Annaly Capital Management, Inc. Reports 4th Quarter 2021 Results|||

NEW YORK–(BUSINESS WIRE)–Annaly Capital Management, Inc. (NYSE: NLY) (“Annaly” or the “Company”) today announced its financial results for the quarter and year ended December 31, 2021.

  • GAAP net income of $0.27 per average common share for the quarter; $one.lx per average common share for the full twelvemonth 2021
  • Earnings available for distribution (“EAD”) of $0.28 per average common share for the quarter; $i.xvi per average common share for the full year 2021 with dividend coverage of +125%
  • Economic return and tangible economic return of (2.4%) for the 4th quarter; economical return of (0.8%) and tangible economical return of 0.0% for the full year 2021
  • Annualized GAAP return on boilerplate equity of 12.4% and annualized EAD render on average equity of 13.1%
  • Book value per mutual share of $7.97
  • GAAP leverage of 4.7x, up from four.4x in the prior quarter; economic leverage of 5.7x, downwardly from 5.8x in the prior quarter
  • Declared quarterly common stock cash dividend of $0.22 per share

Fourth Quarter 2021 Highlights

  • Total avails of $89.2 billion, including $81.5 billion in highly liquid Bureau portfolio(1)
  • Capital allocation(2)
    to credit businesses increased past approximately 200 basis points to 32% during the quarter driven by $ii.ii billion of credit originations(3)
  • Annaly’due south Mortgage Servicing Rights (“MSR”) platform, which represents v% of uppercase(2), grew by 12% in the fourth quarter and successfully executed on its strategy to finish the yr equally the fifth largest buyer of bulk MSR(iv)
  • Annaly’s Residential Credit Group, which represents 24% of majuscule(2), settled $1.vii billion of whole loans during the quarter
  • Annaly’south Residential Credit Group priced iv whole loan securitizations totaling $one.8 billion during the quaternary quarter with an additional 3 securitizations totaling $one.4 billion priced 2022 year-to-date(five)
  • $nine.iii billion of unencumbered assets, including greenbacks and unencumbered Agency MBS of $5.2 billion
  • Appointed Ilker Ertas equally Chief Investment Officeholder

Full-Year 2021 Highlights

Investment and Strategy

  • Capital allocation(two)
    to credit businesses increased from 22% to 32% throughout the yr driven by credit originations of $half dozen.1 billion, more double the prior year(3)
  • Proactively managed Annaly’s Agency portfolio with continued utilization of barbell strategy balancing loftier-quality specified pools and lower coupon TBA securities
  • Efficiently congenital out MSR platform with assets increasing to $645 1000000, over 4.5x the size of the portfolio at yr-end 2020(iv)
  • Annaly’s Residential Credit Grouping grew avails by nearly 90% throughout 2021, expanding its whole loan sourcing capabilities through the launch of its residential whole loan correspondent channel in April 2021
  • Closed inaugural private airtight-cease Middle Market place Lending fund, raising $371 meg of 3rd-party upper-case letter that has been fully deployed at approximately $450 million in assets
  • Completed the $two.33 billion sale of Annaly’s Commercial Real Manor Business organisation(6)

Financing and Majuscule

  • Prudently managed leverage profile throughout the twelvemonth, decreasing economic leverage to 5.7x from half-dozen.2x at the end of 2020
  • Boilerplate GAAP toll of interest bearing liabilities of 0.37% and average economic cost of interest begetting liabilities of 0.79% decreased 72 footing points and 55 footing points, respectively, year-over-year
  • Annaly’southward Residential Credit Group was the fourth largest non-bank issuer of Prime number Jumbo & Expanded Credit MBS from 2020-2021 and has priced thirteen residential whole loan securitizations totaling $five.3 billion since the beginning of 2021, inclusive of 2022 year-to-date action(5)
  • Raised $552 million of accretive common disinterestedness through Annaly’s at-the-market sales program(7)
  • Declared $ane.4 billion in mutual and preferred stock dividends in 2021

Corporate Responsibleness & Governance

  • Decreased full-twelvemonth operating expense ratio by 20 basis points to ane.35% driven by savings post-obit the Company’s direction internalization and disposition of its Commercial Real Estate business(six)(8)
  • Published second Corporate Responsibleness Report demonstrating Annaly’south continued focus on ESG endeavors and highlighting key accomplishments including additional disclosures under the Sustainability Accounting Standards Board framework
  • Elected new Independent Managing director Eric A. Reeves

“We are proud of our accomplishments throughout 2021 as we strategically enhanced our focus on residential housing finance through the disposition of our Commercial Real Estate business, launch of our Mortgage Servicing Rights platform and expansion of our capabilities within our Residential Credit Group,” remarked David Finkelstein, Annaly’s Chief Executive Officer and President. “In the fourth quarter, we proactively navigated a more than challenging marketplace, increasing our upper-case letter allocation to our credit businesses with over $two billion in credit originations.”

“As financial market volatility has increased in anticipation of budgetary policy normalization, our portfolio is well prepared for periods of turbulence with historically depression leverage, a conservatively hedged portfolio and disciplined asset allocation beyond the spectrum of housing finance. Despite the volatility, we are encouraged by improving investment returns in Agency MBS and are poised to capitalize on attractive opportunities equally they ascend.”

(1)

Total portfolio represents Annaly’s investments that are on-balance sheet also as investments that are off-residue sheet in which Annaly has economic exposure. Avails include TBA buy contracts (marketplace value) of $20.iii billion, CMBX derivatives (market value) of $0.4 billion and $0.8 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $one.0 billion.

(2)

Dedicated uppercase allocations as of December 31, 2021 exclude commercial real estate assets.

(three)

Credit assets represent whole loan and corporate debt originated or purchased beyond Annaly’due south Residential Credit and Eye Market Lending Groups and exclude unfunded commitments.

(4)

Q3 2021 MSR avails exclude $86 million of legacy MSR holdings that were held for auction as of September xxx, 2021 and sold in Q4 2021. MSR assets include limited partnership interests in two MSR funds, one of which is reported in Other Avails. Purchaser ranking data sourced from eMBS as of December 31, 2021.

(5)

Includes 10 whole loan securitizations totaling $3.nine billion in 2021, a $557 1000000 residential whole loan securitization in Jan 2022, a $377 million residential whole loan securitization in January 2022 and a $467 1000000 residential whole loan securitization in February 2022. Issuer ranking data from Inside Conforming Markets equally of January ix, 2022.

(6)

The platform and the significant majority of the assets were transferred in 2021, with remaining assets expected to exist transferred in the first quarter of 2022, field of study to regulatory approvals.

(7)

Represents $552 million raised through the Company’s at-the-market sales program for its common stock net of sales agent commissions and other offer expenses. Does not include 2022 twelvemonth-to-date action.

(8)

Represents operating expenses as a percent of average equity and excludes transaction expenses and nonrecurring items for the year ended Dec 31, 2021.
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The following table summarizes certain fundamental functioning indicators as of and for the quarters concluded Dec 31, 2021, September 30, 2021 and December 31, 2020:

December 31, 2021

September thirty, 2021

December 31, 2020

Book value per common share

$

7.97

$

viii.39

$

8.92

GAAP leverage at period-terminate(ane)

four.vii:1

4.4:ane

5.ane:1

GAAP net income (loss) per boilerplate common share
(two)

$

0.27

$

0.34

$

0.60

Annualized GAAP return (loss) on boilerplate equity

12.44

%

15.25

%

24.91

%

Net interest margin
(three)

i.97

%

2.01

%

2.14

%

Average yield on interest earning assets
(4)

2.31

%

2.29

%

2.61

%

Boilerplate GAAP cost of interest bearing liabilities
(v)

0.38

%

0.32

%

0.51

%

Net interest spread

1.93

%

ane.97

%

2.10

%

Non-GAAP metrics *

Earnings available for distribution per average common share
(2)

$

0.28

$

0.28

$

0.30

Annualized EAD return on average equity

13.10

%

12.81

%

13.03

%

Economical leverage at catamenia-terminate(1)

five.vii:i

5.viii:ane

six.ii:ane

Cyberspace interest margin (excluding PAA)
(three)

two.03

%

two.04

%

1.98

%

Boilerplate yield on interest earning avails (excluding PAA)
(four)

2.63

%

2.63

%

2.80

%

Average economic cost of interest bearing liabilities
(5)

0.75

%

0.66

%

0.87

%

Net interest spread (excluding PAA)

1.88

%

ane.97

%

1.93

%

*  Represents a non-GAAP financial measure. Please refer to the “Not-GAAP Financial Measures” section for boosted information.

(1) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued past securitization vehicles, participations issued and mortgages payable divided past total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced (“TBA”) and CMBX derivatives outstanding, and net frontwards purchases (sales) of investments divided by total disinterestedness. Recourse debt consists of repurchase agreements and other secured financing (excluding certain not-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are not-recourse to the Visitor and are excluded from economic leverage.

(2)

Cyberspace of dividends on preferred stock.

(3)

Internet involvement margin represents interest income less involvement expense divided past boilerplate Interest Earning Assets. Cyberspace involvement margin (excluding PAA) represents the sum of involvement income (excluding PAA) plus TBA dollar coil income and CMBX coupon income less interest expense and the net interest component of interest charge per unit swaps divided by the sum of boilerplate Interest Earning Avails plus average outstanding TBA contract and CMBX balances. PAA represents the cumulative affect on prior periods, merely not the electric current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Visitor’s Bureau mortgage-backed securities.

(4)

Average yield on interest earning assets represents annualized interest income divided by boilerplate interest earning avails. Average interest earning assets reflects the average amortized cost of our investments during the catamenia. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).

(5)

Boilerplate GAAP cost of interest bearing liabilities represents annualized interest expense divided past average involvement begetting liabilities. Average interest bearing liabilities reflects the boilerplate balances during the period. Average economic cost of interest bearing liabilities represents annualized economical involvement expense divided by average involvement begetting liabilities. Economic involvement expense is comprised of GAAP interest expense and the net interest component of interest rate swaps.

Updates to Financial Disclosures

Commencing with the Company’s fiscal results for the quarter ended June 30, 2021 and for subsequent reporting periods, the Company has relabeled “Cadre Earnings (excluding PAA)” as “Earnings Available for Distribution” (“EAD”). Earnings Bachelor for Distribution, which is a not-GAAP financial measure intended to supplement the Company’south financial results computed in accord with U.S. mostly accustomed accounting principles (“GAAP”), has replaced the Visitor’s prior presentation of Cadre Earnings (excluding PAA). In add-on, Cadre Earnings (excluding PAA) results from prior reporting periods take been relabeled Earnings Available for Distribution. In line with evolving industry practices, the Visitor believes the term Earnings Available for Distribution more accurately reflects the chief purpose of the measure than the term Core Earnings (excluding PAA) and serves equally a useful indicator for investors in evaluating the Company’s performance and its ability to pay dividends.

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The definition of Earnings Available for Distribution is identical to the definition of Core Earning (excluding PAA) from prior reporting periods. As such, Earnings Available for Distribution is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income and CMBX coupon income, (c) realized amortization of MSR, (d) other income (loss) (excluding depreciation expense related to commercial real estate and amortization of intangibles, not-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) full general and administrative expenses (excluding transaction expenses and not-recurring items) and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (yard) the premium acquittal adjustment (“PAA”) representing the cumulative touch on on prior periods, but not the electric current menses, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’due south Agency mortgage-backed securities.

Earnings Available for Distribution should not be considered a substitute for, or superior to, GAAP net income. Please refer to the “Non-GAAP Financial Measures” section for a detailed discussion of Earnings Bachelor for Distribution.

In improver, commencement with the quarter ended June 30, 2021, the Visitor began classifying certain portfolio activity- or volume-related expenses (including just non limited to brokerage and commission fees, due diligence costs and securitization expenses) as Other income (loss) rather than Other full general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss) to better reflect the nature of the items. Every bit such, prior periods have been conformed to the current presentation.

This news release and our public documents to which we refer incorporate or contain past reference certain forward-looking statements which are based on various assumptions (some of which are beyond our command) and may be identified past reference to a future period or periods or by the utilize of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “keep,” or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forwards-looking statements due to a variety of factors, including, simply not limited to, risks and uncertainties related to the COVID-19 pandemic, including every bit related to adverse economical atmospheric condition on real estate-related assets and financing atmospheric condition; changes in interest rates; changes in the yield bend; changes in prepayment rates; the availability of mortgage-backed securities and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our avails; changes in business conditions and the full general economic system; operational risks or hazard management failures by us or critical third parties, including cybersecurity incidents; our power to abound our residential credit business organisation; our power to grow our middle market lending business concern; credit risks related to our investments in credit take a chance transfer securities, residential mortgage-backed securities and related residential mortgage credit avails and corporate debt; risks related to investments in mortgage servicing rights; our ability to complete whatever contemplated investment opportunities; changes in government regulations or policy affecting our business organization; our power to maintain our qualification equally a REIT for U.Southward. federal income tax purposes; and our power to maintain our exemption from registration under the Investment Company Act. For a give-and-take 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 virtually recent Annual Report on Form 10-G and whatsoever subsequent Quarterly Reports on Form x-Q. The Visitor does not undertake, and specifically disclaims whatsoever obligation, to publicly release the result of any revisions which may be made to whatever forwards-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.

Annaly is a leading diversified capital manager with investment strategies across mortgage finance and corporate center market lending. Annaly’south master business concern objective is to generate internet income for distribution to its stockholders and to optimize its returns through prudent direction of its diversified investment strategies. Annaly is internally managed and has elected to exist taxed equally a existent estate investment trust, or REIT, for federal income revenue enhancement purposes. Additional data on the company can be found at www.annaly.com.

Annaly routinely posts important information for investors on the Company’s website, www.annaly.com. Annaly intends to use this webpage as a means of disclosing material, non-public information, for complying with the Visitor’s disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular ground. Annaly encourages investors, analysts, the media and others interested in Annaly to monitor the Company’s website, in add-on to post-obit Annaly’southward press releases, SEC filings, public briefing calls, presentations, webcasts and other data it posts from time to time on its website. To sign-up for electronic mail-notifications, delight visit the “Investors” section of our website, www.annaly.com, and so click on “Investor Resources” and select “Email Alerts” to complete the e-mail notification course. The information contained on, or that may be accessed through, the Visitor’s webpage is not incorporated by reference into, and is non a part of, this document.

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The Company prepares a supplemental investor presentation and a financial summary for the do good of its shareholders. Both the Fourth Quarter 2021 Investor Presentation and the Fourth Quarter 2021 Financial Summary can exist found at the Company’southward website (www.annaly.com) in the Investors department under Investor Presentations.

The Company will agree the 4th quarter 2021 earnings conference call on February 10, 2022 at 10:00 a.thousand. Eastern Time. Participants are encouraged to pre-register for the briefing call to receive a unique Pivot to proceeds immediate access to the call and bypass the live operator. Pre-registration may exist completed by accessing the pre-registration link found on the homepage or “Investors” department of the Company’s website at world wide web.annaly.com, or by using the following link: https://dpregister.com/sreg/10163240/f0e0ffdd78. Pre-registration may be completed at any fourth dimension, including upwards to and after the call start fourth dimension.

For participants who would like to bring together the call but have not pre-registered, access is available by dialing 844-735-3317 within the U.Southward., or 412-317-5703 internationally, and requesting the “Annaly Earnings Phone call.”

There will also be an audio webcast of the telephone call on www.annaly.com. A replay of the call will be available for one week post-obit the briefing call. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the conference passcode is 5498603. If y’all would like to be added to the e-mail distribution listing, delight visit www.annaly.com, click on Investors, then select Email Alerts and complete the e-mail notification form.

ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except per share data)

December 31,

2021

September thirty,

2021

June 30,

2021

March 31,

2021

December 31,

2020
(1)

(unaudited)

(unaudited)

(unaudited)

(unaudited)

Assets

Cash and cash equivalents

$

i,342,090

$

1,046,300

$

i,380,456

$

1,122,793

$

1,243,703

Securities

63,655,674

65,622,352

69,032,335

71,849,437

75,652,396

Loans, cyberspace

4,242,043

iii,580,521

three,563,008

2,603,343

3,083,821

Mortgage servicing rights

544,562

572,259

202,616

113,080

100,895

Interests in MSR

69,316

57,530

49,035

Assets transferred or pledged to securitization vehicles

6,086,308

4,738,481

4,073,156

3,768,922

6,910,020

Real estate, cyberspace

656,314

Assets of disposal group held for sale

194,138

238,042

3,302,001

4,400,723

Derivative assets

170,370

331,395

181,889

891,474

171,134

Receivable for unsettled trades

2,656

42,482

14,336

144,918

15,912

Primary and interest receivable

234,983

234,810

250,210

259,655

268,073

Goodwill and intangible assets, net

24,241

25,371

26,502

37,337

127,341

Other assets

197,683

172,890

300,761

177,907

225,494

Total avails

$

76,764,064

$

76,662,433

$

82,376,305

$

85,369,589

$

88,455,103

Liabilities and stockholders’ equity

Liabilities

Repurchase agreements

$

54,769,643

$

55,475,420

$

threescore,221,067

$

61,202,477

$

64,825,239

Other secured financing

903,255

729,555

909,655

922,605

917,876

Debt issued by securitization vehicles

five,155,633

three,935,410

3,315,087

3,044,725

5,652,982

Participations issued

1,049,066

641,006

315,810

180,527

39,198

Mortgages payable

426,256

Liabilities of disposal group held for auction

154,956

159,508

2,362,690

three,319,414

Derivative liabilities

881,537

912,134

900,259

939,622

1,033,345

Payable for unsettled trades

147,908

571,540

154,405

1,070,080

884,069

Interest payable

91,176

109,586

173,721

100,949

191,116

Dividends payable

321,142

318,986

317,714

307,671

307,613

Other liabilities

94,423

91,421

66,721

213,924

155,613

Total liabilities

63,568,739

62,944,566

68,737,129

71,301,994

74,433,307

Stockholders’ equity

Preferred stock, par value $0.01 per share
(2)

1,536,569

1,536,569

1,536,569

i,536,569

1,536,569

Mutual stock, par value $0.01 per share
(iii)

14,597

14,499

14,442

13,985

13,982

Additional paid-in majuscule

twenty,313,832

20,228,366

20,178,692

19,754,826

nineteen,750,818

Accumulated other comprehensive income (loss)

958,410

i,638,638

1,780,275

2,002,231

three,374,335

Accumulated deficit

(ix,653,582

)

(ix,720,270

)

(9,892,863

)

(nine,251,804

)

(ten,667,388

)

Total stockholders’ equity

13,169,826

xiii,697,802

13,617,115

14,055,807

14,008,316

Noncontrolling interests

25,499

20,065

22,061

11,788

13,480

Total equity

13,195,325

xiii,717,867

xiii,639,176

14,067,595

14,021,796

Full liabilities and equity

$

76,764,064

$

76,662,433

$

82,376,305

$

85,369,589

$

88,455,103

(1)

Derived from the audited consolidated financial statements at December 31, 2020.

(2)

vii.50% Series D Cumulative Redeemable Preferred Stock – Includes 0 shares authorized, issued and outstanding at Dec 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021. Includes 18,400,000 shares authorized and 0 shares issued and outstanding at December 31, 2020. 6.95% Series F Stock-still-to-Floating Rate Cumulative Redeemable Preferred Stock – Includes 28,800,000 shares authorized, issued and outstanding. half dozen.fifty% Series K Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock – Includes 17,000,000 shares authorized, issued and outstanding at December 31, 2021, September thirty, 2021, June thirty, 2021 and March 31, 2021. Includes xix,550,000 shares authorized and 17,000,000 shares issued and outstanding at December 31, 2020. half dozen.75% Series I Preferred Stock – Includes 17,700,000 shares authorized, issued and outstanding at December 31, 2021, September xxx, 2021, June 30, 2021 and March 31, 2021. Includes 18,400,000 shares authorized and 17,700,000 issued and outstanding at December 31, 2020.

(three)

Includes 2,936,500,000 shares authorized at December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021; 2,914,850,000 shares authorized at Dec 31, 2020. Includes 1,459,736,258 shares issued and outstanding at December 31, 2021; 1,449,935,017 shares issued and outstanding at September thirty, 2021; 1,444,156,029 shares issued and outstanding at June xxx, 2021; 1,398,502,906 shares issued and outstanding at March 31, 2021; 1,398,240,618 shares issued and outstanding at December 31, 2020.

Contacts

Annaly Capital Management, Inc.

Investor Relations

ane-888-8Annaly

www.annaly.com

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