Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q2 2017 Earnings Presentation
22 slides from Annaly Capital Management's earnings presentation, Aug 2, 2017
Slide 1: Second Quarter 2017 Financial Summary
Second Quarter 2017Financial Summary August 2, 2017
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: Q2 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 Last Five Quarters Summary Data Includes consolidated variable interest entities (“VIEs”) and loans held for sale. 3 For the quarters ended June 30, March 31, December 31, September 30, June 30, 2017 2017 2016 2016 2016 Portfolio-Related Data: Agency mortgage-backed s
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. Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (con
Slide 7: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) 6 For the quarters ended June 30, March 31, December 31, September 30, June 30, 2017 2017 2016 2016 2016 Performance-Related Data (continued): Dividends declared per common share $0.30 $0.30 $0.30 $0.30
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 Components of Economic Net Interest Income 7 For the quarters ended June 30, March 31, December 31, September 30, June
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 MSR portfolio and is repor
Slide 10: Changes in Key Metrics
Unaudited Changes in Key Metrics 9 For the quarters ended June 30, March 31, December 31, September 30, June 30, 2017 2017 2016 2016 2016 Book value, per common share rollforward: Book value, per common share, beginning of period $11.23 $11.16 $11.83 $11.50 $11.61 Net income (loss) attributable to c
Slide 11: Changes in Key Metrics (cont'd)
Includes interest expense on interest rate swaps used to hedge cost of funds. Unaudited Changes in Key Metrics (cont’d) 10 For the quarters ended June 30, March 31, December 31, September 30, June 30, 2017 2017 2016 2016 2016 Changes in net interest spread Prior quarter net interest spread 1.15% 2.2
Slide 12: Changes in Key Metrics (cont'd)
Includes other income (loss), general and administrative expenses and income taxes.Includes other income (loss), mortgage servicing rights (“MSR”) amortization (a component of Net unrealized gains (losses) on financial instruments measured at fair value through earnings), general and administrative
Slide 13: Residential Investments and TBA Derivative Overview
Weighted by face value.Weighted by notional value. Unaudited, dollars in thousands Residential Investments and TBA Derivative Overview as of June 30, 2017 12 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturity
Slide 14: Residential Investments and TBA Derivative Overview (cont'd)
Weighted by notional value.Weighted by fair value. Unaudited, dollars in thousands Residential Investments and TBA Derivative Overview as of June 30, 2017 (cont’d) 13 Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted A
Slide 15: Residential Credit Investments Detail
Excludes Residential Mortgage Loans. Unaudited, dollars in thousands Residential Credit Investments Detail as of June 30, 2017 (1) 14 By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $193,481 4.40% 11.11% 11.47% 14.30% Prime 188,852 4.59% 0.99% 10.65% 1
Slide 16: Commercial Real Estate Overview
Unaudited, dollars in thousands Book values net of unamortized net origination fees.Total weighted based on book value.Based on an internal valuation or the most recent third party appraisal, which may be prior to loan origination/purchase date, and on an "as is" basis at the time of underwriting.Ma
Slide 17: Middle Market Lending Overview
Unaudited, dollars in thousands Middle Market Lending Overview as of June 30, 2017 16 Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $ - $ 34,892 $ 34,892 Commercial Fishing - 38,828 38,828 Computer Programming, Data Processing & Other Computer Related Services - 132,
Slide 18: Hedging and Liabilities
Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 10% 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 u
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 Appendix
Slide 21: Endnotes
Endnotes for Page 2 Net of dividends on preferred stock.Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and investments measured at fair value through earning
Slide 22: Non-GAAP Financial Measures
To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles (“GAAP”), the Company provides non-GAAP financial measures. These measures should not be considered a substitute for, or superior to, financial measu
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