NYSE$NLY

Annaly Capital Management Inc · Q4 2020 earnings

Q4 2020 earnings · · Investor relations

Briefing

Announced financial results for the quarter and year ended December 31, 2020.

Annaly Capital Management reported strong results in the fourth quarter of 2020, with a GAAP net income of $0.60 per average common share and core earnings (excluding PAA) of $0.30 per average common share. The company's economic return for the quarter was 5.1%, and the book value per common share increased to $8.92. Annaly also declared a quarterly common stock cash dividend of $0.22 per share.

  • GAAP net income of $0.60 per average common share for the quarter.
  • Core earnings (excluding PAA) of $0.30 per average common share for the quarter.
  • Economic return of 5.1% for the fourth quarter.
  • Book value per common share of $8.92, up 2.5% from the prior quarter.

Headline financials

Total Revenue

$527M

Previous: $1.07B-50.9%
EPS (adj)

$1.20

Previous: $1.04+15.4%
Net Interest Margin

2.1%

Previous: 1.7%+28.1%
Yield on Assets

2.6%

Previous: 3.5%-26.1%
GAAP Cost of Liabilities

0.5%

Previous: 2.0%-74.6%
Net Interest Spread

2.1%

Previous: 1.5%+38.2%
Experienced CPR

24.7%

Previous: 17.8%+38.8%
Long-Term CPR

16.4%

Previous: 13.9%+18.0%
Economic Leverage Ratio

6.2

Previous: 7.2-13.9%
Net Income

$879M

Previous: $1.21B-27.4%
Operating Income

$865M

Previous: $1.21B-28.5%
Cash & Equivalents

$1.24B

Previous: $1.85B-32.8%
Total Assets

$88.5B

Previous: $130B-32.1%

Revenue & EPS history

Annaly · Revenue · Quarterly

$527M

Q4 2020-50.9%vs Q4 2019
Beat estimate in 4 of 16 quarters(25%)
ActualEstimate

Revenue by segment

Annaly · $76B total across 3 segments · Q3 2020

  • Agency MBS
    $74.9B
  • Non-Agency MBS
    $718M
  • CRT Securities
    $412M

Forward guidance

Annaly is well-positioned with low leverage and ample liquidity to capitalize on the improving outlook for residential mortgage finance. Agency MBS remains attractive given continued low funding costs, accommodative Federal Reserve policy, and a recent steepening of the yield curve. The Residential Credit Group continues to build momentum, and the company will continue to look to create value for its shareholders.

Tailwinds

  • Portfolio is well-positioned with low leverage and ample liquidity.
  • Agency MBS remains attractive given continued low funding costs.
  • Accommodative Federal Reserve policy.
  • Recent steepening of the yield curve.
  • Residential Credit Group continues to build momentum.

Historical earnings impact

How earnings announcements have historically affected this stock's price.

Avg. return before/after earnings

Based on 20 quarterly earnings reports · overlaid with Q4 2020

Historical avgQ4 2020

+0.1%

Avg return

Earnings day

-0.3%

Avg return

5 days after

+0.1%

Avg return

30 days after

45%

33 / 73 earnings

Positive

+5.9%

Q2 2022

Best reaction

-6.7%

Q4 2022

Worst reaction

Earnings price reactions
QuarterReport dateReaction (Day 0)+5 days+30 days
Q1 2026+1.6%-0.7%-3.1%
Q4 2025-1.1%-5.9%-4.2%
Q3 2025-1.9%-1.1%+3.2%
Q2 2025+0.0%+0.4%+5.6%
Q1 2025-0.9%-3.0%-3.3%
Q4 2024+3.6%+3.7%+11.1%
Q3 2024+0.3%-2.3%+0.9%
Q2 2024-3.3%-1.7%-1.5%
Q1 2024+0.3%+2.4%+4.5%
Q4 2023-0.5%+0.9%+3.9%
Q3 2023-3.8%-3.8%+12.0%
Q2 2023-2.5%-2.4%-4.2%
Q1 2023+4.0%+1.8%-2.8%
Q4 2022-6.7%-6.0%-21.1%
Q3 2022+2.4%+4.9%+22.5%
Q2 2022+5.9%+7.6%+2.3%
Q1 2022+4.6%+2.8%+4.9%
Q4 2021-0.9%-5.1%-6.5%
Q3 2021-1.4%-0.8%-3.9%
Q2 2021+1.8%-0.6%+3.2%
Q1 2021+1.0%+2.2%+4.0%
Q4 2020-1.2%-0.9%+2.1%
Q3 2020-0.1%+1.8%+14.8%
Q2 2020+2.5%+2.6%+2.2%
Q1 2020-0.2%-2.2%-1.6%
Q4 2019+3.4%+4.3%-30.9%
Q3 2019+0.4%+1.3%+4.4%
Q2 2019-2.9%-4.7%-14.2%
Q1 2019-3.3%-4.9%-12.7%
Q4 2018-1.8%-2.5%-1.2%
Q3 2018-0.6%-0.9%+1.3%
Q2 2018-1.2%-2.0%-0.9%
Q1 2018-1.3%+1.2%+1.0%
Q4 2017+1.8%+2.2%+1.6%
Q3 2017-1.5%-3.7%+3.0%
Q2 2017+0.6%+0.2%+3.1%
Q1 2017-1.9%-2.1%+2.9%
Q4 2016+3.3%+3.4%+5.2%
Q3 2016-0.2%+0.3%-2.7%
Q2 2016+0.8%+1.3%-0.4%
Q1 2016+3.1%
Q4 2015+1.2%
Q3 2015-3.5%
Q2 2015+1.3%
Q1 2015+0.2%
Q4 2014-0.7%
Q3 2014-0.6%
Q2 2014+1.7%
Q1 2014-1.0%
Q4 2013+3.5%
Q3 2013-4.0%
Q2 2013+4.5%
Q1 2013-2.8%
Q4 2012-0.9%
Q3 2012-3.8%
Q2 2012-1.2%
Q1 2012+1.3%
Q4 2011-0.5%
Q3 2011-0.7%
Q2 2011+1.9%
Q1 2011-0.5%
Q4 2010+1.2%
Q3 2010-0.7%
Q2 2010+2.1%
Q1 2009-2.5%
Q1 2010+1.4%
Q4 2007+2.5%
Q4 2009+2.5%
Q3 2008+1.3%
Q3 2009+1.3%
Q4 2008-0.8%
Q2 2008-0.8%
Q2 2009-0.8%

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