Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2014 Earnings Presentation
22 slides from Annaly Capital Management's earnings presentation, May 7, 2014
Slide 1: 1Q 2014 Stockholder Supplement
1Q 2014 Stockholder Supplement May 7, 2014
Slide 2: Safe Harbor Notice
1 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 pe
Slide 3: 1Q14 Financial Overview
2 (1)Core earnings exclude net gains (losses) on trading assets and disposal of investments, unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, and realized gains (losses) on termination of interest rate swaps (2)Leverage includes repurchase agreeme
Slide 4: Strategy Overview
3 (1)Includes Agency mortgage-backed securities and Agency debentures. (2)Leverage includes repurchase agreements, Convertible Senior Notes and non-recourse securitized debt of consolidated VIE, loan participation and mortgages payable. Strategy Overview Portfolio Positioning Market Opportunities Li
Slide 5: Last Four Quarters Financial Performance
4 Last Four Quarters Financial Performance (1)Core earnings exclude net gains (losses) on trading assets and disposal of investments, unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-backed securities, realized gains (losses) on termination of interest rate swaps, n
Slide 6: Summary Balance Sheet and Applicable Information
5 Unaudited, numbers in thousands except per share amounts Summary Balance Sheet and Applicable Information (1)Includes Agency mortgage-backed securities and Agency debentures. (2)Includes commercial real estate debt and preferred equity and corporate debt. (3)Includes common stock, additional paid-
Slide 7: Summary Income Statement and Applicable Information
6 Unaudited, dollars in thousands except per share amounts Summary Income Statement and Applicable Information (1)Includes realized gains (losses) on interest rate swaps. (2)Core earnings exclude net gains (losses) on trading assets and disposal of investments, unrealized gains (losses) on interest
Slide 8: Components of Economic Net Interest Income
7 Unaudited, dollars in thousands Components of Economic Net Interest Income (1)Includes commercial real estate debt and preferred equity 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 Re
Slide 9: Change in Annualized Interest Rate Spread
8 Unaudited Change in Annualized Interest Rate Spread Change from 4Q13 to 1Q14 Note: Graph shows relative changes in contribution from 4Q13 to 1Q14. For example, coupon on average interest-earning assets increased annualized interest rate spread by 0.14% more in 1Q14 versus 4Q13. (1) Includes realiz
Slide 10: Reconciliation to Core Earnings
9 Unaudited, dollars in thousands Reconciliation to Core Earnings Reconciliation of 1Q14 GAAP Net Income to Core Earnings(1) (1)Core earnings exclude net gains (losses) on trading assets and disposal of investments, unrealized gains (losses) on interest rate swaps and Agency interest-only mortgage-b
Slide 11: Change in Annualized GAAP Return on Average Equity
10 Unaudited Change in Annualized GAAP Return on Average Equity Change from 4Q13 to 1Q14 Note: Graph shows relative changes in contribution from 4Q13 to 1Q14. For example, unrealized gains/losses on interest rate swaps decreased annualized ROE by 28.89% more in 1Q14 versus 4Q13. (1) Other includes r
Slide 12: Change in Annualized Core Return on Average Equity
11 Unaudited Change in Annualized Core Return on Average Equity Change from 4Q13 to 1Q14 Note: Graph shows relative changes in contribution from 4Q13 to 1Q14. For example, economic interest expense decreased annualized core ROE by 0.37% more in 1Q14 versus 4Q13. (1) Other includes investment advisor
Slide 13: Agency MBS and Debentures Portfolio Net Premium and Discount Balance and CPR
12 Unaudited, dollars in thousands Agency MBS and Debentures Portfolio Net Premium and Discount Balance and Constant Prepayment Rate $5,361,659 $5,346,879 $4,718,884 $4,600,158 $5,063,692 35.03% 40.31% 36.45% 37.08% 40.30% 19% 17% 13% 7% 6% 0.00%10.00%20.00%30.00%40.00%50.00%60.00%$0$1,000,000$2,000
Slide 14: Interest Rate and Liability Management
13 Unaudited Interest Rate and Liability Management (1) Excludes forward starting swaps. Note: Interest rates do not take into consideration outstanding Convertible Senior Notes, securitized debt of consolidated VIE , loan participation or mortgages payable. (1) 198 191 200 204 187 1.85% 1.83% 1.85%
Slide 15: Hedges and Liabilities as of March 31, 2014
14 Hedges and Liabilities as of March 31, 2014 Unaudited, dollars in thousands (1)Notional amount includes $3.1 billion in forward starting pay fixed swaps, offset by $1.4 billion in forward starting receive fixed swaps. (2)Excludes forward starting swaps. (3)Weighted average fixed rate on forward s
Slide 16: Agency MBS and Debentures Overview as of March 31, 2014
15 Unaudited, dollars in thousands Agency MBS and Debentures Overview as of March 31, 2014 (1) Weighted averages for percentages subject to HARP and three-month CPR exclude Callables and Step-up securities. Agency Fixed-Rate Securities Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg.
Slide 17: Agency MBS and Debentures Overview (cont'd)
16 Unaudited, dollars in thousands Agency MBS and Debentures Overview as of March 31, 2014 (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 C
Slide 18: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
17 Unaudited Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity (1) NAV includes common stock, additional paid-in capital, accumulated other comprehensive loss, and accumulated deficit. Assumptions: The interest rate sensitivity and spread sensitivity are based on the portfolios as of Mar
Slide 19: Commercial Real Estate Overview as of March 31, 2014
18 Unaudited, dollars in thousands Commercial Real Estate Overview as of March 31, 2014 (1)Book values exclude net origination fees. (2)Total weighted based on book value. (3)Based on most recent third party appraisal, which may be prior to loan origination/purchase date. (4)Maturity dates assume al
Slide 20: Last Five Quarters Summary Data
19 Unaudited, dollars in thousands Last Five Quarters Summary Data (1)Includes Agency mortgage-backed securities and Agency debentures. (2)Includes commercial real estate debt and preferred equity and corporate debt. For the quarters ended March 31, December 31, September 30, June 30, March 31, 2014
Slide 21: Last Five Quarters Summary Data (cont'd)
20 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)Leverage includes repurchase agreements, Convertible Senior Notes and n
Slide 22: Last Five Quarters Summary Data (cont'd)
21 Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) (1)Includes realized gains (losses) on interest rate swaps. (2)Core earnings excludes net gains (losses) on trading assets and disposal of investments, unrealized gains (losses) on interest rate swap
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