance Highlights
Recent Achievements and Performance Highlights Annaly delivered a strong economic return and EAD in excess of the dividend as the operating environment continued to improve Earnings available for distribution* of $0.66 per average common share for the quarter Financial Performance Book value per
Slide 4: Third Quarter 2024 Financial Highlights
Third Quarter 2024 Financial Highlights Earnings per Share Dividend per Share Net Interest Margin (ex. PAA)* Earnings Available 1.58% 1.52% GAAP for Distribution* $0.65 Earnings & Book Value $0.05 | $0.66 Book Value per Share Dividend Yield(1) $19.54 13.0% Q2 2024 Q3 2024 Total Portfolio(2) Capital
Slide 5: Established, Scaled Platforms Across Annaly's Investment Strategies
Established, Scaled Platforms Across Annaly’s Investment Strategies Total Portfolio(1): Agency Residential Mortgage Servicing $81.8bn Credit Rights Invests in Agency MBS & Invests predominantly in Invests in Mortgage Agency CMBS securities Non-Agency residential Servicing Rights, which collateralize
Slide 6: The Macroeconomic State of Affairs
The Macroeconomic State of Affairs The U.S. economy has moved into a better balance for employment and inflation, allowing the Federal Reserve (the “Fed”) to begin easing its restrictive policy and creating a constructive environment for fixed income investors Q3 2024 Market and Economic Development
Slide 7: Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies
Illustrative Returns & Market Dynamics Across Annaly's Investment Strategies Agency Residential Credit MSR Current Illustrative Market Levered Returns(1) 15%–17% 12%–15% 12%–14% Key Market Dynamics & Commentary Onset of the Fed’s rate cutting cycle and more Home prices continue to rise, albeit a
Slide 8: Business Update
Business Update ANNALY Zz
Slide 9: Agency | Business Update
Agency | Business Update Annaly grew its Agency MBS portfolio as it continued to shift up in coupon through the addition of high-quality specified pools and TBAs Strategic Approach Market Trends Annaly’s Agency portfolio is made up of high-quality and liquid Agency MBS generated a healthy total
Slide 10: Agency | Portfolio Summary
Agency | Portfolio Summary Annaly’s Agency Portfolio: $72.5 billion in assets at the end of Q3 2024, an increase of 10% compared to Q2 2024 Annaly continued to rotate the portfolio into higher coupons during the quarter, taking advantage of the relative value opportunity by deploying a portion o
Slide 11: Residential Credit | Business Update
Residential Credit | Business Update Annaly’s Residential Credit portfolio grew during the third quarter as the whole loan correspondent channel continued its record pace of origination and Onslow Bay continued to be the largest issuer of expanded credit RMBS Strategic Approach Market and Credit Tre
Slide 12: Residential Credit | Portfolio Summary
Residential Credit | Portfolio Summary Annaly Residential Credit Portfolio: $6.5 billion in assets(1) at the end of Q3 2024, an increase of 9% compared to Q2 2024 − Consists of a $4.6 billion securities portfolio and a $1.8 billion whole loan portfolio(1) Record quarterly whole loan settlements
Slide 13: MSR | Business Update
MSR | Business Update Annaly's durable, high quality MSR portfolio has benefited from positive fundamentals and we remain well-positioned to purchase both discount and current coupon MSR given existing partnerships Strategic Approach Market Trends MSR portfolio complements Annaly’s Agency MBS stra
Slide 14: MSR | Portfolio Summary
MSR | Portfolio Summary Annaly MSR Portfolio: $2.8 billion in market value at the end of Current MSR Portfolio by the Numbers Q3 2024, an increase of 1% compared to Q2 2024 (Excludes Interests in MSR / MSR of LP Interest) Onslow Bay committed to purchase $125 million in market value ($8.9 billio
Slide 15: Financial Highlights and Trends
Financial Highlights and Trends
Slide 16: Financial Highlights and Trends
Financial Highlights and Trends Unaudited For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 (1) GAAP net income (loss) per average common share $0.05 ($0.09) $0.85 ($0.88) ($1.21) Earnings available for distribution per average common share*(1) $0.66 $0.68 $0.64 $0.68 $0.66 D
Slide 17: Financial Highlights and Trends (cont'd)
Financial Highlights and Trends (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Agency mortgage-backed securities $69,150,399 $64,390,905 $63,542,230 $66,308,788 $66,591,536 Residential credit risk transfer securities 826,841 838,43
Slide 18: Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity
Quarter-Over-Quarter Interest Rate & MBS Spread Sensitivity Unaudited The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of September 30, 2024 and June 30, 2024, respectively The interest rate sensitivity reflects instantaneous parallel shifts in rates The
Slide 19: Appendix | Non-GAAP Reconciliations
Appendix | Non-GAAP Reconciliations
Slide 20: Non-GAAP Reconciliations
Non-GAAP Reconciliations Earnings Available for Distribution (“EAD”), a non-GAAP measure, is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles,
Slide 21: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands, except per share amounts) 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 subs
Slide 22: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Premium Amortization Reconciliation Premium amortization expense $53,448 $10,437 $26,732 $51,247 $24,272 Less: PAA cost (benefit) 21,365 (7,306) (3,013) 19,148
Slide 23: Non-GAAP Reconciliations (cont'd)
Non-GAAP Reconciliations (cont’d) Unaudited (dollars in thousands) For the quarters ended 9/30/2024 6/30/2024 3/31/2024 12/31/2023 9/30/2023 Economic leverage ratio reconciliation Repurchase agreements $64,310,276 $60,787,994 $58,975,232 $62,201,543 $64,693,821 Other secured financing 600,000 600,00
Slide 24: Glossary and Endnotes
Glossary and Endnotes ANNALY Zz
Slide 25: Glossary
Glossary ARC: Refers to Annaly Residential Credit Group Non-QM: Refers to a Non-Qualified Mortgage CPR: Refers to Constant Prepayment Rate OBX: Refers to Onslow Bay Securities CRT: Refers to Credit Risk Transfer Securities Re-Performing Loan A type of loan in which payments were previously (“RPL”):
Slide 26: Endnotes
Endnotes Page 3 Page 6 1. Comprised of $6.5bn of unencumbered assets, which represents Annaly’s excess liquidity and defined as assets 1. Represents quarterly real GDP growth from the U.S. Bureau of Economic Analysis through Q2 2024. that have not been pledged or securitized (generally including cas
Slide 27: Endnotes (cont'd)
Endnotes (cont’d) Page 13 1. Portfolio excludes retained servicing on whole loans within the Residential Credit portfolio. Non-GAAP Reconciliations 2. Rocket Mortgage is expected to begin servicing loans for Annaly as early as December 2024. Page 21 3. Excludes unsettled commitments of $518mm in Q4
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