Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2013 Earnings Presentation
22 slides from Annaly Capital Management's earnings presentation, Nov 6, 2013
Slide 1: 3Q 2013 Stockholder Supplement
3Q 2013 Stockholder Supplement November 6, 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) that may be identified by reference to a future peri
Slide 3: 3Q13 Financial Overview
(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 non-recourse loan pa
Slide 4: Strategy Overview
(1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. (2)Leverage includes non-recourse loan participation and mortgages payable. Strategy Overview Expected levered return on equity of 13% to 16% on purchase of Agency mortgage-backed securities (“Agency MBS”) in curre
Slide 5: Last Four Quarters Financial Performance
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, net
Slide 6: Summary Balance Sheet and Applicable Information
Unaudited, numbers in thousands except per share amounts Summary Balance Sheet and Applicable Information (1) Includes Agency mortgage-backed securities, Agency debentures and corporate debt. (2)Includes common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accu
Slide 7: Summary Income Statement and Applicable Information
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 ra
Slide 8: Components of Economic Net Interest Income
Unaudited, dollars in thousands Components of Economic Net Interest Income (1)Includes Agency mortgage-backed securities, Agency debentures 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
Slide 9: Change in Annualized Interest Rate Spread
Unaudited Change in Annualized Interest Rate Spread Change from 2Q13 to 3Q13 Note: Graph shows relative changes in contribution from 2Q13 to 3Q13. For example, net amortization of premiums and accretion of discounts increased annualized interest rate spread by 0.32% more in 3Q13 versus 2Q13. (1) Inc
Slide 10: Reconciliation to Core Earnings
Unaudited, dollars in thousands Reconciliation to Core Earnings Reconciliation of 3Q13 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-bac
Slide 11: Change in Annualized GAAP Return on Average Equity
Unaudited Change in Annualized GAAP Return on Average Equity Change from 2Q13 to 3Q13 Note: Graph shows relative changes in contribution from 2Q13 to 3Q13. For example, unrealized gains/losses on interest rate swaps decreased annualized ROE by 30.86% more in 3Q13 versus 2Q13. (1) Other includes inve
Slide 12: Change in Annualized Core Return on Average Equity
Unaudited Change in Annualized Core Return on Average Equity Change from 2Q13 to 3Q13 Note: Graph shows relative changes in contribution from 2Q13 to 3Q13. For example, economic interest expense decreased annualized core ROE by 0.84% more in 3Q13 versus 2Q13. (1) Includes realized gains (losses) on
Slide 13: 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 $5,453,012 $5,833,988 $5,367,186 $5,352,223 $4,724,045 20% 19% 18% 16% 13% 31.91% 36.64% 35.07% 40.35% 36.49% 0%10%20%30%40%50%60%$0$1,000,000$2,000,000$3,000,000$4,000,000$5,000,000$6,
Slide 14: Interest Rate and Liability Management
Unaudited Interest Rate and Liability Management Note: Interest rates do not take into consideration outstanding Convertible Senior Notes, loan participations or mortgages payable. 220 197 202 196 204 0.61% 0.63% 0.59% 0.64% 0.63% 1.96% 1.97% 1.85% 1.83% 1.85% 1001201401601802002202400.25%0.75%1.25%
Slide 15: Hedges and Liabilities as of September 30, 2013
Hedges and Liabilities as of September 30, 2013 Unaudited, dollars in thousands (1) Of the total repurchase agreements, approximately 14% have a remaining maturity over one year. Interest Rate Swaps Current Weighted Avg. Weighted Avg. Weighted Avg. Maturity Notional Pay Rate Receive Rate Years to Ma
Slide 16: Agency MBS and Debentures Overview
Unaudited, dollars in thousands Agency MBS and Debentures Overview as of September 30, 2013 (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)
Unaudited, dollars in thousands Agency MBS and Debentures Overview as of September 30, 2013 (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
Slide 18: Interest Rate and MBS Spread Sensitivity
Unaudited Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity Assumptions: The interest rate sensitivity and spread sensitivity are based on the portfolios as of September 30, 2013 and June 30, 2013 The interest rate sensitivities are instantaneous parallel shifts in rates The spread se
Slide 19: Commercial Real Estate Overview
Unaudited, dollars in thousands Commercial Real Estate Overview as of September 30, 2013 (1)Carry amounts are net of origination fees totaling $4.0 million as of September 30, 2013. (2)Yields do not include accretion of origination fees. (3)Based on most recent third party appraisal, which may be pr
Slide 20: Last Five Quarters Summary Data
Unaudited Last Five Quarters Summary Data (1)Includes Agency mortgage-backed securities, Agency debentures and corporate debt. For the quarters ended September 30, June 30, March 31, December 31, September 30, 2013 2013 2013 2012 2012 Portfolio-Related Data: Total Agency mortgage-backed securities a
Slide 21: Last Five Quarters Summary Data (cont'd)
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 non-recourse loan participation and mortgages payable. (
Slide 22: Last Five Quarters Summary Data (cont'd)
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 swaps a
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