Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2024 Earnings Presentation
28 slides from Annaly Capital Management's earnings presentation, Jul 24, 2024
Slide 1: Second Quarter 2024 Supplemental Information
Second Quarter 2024 Supplemental Information July 24, 2024
Slide 2: Disclaimer and Forward-Looking Statements
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 Second Quarter 2024 earnings re
Slide 3: Financial Snapshot: Key Statistics
Portfolio Efficiency GAAP Key Statistics Income Statement Balance Sheet For the quarters ended 6/30/2024 3/31/2024 GAAP net income (loss) per average common share (1) ($0.09) $0.85 Earnings available for distribution per average common share *(1) $0.68 $0.64 Annualized GAAP return (loss) on average
Slide 4: Portfolio-Related Data
Portfolio-Related Data Portfolio Data For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Agency mortgage-backed securities $64,390,905 $63,542,230 $66,308,788 $66,591,536 $67,764,264 Residential credit risk transfer securities 838,437 871,421 974,059 982,951 1,064,401 Non-agen
Slide 5: Financing and Capital Data
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Financing and Capital Data For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Repurchase agreements $60,787,994 $58,975,232 $62,20
Slide 6: Income Statement Data
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. Unaudited, dollars in thousands except per share amounts For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Total interest income
Slide 7: Dividends and Return Metrics
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Dividends declared per common share $0.65 $0.65 $0.65 $0.65 $0.65 Total common and preferred dividends declared (1) $364,899 $363,933 $363,758 $360,018 $358,214 Annualized GAAP return (loss) on average equity (2) (0.31%) 16.29
Slide 8: Interest Income and Economic Interest Expense
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Interest income: Agency Securities $790,779 $751,516 $697,299 $753,007 $686,912 Resi Credit Securities 50,895 55,996 57,815 57,229 56,477 Residential mortgage loans 301,820 252,016 212,440 181,965 162,202 Commercial investment
Slide 9: GAAP Net Income to Earnings Available for Distribution
___________________ * Represents a non-GAAP financial measure. Detailed endnotes are included within the Appendix at the end of this presentation. For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 GAAP net income (loss) ($8,833) $465,174 ($391,232) ($569,084) $161,187 Adjustm
Slide 10: Book Value and Net Interest Margin Roll-Forward
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Book value per common share, beginning of period $19.73 $19.44 $18.25 $20.73 $20.77 Net income (loss) available (related) to common stockholders (0.09) 0.85 (0.88) (1.21) 0.27 Other comprehensive income (loss) attributable to
Slide 11: Net Interest Margin and Spread (excluding PAA)
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Prior quarter net interest margin (excluding PAA) * 1.43% 1.58% 1.48% 1.66% 1.76% Quarter-over-quarter changes in contribution: Coupon on average interest earning assets (including average TBA dollar roll and CMBX balances) 0.
Slide 12: Return on Average Equity Roll-Forward
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Prior quarter annualized GAAP return (loss) on average equity 16.29% (14.21%) (20.18%) 5.42% (28.84%) Quarter-over-quarter changes in contribution: Coupon income 2.50% 1.41% 1.44% 4.18% 1.88% Net amortization of premiums and a
Slide 13: Agency Securities Portfolio
___________________ Detailed endnotes are included within the Appendix at the end of this presentation. Agency Fixed-Rate Securities (Pools) (1) Original Weighted Avg. Years to Maturity Current Face Value % (3) Weighted Avg. Coupon Weighted Avg. Amortized Cost Weighted Avg. Fair Value Weighted Avg.
Slide 14: Mortgage Servicing Rights and Residential Credit Portfolio
Mortgage Servicing Rights Type Unpaid Principal Balance Servicing Fee Weighted Avg. Note Rate Valuation Discount Rate Projected CPR Estimated Fair Value MSR held directly $191,655,011 0.26% 3.1% 145.3% 8.4% 5.5% $2,785,614 MSR of limited partnership interest (1) 2,454,172 34,233 Total/Weighted Avg.
Slide 15: Residential Credit Payment Structure and Characteristics
Payment Structure Investment Characteristics (1) Product Estimated Fair Value Senior Subordinate Coupon Credit Enhancement 60+ Delinquencies 3M VPR (2) Credit Risk Transfer $838,437 $— $838,437 9.81% 1.69% 0.81% 4.92% Alt-A 156,928 — 156,928 7.07% 9.34% 2.86% 12.34% Prime 32,812 20,653 12,159 4.05%
Slide 16: Financing and Interest Rate Swap Details
Principal Balance Weighted Average Rate Days to Maturity(5)At Period End For the Quarter Repurchase agreements $60,787,994 5.59% 5.53% 36 Other secured financing 600,000 8.08% 8.07% 409 Debt issued by securitization vehicles 16,911,585 5.06% 5.05% 12,869 Participations issued 1,115,487 7.35% 6.97% 1
Slide 17: Interest Rate and MBS Spread Sensitivity
Unaudited ▪ The interest rate sensitivity and MBS spread sensitivity are based on the portfolios as of June 30, 2024 and March 31, 2024 ▪ The interest rate sensitivity reflects instantaneous parallel shifts in rates ▪ The MBS spread sensitivity shifts MBS spreads instantaneously and reflects exposur
Slide 18: Appendix
Appendix ANNALY
Slide 19: Consolidated Balance Sheets
6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 (unaudited) (unaudited) (unaudited) (unaudited) Assets Cash and cash equivalents $ 1,587,108 $ 1,665,370 $ 1,412,148 $ 1,241,122 $ 1,236,872 Securities 67,044,753 66,500,689 69,613,565 69,860,730 71,202,461 Loans, net 2,548,228 2,717,823 2,353,084 1
Slide 20: Consolidated Income Statements
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Net interest income Interest income $ 1,177,325 $ 1,094,488 $ 990,352 $ 1,001,485 $ 921,494 Interest expense 1,123,767 1,100,939 1,043,902 1,046,819 953,457 Net interest income 53,558 (6,451) (53,550) (45,334) (31,963) Net ser
Slide 21: Income Statement Gains (Losses) Detail
Unaudited, dollars in thousands For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Net gains (losses) on disposal of investments and other ($335,987) ($545,947) ($1,174,680) ($616,525) ($610,397) Net unrealized gains (losses) on instruments measured at fair value through earni
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 intend
Slide 23: Economic Leverage and Economic Capital Ratios
Economic leverage and economic capital ratios The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The Company’s capital structure is desi
Slide 24: Economic Leverage Ratio Reconciliation
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Economic leverage ratio reconciliation Repurchase agreements $60,787,994 $58,975,232 $62,201,543 $64,693,821 $61,637,600 Other secured financing 600,000 600,000 500,000 500,000 500,000 Debt issued by securitization vehicles 15
Slide 25: Economic Capital Ratio Reconciliation
For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Economic capital ratio reconciliation Total GAAP assets $93,668,577 $91,483,546 $93,227,236 $89,648,423 $89,330,477 Less: Gross unrealized gains on TBA derivatives (1) (14,641) (7,220) (20,689) (7,232) (21,460) Debt issued by
Slide 26: Economic Metrics (excluding PAA)
___________________ * Represents a non-GAAP financial measure. For the quarters ended 6/30/2024 3/31/2024 12/31/2023 9/30/2023 6/30/2023 Economic Metrics (excluding PAA) Average interest earning assets $91,008,934 $89,738,726 $87,020,120 $89,300,922 $86,254,955 Interest income (excluding PAA) * $1,1
Slide 27: Endnotes
Page 3 (1) Net of dividends on preferred stock. (2) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is (0.08%) and 4.07% for the quarters ende
Slide 28: Endnotes (continued)
Page 12 (1) Includes other, net, general and administrative expenses and income taxes. (2) Includes other, net (excluding non-EAD items), MSR amortization (a component of net gains (losses) on investments and other), general and administrative expenses (excluding transaction related expenses) and in
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