Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q3 2017 Earnings Presentation
22 slides from Annaly Capital Management's earnings presentation, Nov 1, 2017
Slide 1: Third Quarter 2017 Financial Summary
Third Quarter 2017Financial Summary November 1, 2017
Slide 2: Forward-looking statements disclaimer
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: Q3 2017 Financial Snapshot
Unaudited, dollars in thousands except per share amounts Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings (excluding PAA) per average share, core earnings per average common share, annualized core return on average equity (excluding
Slide 4: Last Five Quarters Summary Data
Unaudited, dollars in thousands 3 Last Five Quarters Summary Data Includes consolidated VIEs and loans held for sale. For the quarters ended September 30, June 30, March 31, December 31, September 30, 2017 2017 2017 2016 2016 Portfolio-Related Data: Agency mortgage-backed securities $85,889,131 $73,
Slide 5: Last Five Quarters Summary Data (cont'd)
Consists of common stock, additional paid-in capital, accumulated other comprehensive income (loss) and accumulated deficit.Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and to be announced (“TB
Slide 6: Last Five Quarters Summary Data (cont'd)
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.Net of dividends on preferred stock, including cumulative and undeclared dividends on the Company’s Series F Preferred stock of $8
Slide 7: Last Five Quarters Summary Data (cont'd)
Excludes undeclared dividends on the Company’s Series F Preferred stock of $8.3 million for the quarter ended September 30, 2017.Includes interest expense on interest rate swaps used to hedge cost of funds. Unaudited, dollars in thousands except per share amounts 6 Last Five Quarters Summary Data (c
Slide 8: Components of Economic Net Interest Income
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 September 30, June 30, March 31, December 31, Septe
Slide 9: GAAP Net Income to Core Earnings Reconciliation
Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.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
Slide 10: Changes in Key Metrics
Unaudited 9 Changes in Key Metrics Excludes the effect of cumulative and undeclared dividends on the Company’s Series F Preferred stock. For the quarters ended September 30, June 30, March 31, December 31, September 30, 2017 2017 2017 2016 2016 Book value, per common share rollforward: Book value pe
Slide 11: Changes in Key Metrics (cont'd)
Includes interest expense on interest rate swaps used to hedge cost of funds. Unaudited 10 Changes in Key Metrics (cont’d) For the quarters ended September 30, June 30, March 31, December 31, September 30, 2017 2017 2017 2016 2016 Changes in net interest spread Prior quarter net interest spread 0.84
Slide 12: Changes in Key Metrics (cont'd)
Includes other income (loss), general and administrative expenses and income taxes.Includes other income (loss), MSR amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), general and administrative expenses (excluding corporate
Slide 13: Residential Investments and TBA Derivative Overview
Includes Agency-backed multifamily securities with an estimated fair value of $411.5 million.Weighted by current face value.Weighted by notional value. Unaudited, dollars in thousands 12 Residential Investments and TBA Derivative Overview as of September 30, 2017 Agency Fixed-Rate Securities (Pools)
Slide 14: Residential Investments & TBA Derivative Overview (cont'd)
Weighted by current notional value.Weighted by estimated fair value. Unaudited, dollars in thousands 13 Residential Investments & TBA Derivative Overview as of September 30, 2017 (cont’d) Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Wei
Slide 15: Residential Credit Investments Detail
Excludes residential mortgage loans. Unaudited, dollars in thousands 14 Residential Credit Investments Detail as of September 30, 2017 (1) By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $179,725 4.43% 11.39% 12.29% 12.32% Prime 220,641 4.43% 1.15% 9.4
Slide 16: Commercial Real Estate Overview
Unaudited, dollars in thousands Book values net of unamortized net origination fees.Total weighted based on carrying value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date or at the time of underwriting.Maturity dates assum
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands 16 Middle Market Lending Overview as of September 30, 2017 Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $ - $ 34,846 $ 34,846 Coating, Engraving and Allied Services - 63,643 63,643 Computer Programming, Data Processing & Other Compute
Slide 18: Hedging and Liabilities
Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 8% of the total repurchase agreements and other secured financing have a remaining maturity over one year. Determined based on estimated weighted-average lives of the un
Slide 19: Interest Rate and MBS Spread Sensitivity
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.Scenarios include Residential Investment Securities, residential mortgage loans, MS
Slide 20: Appendix
ANNALY | 4ppenaix
Slide 21: Endnotes
20 Endnotes for Page 2 Net of dividends on preferred stock, including cumulative and undeclared dividends on the Company’s Series F Preferred stock of $8.3 million for the quarter ended September 30, 2017.Core earnings and core earnings per average common share are non-GAAP measures defined as net i
Slide 22: 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 accordance with GAAP. While intend
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