Annaly Capital Management Inc. · NYSE:NLY
Annaly Capital Management — Q1 2017 Earnings Presentation
21 slides from Annaly Capital Management's earnings presentation, May 3, 2017
Slide 1: First Quarter 2017 Financial Summary
First Quarter 2017Financial Summary May 3, 2017
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: Q1 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, core earnings per average common share and annualized core return on average equity represent non-GAAP measures. This present
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)
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. Unaudited, dollars in thousands except per share amounts Last Five Quarters Summary Data (cont’d) 5 For the quarters ended March
Slide 7: 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 For the quarters ended March 31, December 31, September 30, June 30, March 3
Slide 8: GAAP to Core Reconciliation
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 at fair value through earnings. Unaudited, dollars in thousands GAAP to Cor
Slide 9: Changes in Key Metrics
Includes interest expense on interest rate swaps used to hedge cost of funds. Unaudited Changes in Key Metrics 8 For the quarters ended March 31, December 31, September 30, June 30, March 31, 2017 2016 2016 2016 2016 Book value, per common share rollforward: Book value, per common share, beginning o
Slide 10: 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 earnings), general and administrative
Slide 11: Impact of PAA on Key Metrics
Unaudited Impact of PAA on Key Metrics 10 For the quarters ended March 31, December 31, September 30, June 30, March 31, 2017 2016 2016 2016 2016 As reported: Annualized core return on average equity 10.09% 17.53% 10.09% 6.78% 4.19% Net interest margin 1.47% 2.49% 1.40% 1.15% 0.79% Net interest spre
Slide 12: Residential Investments and TBA Derivative Overview as of March 31, 2017
Weighted by face value.Weighted by notional value. Unaudited, dollars in thousands Residential Investments and TBA Derivative Overview as of March 31, 2017 11 Agency Fixed-Rate Securities (Pools) Weighted Avg. Current Weighted Avg. Weighted Avg. Weighted Avg. Weighted Avg. Estimated Years to Maturit
Slide 13: 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 March 31, 2017 (cont’d) 12 Agency Interest-Only Collateralized Mortgage-Backed Obligations Current Notional Weighted Avg. Weighted Avg. Weighted Avg. Weighted
Slide 14: Residential Credit Investments Detail as of March 31, 2017
Excludes Residential Mortgage Loans. Unaudited, dollars in thousands Residential Credit Investments Detail as of March 31, 2017 (1) 13 By Sector Product Product Market Value Coupon Credit Enhancement 60+ Delinquencies 3M VPR Alt-A $190,453 4.19% 10.06% 11.78% 8.08% Prime 189,229 4.66% 0.91% 10.05% 1
Slide 15: Commercial Real Estate Overview as of March 31, 2017
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 16: Middle Market Lending Overview as of March 31, 2017
Unaudited, dollars in thousands Middle Market Lending Overview as of March 31, 2017 15 Industry Dispersion Industry Fixed Rate Floating Rate Total Aircraft and Parts $ - $ 31,999 $ 31,999 Commercial Fishing - 38,816 38,816 Computer Programming, Data Processing, and Other Computer Related Services -
Slide 17: Hedging and Liabilities as of March 31, 2017
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 18: 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 19: Appendix
& ANNALY Appendix
Slide 20: Endnotes
Endnotes for Page 2 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 earnings, net gains and losses on trading a
Slide 21: 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 superior to, financial measu
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