Investor Presentaiton
Endnotes (cont'd)
Page 15
1. Includes limited partnership interests in two MSR funds, one of which is reported in Other Assets, and
unsettled commitments of $190mm. 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.
2. Q3 2021 MSR assets exclude $86mm of legacy MSR holdings that were held for sale as of September
30, 2021 and sold in Q4 2021.
Page 16
1. Based on data from Wall Street Research as of July 8, 2022.
2. Existing home sales data based on transaction closings from the National Association of Realtors'
Multiple Listing Services. New home sales data based on data from the Census Bureau and the
Department of Housing and Urban Development.
Page 17
1. Excludes participations issued totaling $0.7bn.
2. Whole loans settled include loans from a joint venture with a sovereign wealth fund.
3. Issuer ranking data from Inside Nonconforming Markets as of June 30, 2022.
4. Reflects cost of funds only for outstanding debt held by third parties.
5. Shown exclusive of securitized residential mortgage loans of consolidated variable interest entities.
6. Prime includes $7.0mm of Prime IO, OBX Retained contains $140.4mm of Prime 10 and Prime Jumbo 10
and Prime Jumbo includes $14.9mm of Prime Jumbo 10.
Page 19
1. Net of dividends on preferred stock.
2. Net interest margin represents interest income less interest expense divided by average interest earning
assets. Net interest margin (excluding PAA) represents the sum of the Company's interest income
(excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net
interest component of interest rate swaps divided by the sum of average interest earning assets plus
average TBA contract and CMBX balances.
3. Average yield on interest earning assets represents annualized interest income divided by average
interest earning assets. Average interest earning assets reflects the average amortized cost of our
investments during the period. Average yield on interest earning assets (excluding PAA) is calculated
using annualized interest income (excluding PAA).
4. Average GAAP cost of interest-bearing liabilities represents annualized interest expense divided by
average interest-bearing liabilities. Average interest-bearing liabilities reflects the average balances during
the period. Average economic cost of interest-bearing liabilities represents annualized economic interest
expense divided by average interest-bearing liabilities. Economic interest expense is comprised of GAAP
interest expense and the net interest component of interest rate swaps.
5. GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued
by securitization vehicles, participations issued and mortgages payable divided by 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 forward purchases (sales) of investments divided by total equity.
Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-
recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by
securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company
and are excluded from economic leverage.
Page 20
1. Includes assets related to the sale of the Company's Middle Market Lending portfolio at June 30, 2022
and assets related to the sale of the Company's Commercial Real Estate business at December 31, 2021,
September 30, 2021 and June 30, 2021, respectively.
Non-GAAP Reconciliations
Page 23
1. The adjustment to add back Net (gains) losses on derivatives does not include the net interest
component of interest rate swaps which is reflected in earnings available for distribution. The net interest
component of interest rate swaps totaled $1.0mm, ($62.5mm), ($58.9mm), ($54.4mm) and ($83.1mm)
for the quarters ended June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June
30, 2021, respectively.
2. Includes a loan loss (reversal)/provision of ($2.5mm), $0.2mm, $1.7mm, ($0.6mm) and $0.6mm on the
Company's unfunded loan commitments for the quarters ended June 30, 2022, March 31, 2022,
December 31, 2021, September 30, 2021 and June 30, 2021, respectively, which is reported in Other
income (loss) in the Company's Consolidated Statement of Comprehensive Income (Loss). Amount
includes depreciation and amortization expense related to equity method investments.
3. Amount includes depreciation and amortization expense related to equity method investments.
4. The Company excludes non-EAD (income) loss allocated to equity method investments, which
represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a
component of Other income (loss).
5. All quarters presented include costs incurred in connection with securitizations of residential whole
loans.
6. TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on
other derivatives. CMBX coupon income totaled $1.1mm, $1.1mm, $1.1mm, $1.2mm and $1.4mm for
the quarters ended June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30,
2021, respectively.
7. MSR amortization represents the portion of changes in fair value that is attributable to the realization of
estimated cash flows on the Company's MSR portfolio and is reported as a component of Net unrealized
gains (losses) on instruments measured at fair value.
8. Net of dividends on preferred stock.
Page 24
1. Average yield on interest earning assets (excluding PAA) represents annualized interest income
(excluding PAA) divided by average interest earning assets. Average interest earning assets reflects the
average amortized cost of our investments during the period.
2. Average economic cost of interest-bearing liabilities represents annualized economic interest expense
divided by average interest-bearing liabilities. Average interest-bearing liabilities reflects the average
balances during the period. Economic interest expense is comprised of GAAP interest expense and the
net interest component of interest rate swaps.
3. TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on
other derivatives. CMBX coupon income totaled $1.1.mm, $1.1mm, $1.1mm, $1.2mm and $1.4mm for
the quarters ended June 30, 2022, March 31, 2022, December 31, 2021, September 30, 2021 and June 30,
2021, respectively.
Page 25
1. Included in Other secured financing in the Company's Consolidated Statements of Financial Condition.
ANNALY
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