Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q4 2016 Earnings Presentation
20 slides from Annaly Capital Management's earnings presentation, Feb 15, 2017
Slide 1: Fourth Quarter 2016 Financial Summary
February 15, 2017 Fourth Quarter 2016 Financial Summary
Slide 2: Forward-Looking Statements and Non-GAAP Financial Measures
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: 4Q 2016 Financial Snapshot
Note: The endnotes for this page appear in the section entitled “Endnotes for Page 2” in the Appendix. Core earnings, core earnings per average common share, annualized core return on average equity, core net interest margin (excluding PAA), core average yield on interest earning assets (excluding P
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.The change in constant prepayment rate (“CPR”) between the September 2016 and June 2016 quarters largely reflects the change in portfolio mix due to the C
Slide 5: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts 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 swaptio
Slide 6: Last Five Quarters Summary Data (cont'd)
Unaudited, dollars in thousands except per share amounts 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 rolls. For the quarters ended December 31, Septemb
Slide 7: Components of Economic Net Interest Income
Unaudited, dollars in thousands 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 rolls. For the quarters ended December 31, September 30, June 30, March 31, December 31, 2016 2
Slide 8: Reconciliations and Changes in Key Metrics
Unaudited, dollars in thousands Reconciliations and Changes in Key Metrics Represents transaction costs incurred in connection with the Hatteras Acquisition.Represents a component of Net gains (losses) on trading assets.Represents a component of Net unrealized gains (losses) on investments measured
Slide 9: Changes in Key Metrics
Unaudited Changes in Key Metrics Includes interest expense on interest rate swaps used to hedge cost of funds. For the quarters ended December 31, September 30, June 30, March 31, December 31, 2016 2016 2016 2016 2015 Changes in net interest margin Prior quarter net interest margin 1.40% 1.15% 0.79%
Slide 10: Changes in Key Metrics
Unaudited Changes in Key Metrics 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 earni
Slide 11: Residential Investments and TBA Derivative Overview
Unaudited, dollars in thousands Residential Investments and TBA Derivative Overview as of December 31, 2016 Weighted by face value.Weighted by notional value. Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturit
Slide 12: Residential Investments and TBA Derivative Overview (cont'd)
Unaudited, dollars in thousands Residential Investments and TBA Derivative Overview as of December 31, 2016 (cont’d) Weighted by notional value.Weighted by fair value. Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted
Slide 13: Residential Credit Investments Detail
Residential Credit Investments Detail as of December 31, 2016 (1) Excludes Residential Mortgage Loans. Unaudited, dollars in thousands (1) By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $154,173 4.49% 8.87% 14.17% 13.52% Prime 220,192 4.46% 1.14% 11.1
Slide 14: Commercial Real Estate Overview
Commercial Real Estate Overview as of December 31, 2016 Book values include 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 th
Slide 15: Middle Market Lending Overview
Middle Market Lending Overview as of December 31, 2016 Unaudited, dollars in thousands Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $ - $ 32,067 $ 32,067 Commercial Fishing - 40,600 40,600 Computer Programming, Data Processing & Other Computer Related Services - 146
Slide 16: Hedging and Liabilities
Hedging and Liabilities as of December 31, 2016 Unaudited, dollars in thousands Weighted average years to maturity for futures positions are based off of the Treasury contracts cheapest to deliver.Approximately 13% of the total repurchase agreements and other secured financing have a remaining matur
Slide 17: Quarter-Over-Quarter Interest Rate and MBS Spread Sensitivity
Unaudited Quarter-Over-Quarter 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 i
Slide 18: Appendix
ANNALY Appendix 7
Slide 19: Endnotes
Endnotes for Page 2 The Company revised its definition of core earnings to include the PAA. Core earnings (unrevised) excluded the PAA. This is the final quarter that the Company will report core earnings metrics that exclude the PAA. Beginning with the fourth quarter 2016, core earnings (revised) i
Slide 20: Non-GAAP Reconciliations
Non-GAAP Reconciliations 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 sup
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