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Investor Presentaiton

Second Quarter 2022 Financial Highlights Dividend per Share Net Interest Margin (ex. PAA)* 2.20% Earnings & Book Value Earnings per Share GAAP Earnings Available for Distribution* $0.55 $0.30 Book Value per Share $5.90 $0.22 Dividend Yield(1) 14.9% Investment Portfolio Total Portfolio (2) $82.3bn Capital Allocation (3) ARC 14% MSR 15% Total Stockholders' Equity Agency 71% $11.0bn 2.04% Q1 2022 Q2 2022 Average Yield on Interest Earning Assets (ex. PAA)* 2.87% 2.62% Q1 2022 Q2 2022 Financing, Liquidity & Hedging Liquidity Position $4.5bn of cash and unencumbered Agency MBS $6.3bn of total unencumbered assets Total Hedge Portfolio (4) Economic Leverage*(5) Hedge Ratio(6) $75bn Hedge portfolio, decreased from $78bn in Q1'22 as we remain conservatively hedged amid elevated interest rate volatility Average Economic Cost of Funds*(7) 6.6x 109% 107% 6.4x 1.11% 0.89% Q1 2022 Q2 2022 Q1 2022 Q2 2022 Q1 2022 Q2 2022 ANNALY 4 Source: Company filings. Financial data as of June 30, 2022, unless otherwise noted. * Represents a non-GAAP financial measure; see Appendix. Detailed endnotes and a glossary of defined terms are included at the end of this presentation.
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