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Annaly Capital Management : Residential Credit Presentation – October 2023 -October 10, 2023 at 04:35 pm EDT – Cryptoxyon

Annaly Capital Management : Residential Credit Presentation – October 2023 -October 10, 2023 at 04:35 pm EDT


Delayed


Nyse



04:00:01 2023-10-10 pm EDT

Intraday chart for Annaly Capital Management, Inc. 5-day change 1st Jan Change

17.98 USD

-0.50%

+0.62%

-14.71%

October 10, 2023 at 04:35 pm EDT

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. This presentation is provided for investors in Annaly for informational purposes only and is not an offer to sell, or a solicitation of an offer to buy, any security or instrument.

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 period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company’s future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities (“MBS”) and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company’s assets; changes in business conditions and the general economy; the Company’s ability to grow its residential credit business; the Company’s ability to grow its mortgage servicing rights business; credit risks related to the Company’s investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the Company’s ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company’s business; the Company’s ability to maintain its qualification as a REIT for U.S. federal income tax purposes; the Company’s ability to maintain its exemption from registration under the Investment Company Act of 1940; operational risks or risk management failures by us or critical third parties, including cybersecurity incidents; and risks and uncertainties related to the COVID-19 pandemic, including as related to adverse economic conditions on real estate-related assets and financing conditions. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

We use our website (www.annaly.com) and LinkedIn account (www.linkedin.com/company/annaly-capital-management) as channels of distribution of company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Annaly when you enroll your email address by visiting the “Investors” section of our website, then clicking on “Investor Resources” and selecting “Email Alerts” to complete the email notification form. Our website, any alerts and social media channels are not incorporated into this document.

Past performance is no guarantee of future results. There is no guarantee that any investment strategy referenced herein will work under all market conditions. Prior to making any investment decision, you should evaluate your ability to invest for the long-term, especially during periods of downturns in the market. You alone assume the responsibility of evaluating the merits and risks associated with any potential investment or investment strategy referenced herein. To the extent that this material contains reference to any past specific investment recommendations or strategies which were or would have been profitable to any person, it should not be assumed that recommendations made in the future will be profitable or will equal the performance of such past investment recommendations or strategies. The information contained herein is not intended to provide, and should not be relied upon for accounting, legal or tax advice or investment recommendations for Annaly or any of its affiliates.

Regardless of source, information is believed to be reliable for purposes used herein, but Annaly makes no representation or warranty as to the accuracy or completeness thereof and does not take any responsibility for information obtained from sources outside of Annaly. Certain information contained in the presentation discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice.

Invests in Agency MBS collateralized by

residential mortgages, which are

guaranteed by Fannie Mae, Freddie Mac

or Ginnie Mae, and complementary investments within the Agency market

Assets(1)Capital(2)

Invests in Mortgage Servicing Rights,

which provide the right to service

residential loans in exchange for a portion

of the interest payments made on the

loans

Assets(1)Capital(2)

Invests in Non-Agency residential

mortgage assets within the securitized

product and whole loan markets

Assets(1)Capital(2)

Source: Company filings. Financial data as of June 30, 2023.

  1. Total portfolio represents Annaly’s investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Total assets include commercial real estate related assets, which are excluded from capital allocation calculations. Agency assets include TBA purchase contracts (market value) of $3.6bn. MSR assets include unsettled MSR commitments of $126mm. MSR commitments represent the market value of deals where Annaly has executed a letter of intent. There can be no assurance whether these deals will close or when they will close. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $11.3bn, include $1.2bn of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.5bn.
  2. Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy’s allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of June 30, 2023 exclude commercial real estate assets.
  • Annaly’s Agency portfolio is made up of high quality and liquid securities, predominately specified pools, TBAs and derivatives
  • Portfolio benefits from in-house proprietary analytics that identify emerging prepayment trends and a focus on durable cash flows
  • Diverse set of investment options within Agency market, including Agency CMBS, which provides complementary duration and return profiles to Agency MBS
  • Access to deep and varied financing sources, including traditional bilateral repo and proprietary broker-dealer repo
  • During the second quarter, Agency MBS spreads were volatile given FDIC sales of regional bank holdings, debt ceiling negotiations and uncertainty around central bank rate hikes
    • Given these headwinds, spreads widened notably in April and May, though tightened sharply in June following the debt ceiling resolution and June FOMC pause in hiking cycle
  • Money managers continue to be the primary source of demand considering the absence of buying from banks and the Federal Reserve
  • Lower coupons modestly outperformed production coupons during the second quarter given positive supply/demand dynamics

NLY Specified Pools and TBA Holdings, %

100%

75%

50%

25%

0%

2020

2021

2022

2023

Pools

TBA

Agency Hedging Composition, %

100%

75%

50%

25%

0%

2020

2021

2022

2023

Swaps

Swaptions

Futures

Agency Funding Composition, %

100%

75%

50%

25%

0%

2020

2021

2022

2023

Within 30

30-120 days

Over 120

Source: Company filings. Financial data as of June 30, 2023.

Note: Portfolio data as of quarter end for each respective period.

  1. Represents Agency’s hedging profile and does not reflect Annaly’s full hedging activity.
  2. Represents Agency’s funding profile and does not reflect Annaly’s full funding activity.

Disclaimer

Annaly Capital Management Inc. published this content on 10 October 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 10 October 2023 20:34:25 UTC.

U.S. Currency


FA
North American Morning Briefing : Stock Futures -2-


DJ
UBS Upgrades Annaly Capital Management to Buy From Neutral, Raises Price Target to $24 From $21


MT
Annaly Capital Management Keeps Q3 Cash Dividend at $0.65/Share, Payable Oct. 31 to Shareholders of Record Sept. 29


MT
Annaly Capital Management, Inc. Announces Third Quarter 2023 Common Stock Dividend, Payable October 31, 2023


CI
Annaly Capital Management, Inc. Appoints Manon Laroche and Scott Wede as Independent Members of the Board


CI
Tranche Update on Annaly Capital Management, Inc.’s Equity Buyback Plan announced on January 3, 2022.


CI
Transcript : Annaly Capital Management, Inc., Q2 2023 Earnings Call, Jul 27, 2023


CI
Annaly Capital Management Q2 EPS Slumps


MT
Annaly Capital Management, Inc. Reports Earnings Results for the Second Quarter and Six Months Ended June 30, 2023


CI
U.S. Currency


FA
Annaly Capital Management Keeps Q2 Cash Dividend at $0.65/Share, Payable July 31 Shareholders of Record June 30


MT
Annaly Capital Management, Inc. Declares Common Stock Cash Dividend for the Second Quarter of 2023, Payable on July 31, 2023


CI
Declaration of Voting Results by Annaly Capital Management Inc


CI
Annaly Capital Management, Inc Solicits Proxies from Shareholders


CI
Tranche Update on Annaly Capital Management, Inc.’s Equity Buyback Plan announced on January 3, 2022.


CI
North American Morning Briefing : Traders Await -2-


DJ
RBC Cuts Price Target on Annaly Capital Management to $22 From $24, Maintains Outperform Rating


MT
Piper Sandler Upgrades Annaly Capital Management to Overweight From Neutral, Adjusts Price Target to $21.50 From $20


MT
UBS Adjusts Annaly Capital Management Price Target to $21 From $22, Maintains Neutral Rating


MT
Keefe, Bruyette & Woods Adjusts Price Target on Annaly Capital Management to $23.50 From $22.50, Maintains Outperform Rating


MT
Wells Fargo Adjusts Price Target on Annaly Capital Management to $21 From $23, Maintains Equalweight Rating


MT
Transcript : Annaly Capital Management, Inc., Q1 2023 Earnings Call, Apr 27, 2023


CI
Annaly Capital Management’s Q1 Adjusted Earnings Decline


MT
Earnings Flash (NLY) ANNALY CAPITAL MANAGEMENT Reports Q1 EPS $0.81, vs. Street Est of $0.75


MT

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Annaly Capital Management, Inc. is a diversified capital manager with investment strategies across mortgage finance. The Company owns a portfolio of real estate-related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer (CRT) securities, and other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans and mortgage servicing rights (MSR). Its investment groups include Annaly Agency Group, Annaly Residential Credit Group and Annaly Mortgage Servicing Rights Group. Annaly Agency Group invests in agency mortgage-backed securities (mbs) collateralized by residential mortgages. Annaly Residential Credit Group invests in non-agency residential mortgage assets within residential and commercial markets. Annaly Mortgage Servicing Rights Group invests in MSR, which provides the right to service residential mortgage loans in exchange for a portion of the interest payments.

More about the company

Sell

Consensus

Buy

Average target price

22.14USD

Spread / Average Target

+23.15%

Consensus

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