Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2017 Earnings Presentation
22 slides from Annaly Capital Management's earnings presentation, Feb 14, 2018
Slide 1: Fourth Quarter 2017 Financial Summary
Fourth Quarter 2017 Financial Summary February 14, 2018
Slide 2: Forward-looking statements
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: Q4 2017 Financial Snapshot
For the quarters ended 12/31/2017 9/30/2017 GAAP net income per average common share (1) $0.62 $0.31 Core earnings (excluding PAA) per average common share *(1)(2) $0.31 $0.30 Core earnings per average common share *(1)(2) $0.30 $0.26 PAA cost (benefit) per average common share 0.01 0.04 Annualized
Slide 4: Portfolio Data
Unaudited, dollars in thousands 3 Portfolio Data (1) Includes consolidated VIEs. (2) Includes consolidated VIEs and loans held for sale. For the quarters ended 12/31/2017 9/30/2017 6/30/2017 3/31/2017 12/31/2016 Agency mortgage-backed securities $90,551,763 $85,889,131 $73,963,998 $72,708,490 $75,58
Slide 5: Financing and Capital Data
(1) Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit. (2) Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and to be annou
Slide 6: Income Statement Data
* Represents a non-GAAP financial measure. (1) 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 roll transactions. (2) Net of dividends on preferred stock. The quarter ended December 31, 2017 exclu
Slide 7: Key Earnings Metrics
* Represents a non-GAAP financial measure. (1) The quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which were cumulative and undeclared as of September 30, 2017. (2) Includes interest ex
Slide 8: Components of Economic Net Interest Income
* Represents a non-GAAP financial measure. (1) Included within realized losses on interest rate swaps. Excludes interest expense on interest rate swaps used to hedge TBA dollar roll transactions. Unaudited, dollars in thousands 7 Components of Economic Net Interest Income For the quarters ended 12/3
Slide 9: GAAP Net Income to Core Earnings Reconciliation
* Represents a non-GAAP financial measure. (1) Represents a component of Net gains (losses) on trading assets. (2) Represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company’s mortgage servicing rights (“MSR”) portfolio and is repor
Slide 10: Quarter-Over-Quarter Changes in Key Metrics
Unaudited 9 Quarter-Over-Quarter Changes in Key Metrics * Represents a non-GAAP financial measure. (1) For book value purposes, the quarter ended December 31, 2017 includes, and the quarter ended September 30, 2017 excludes, $8.3 million of dividends on the Company’s Series F Preferred stock, which
Slide 11: Quarter-Over-Quarter Changes in Key Metrics (cont'd)
* Represents a non-GAAP financial measure. (1) Includes interest expense on interest rate swaps used to hedge cost of funds. Unaudited 10 Quarter-Over-Quarter Changes in Key Metrics (cont’d) For the quarters ended 12/31/2017 9/30/2017 6/30/2017 3/31/2017 12/31/2016 Prior quarter net interest spread
Slide 12: Quarter-Over-Quarter Changes in Return on Average Equity
* Represents a non-GAAP financial measure. (1) Includes other income (loss), general and administrative expenses and income taxes. (2) Includes other income (loss), MSR amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), gener
Slide 13: Residential Investments and TBA Derivative Overview
(1) Includes Agency-backed multifamily securities with an estimated fair value of $493.7 million. (2) Weighted by current face value. (3) Weighted by notional value. Unaudited, dollars in thousands 12 Residential Investments and TBA Derivative Overview as of December 31, 2017 Agency Fixed-Rate Secur
Slide 14: Residential Investments & TBA Derivative Overview (cont'd)
(1) Weighted by current notional value. (2) Weighted by estimated fair value. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of December 31, 2017 (cont’d) Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted
Slide 15: Residential Credit Investments Detail
(1) Excludes residential mortgage loans. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of December 31, 2017 (1) Payment Structure Investment Characteristics Product Total Senior Subordinate Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Agency Credit Ri
Slide 16: Commercial Real Estate Investments Overview
Unaudited, dollars in thousands (1) Commercial real estate debt and preferred equity, held for investment book values are net of unamortized net origination fees. (2) Total weighted based on carry value. (3) Based on an internal valuation or the most recent third party appraisal, which may be prior
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands 16 Middle Market Lending Overview as of December 31, 2017 Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $ - $ 34,814 $ 34,814 Coating, Engraving and Allied Services - 64,034 64,034 Computer Programming, Data Processing & Other Computer
Slide 18: Hedging and Liabilities
(1) Includes forward-starting interest rate swaps. (2) Excludes forward-starting interest rate swaps. (3) Weighted average years to maturity for futures positions are based on the U.S. Treasury contracts cheapest to deliver. (4) Approximately 5% of the total repurchase agreements and other secured f
Slide 19: Interest Rate and MBS Spread Sensitivity
(1) Interest rate and MBS spread sensitivity are based on results from third party models in conjunction with inputs from our internal investment professionals. Actual results could differ materially from these estimates. (2) Scenarios include Residential Investment Securities, residential mortgage
Slide 20: Appendix
"| Appendix
Slide 21: Endnotes
20 Endnotes for Page 2 * Represents a non-GAAP financial measure. Core earnings (excluding PAA) per average share, core earnings per average common share, annualized core return on average equity (excluding PAA), net interest margin (excluding PAA), average yield on interest earning assets (excludin
Slide 22: Non-GAAP financial measures
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 accordance with GAAP. While inte
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