Maryland
|
1-13447
|
22-3479661
|
||
State or Other Jurisdiction
Of Incorporation)
|
(Commission
File Number)
|
(I.R.S. Employer
Identification No.)
|
1211 Avenue of the Americas
New York, New York
|
10036
|
|
(Address of Principal
Executive Offices)
|
(Zip Code)
|
ANNALY CAPITAL MANAGEMENT, INC.
|
||
By: | /s/ Glenn A. Votek | |
Name: Glenn A. Votek | ||
Title: Chief Financial Officer |
● |
GAAP net loss of ($627.5) million, ($0.68) loss per average common share
|
|
● |
Core earnings of $217.6 million, $0.21 earnings per average common share
|
|
● |
Normalized core earnings of $0.30 per average common share, excludes $0.09 of premium amortization adjustment cost due to change in long-term CPR estimate
|
|
● |
Common stock book value of $11.99, economic leverage of 5.8:1
|
|
● |
26% increase in credit investment portfolio, represents 18% of total stockholders’ equity
|
|
● |
Enhanced disclosure of financial results and portfolio details
|
September 30, 2015
|
June 30, 2015
|
September 30, 2014
|
||||||||||
(dollars in thousands)
|
||||||||||||
Premium amortization expense
|
$ | 255,123 | $ | 94,037 | $ | 197,709 | ||||||
Less: PAA cost (benefit)
|
83,136 | (79,582 | ) | 25,992 | ||||||||
Premium amortization expense exclusive of PAA
|
$ | 171,987 | $ | 173,619 | $ | 171,717 | ||||||
September 30, 2015
|
June 30, 2015
|
September 30, 2014
|
||||||||||
(per common share)
|
||||||||||||
Premium amortization expense
|
$ | 0.27 | $ | 0.10 | $ | 0.21 | ||||||
Less: PAA cost (benefit)
|
0.09 | (0.08 | ) | 0.02 | ||||||||
Premium amortization expense exclusive of PAA
|
$ | 0.18 | $ | 0.18 | $ | 0.19 |
Sector Type
|
||||
STACR
|
20 | % | ||
CAS
|
18 | % | ||
NPL
|
17 | % | ||
Jumbo 2.0
|
14 | % | ||
Prime
|
10 | % | ||
Subprime
|
7 | % | ||
Alt-A
|
6 | % | ||
RPL
|
5 | % | ||
L-Street CRT
|
2 | % | ||
Jumbo 2.0 IO
|
1 | % | ||
Total
|
100 | % |
Coupon Type
|
||||
Fixed
|
48 | % | ||
Floating
|
48 | % | ||
ARM
|
3 | % | ||
IO
|
1 | % | ||
Total
|
100 | % |
Sector Type
|
||||
Multifamily
|
54 | % | ||
Office
|
17 | % | ||
Retail
|
12 | % | ||
Hotel
|
7 | % | ||
Industrial
|
4 | % | ||
Other
|
6 | % | ||
Total
|
100 | % |
Geographic Concentration
|
||||
NY
|
40 | % | ||
CA
|
13 | % | ||
TX
|
6 | % | ||
FL
|
5 | % | ||
Other
|
36 | % | ||
Total
|
100 | % |
September 30, 2015
|
June 30, 2015
|
September 30, 2014
|
|
Book value per common share
|
$11.99
|
$12.32
|
$12.87
|
Economic leverage at period-end (1)
|
5.8:1
|
5.6:1
|
5.4:1
|
GAAP net income (loss) per common share
|
($0.68)
|
$0.93
|
$0.36
|
Core earnings per common share
|
$0.21
|
$0.41
|
$0.31
|
Normalized core earnings per common share (2)
|
$0.30
|
$0.33
|
$0.33
|
Annualized return (loss) on average equity
|
(20.18%)
|
28.00%
|
10.69%
|
Annualized core return on average equity
|
7.00%
|
12.79%
|
9.30%
|
Annualized normalized core return on average equity (2)
|
9.67%
|
10.31%
|
10.08%
|
Net interest margin (3)
|
1.24%
|
2.01%
|
1.61%
|
Normalized net interest margin (2)
|
1.62%
|
1.67%
|
1.74%
|
Net interest spread
|
0.76%
|
1.64%
|
1.35%
|
Normalized net interest spread (2)
|
1.21%
|
1.23%
|
1.47%
|
Average yield on interest earning assets
|
2.41%
|
3.23%
|
2.99%
|
Normalized average yield on interest earning assets (2)
|
2.86%
|
2.82%
|
3.11%
|
(1) | Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of Investment Securities divided by total equity. Recourse debt consists of repurchase agreements, other secured financing and Convertible Senior Notes. Securitized debt, participation sold and mortgages payable are non-recourse to the Company and are excluded from this measure. |
(2) | Excludes effect of the PAA due to changes in long-term CPR estimates. |
(3) | Represents the sum of the Company’s annualized economic net interest income (inclusive of interest expense on interest rate swaps used to hedge cost of funds) plus TBA dollar roll income (less interest expense on swaps used to hedge dollar roll transactions) divided by the sum of its average interest-earning assets plus average outstanding TBA derivative balances. Average interest earning assets reflects the average amortized cost of our investments during the period. |
For the quarters ended
|
||||||||||||
September 30, 2015
|
June 30, 2015
|
September 30, 2014
|
||||||||||
(dollars in thousands)
|
||||||||||||
GAAP net income (loss)
|
$ | (627,491 | ) | $ | 900,071 | $ | 354,856 | |||||
Less:
|
||||||||||||
Unrealized (gains) losses on interest rate swaps
|
822,585 | (700,792 | ) | (98,593 | ) | |||||||
Net (gains) losses on disposal of investments
|
7,943 | (3,833 | ) | (4,693 | ) | |||||||
Net (gains) losses on trading assets
|
(108,175 | ) | 114,230 | (4,676 | ) | |||||||
Net unrealized (gains) losses on financial instruments measured at fair value through earnings
|
24,501 | (17,581 | ) | 37,944 | ||||||||
Other non-recurring loss (1)
|
- | - | 23,783 | |||||||||
Impairment of goodwill
|
- | 22,966 | - | |||||||||
GAAP net (income) loss attributable to noncontrolling interest
|
197 | 149 | - | |||||||||
Plus:
|
||||||||||||
TBA dollar roll income (2)
|
98,041 | 95,845 | - | |||||||||
Core earnings
|
217,601 | 411,055 | 308,621 | |||||||||
Premium amortization adjustment cost (benefit)
|
83,136 | (79,582 | ) | 25,992 | ||||||||
Normalized core earnings
|
$ | 300,737 | $ | 331,473 | $ | 334,613 | ||||||
GAAP net income (loss) per average common share
|
$ | (0.68 | ) | $ | 0.93 | $ | 0.36 | |||||
Core earnings per average common share
|
$ | 0.21 | $ | 0.41 | $ | 0.31 | ||||||
Normalized core earnings per average common share
|
$ | 0.30 | $ | 0.33 | $ | 0.33 |
(1) | Represents a one-time payment made by FIDAC to Chimera Investment Corp. (Chimera) to resolve issues raised in derivative demand letters sent to Chimera’s board of directors. This amount is a component of Other income (loss) in the Company’s Consolidated Statements of Comprehensive Income (Loss). |
(2) | Represents a component of Net gains (losses) on trading assets. |
Purchase and sale contracts for derivative TBAs
|
Notional
|
Implied Cost Basis
|
Implied Market Value
|
Net Carrying Value
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Purchase contracts
|
$ | 14,055,000 | $ | 14,490,220 | $ | 14,577,736 | $ | 87,516 | ||||||||
Sale contracts
|
- | - | - | - | ||||||||||||
Net TBA derivatives
|
$ | 14,055,000 | $ | 14,490,220 | $ | 14,577,736 | $ | 87,516 |
Maturity
|
Principal Balance
|
Weighted Average Rate
|
||||||
(dollars in thousands)
|
||||||||
Within 30 days
|
$ | 19,880,862 | 0.50 | % | ||||
30 to 59 days
|
4,846,173 | 0.52 | % | |||||
60 to 89 days
|
8,840,129 | 0.57 | % | |||||
90 to 119 days
|
3,957,380 | 0.52 | % | |||||
Over 120 days(1)
|
18,924,820 | 1.29 | % | |||||
Total
|
$ | 56,449,364 | 0.78 | % |
(1) | Approximately 14% of the total repurchase agreements have a remaining maturity over 1 year. |
Maturity
|
Current Notional (1)
|
Weighted
Average Pay
Rate (2) (3)
|
Weighted
Average Receive
Rate (2)
|
Weighted
Average Years
to Maturity (2)
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
0 - 3 years
|
$ | 3,202,454 | 1.85 | % | 0.22 | % | 2.04 | |||||||||
3 - 6 years
|
11,113,000 | 1.81 | % | 0.46 | % | 4.49 | ||||||||||
6 - 10 years
|
11,743,300 | 2.45 | % | 0.47 | % | 8.20 | ||||||||||
Greater than 10 years
|
3,634,400 | 3.70 | % | 0.26 | % | 19.62 | ||||||||||
Total / Weighted Average
|
$ | 29,693,154 | 2.26 | % | 0.42 | % | 7.28 |
(1) | Notional amount includes $0.5 billion in forward starting pay fixed swaps, which settle in December 2015. |
(2) | Excludes forward starting swaps. |
(3) | Weighted average fixed rate on forward starting pay fixed swaps was 2.04 %. |
Notional - Long
Positions
|
Notional - Short
Positions
|
Weighted Average
Years to Maturity
|
||||||||||
(dollars in thousands)
|
||||||||||||
2-year swap equivalent Eurodollar contracts
|
$ | - | $ | (8,000,000 | ) | 2.00 | ||||||
U.S. Treasury futures - 5 year
|
- | (2,273,000 | ) | 4.41 | ||||||||
U.S. Treasury futures - 10 year and greater
|
- | (655,600 | ) | 6.92 | ||||||||
Total
|
$ | - | $ | (10,928,600 | ) | 2.80 |
September 30, 2015
|
June 30, 2015
|
September 30, 2014
|
|
Portfolio Related Metrics:
|
|||
Fixed-rate Investment Securities as a percentage of total Investment Securities
|
93%
|
94%
|
95%
|
Adjustable-rate and floating-rate Investment Securities as a percentage of total Investment Securities
|
7%
|
6%
|
5%
|
Weighted average experienced CPR, for the period
|
12%
|
12%
|
9%
|
Weighted average projected long-term CPR, as of period end
|
9.2%
|
7.7%
|
6.9%
|
Weighted average yield on commercial real estate debt and preferred equity at period-end (1)
|
6.82%
|
8.29%
|
9.23%
|
Weighted average levered return on investments in commercial real estate at period-end (2)
|
11.59%
|
12.53%
|
11.46%
|
Liabilities and Hedging Metrics:
|
|||
Weighted average days to maturity on repurchase agreements outstanding at period-end
|
147
|
149
|
159
|
Hedge ratio (3)
|
58%
|
54%
|
50%
|
Weighted average pay rate on interest rate swaps at period-end (4)
|
2.26%
|
2.29%
|
2.48%
|
Weighted average receive rate on interest rate swaps at period-end (4)
|
0.42%
|
0.40%
|
0.21%
|
Weighted average net rate on interest rate swaps at period-end (4)
|
1.84%
|
1.89%
|
2.27%
|
Leverage at period-end (5)
|
4.8:1
|
4.8:1
|
5.4:1
|
Economic leverage at period-end (6)
|
5.8:1
|
5.6:1
|
5.4:1
|
Capital ratio at period-end
|
13.7%
|
14.2%
|
15.0%
|
Performance Related Metrics:
|
|||
Book value per common share
|
$11.99
|
$12.32
|
$12.87
|
GAAP net income (loss) per common share
|
($0.68)
|
$0.93
|
$0.36
|
Core earnings per common share
|
$0.21
|
$0.41
|
$0.31
|
Normalized core earnings per common share
|
$0.30
|
$0.33
|
$0.33
|
Annualized return (loss) on average equity
|
(20.18%)
|
28.00%
|
10.69%
|
Annualized core return on average equity
|
7.00%
|
12.79%
|
9.30%
|
Annualized normalized core return on average equity
|
9.67%
|
10.31%
|
10.08%
|
Net interest margin
|
1.24%
|
2.01%
|
1.61%
|
Normalized net interest margin
|
1.62%
|
1.67%
|
1.74%
|
Average yield on interest earning assets (7)
|
2.41%
|
3.23%
|
2.99%
|
Normalized average yield on interest earning assets (7)
|
2.86%
|
2.82%
|
3.11%
|
Average cost of interest bearing liabilities (8)
|
1.65%
|
1.59%
|
1.64%
|
Net interest spread
|
0.76%
|
1.64%
|
1.35%
|
Normalized net interest spread
|
1.21%
|
1.23%
|
1.47%
|
(1) |
Includes loans held for sale. Excluding loans held for sale, the weighted average yield on commercial real estate debt and preferred equity was 7.63% at September 30, 2015.
|
|
(2) | Excludes real estate held-for-sale. | |
(3) | Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements and TBA notional outstanding. | |
(4) | Excludes forward starting swaps. | |
(5) | Debt consists of repurchase agreements, other secured financing, Convertible Senior Notes, securitized debt, participation sold and mortgages payable. Securitized debt, participation sold and mortgages payable are non-recourse to the Company. | |
(6) | Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of Investment Securities divided by total equity. | |
(7) | Average interest earning assets reflects the average amortized cost of our investments during the period. | |
(8) | Includes interest expense on interest rate swaps used to hedge cost of funds. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||||||||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
September 30,
|
June 30,
|
March 31,
|
December 31,
|
September 30,
|
||||||||||||||||
2015
|
2015
|
2015
|
2014(1)
|
2014
|
||||||||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
|||||||||||||||||
ASSETS
|
||||||||||||||||||||
Cash and cash equivalents
|
$ | 2,237,423 | $ | 1,785,158 | $ | 1,920,326 | $ | 1,741,244 | $ | 1,178,621 | ||||||||||
Reverse repurchase agreements
|
- | - | 100,000 | 100,000 | - | |||||||||||||||
Investments, at fair value:
|
||||||||||||||||||||
Agency mortgage-backed securities
|
65,806,640 | 67,605,287 | 69,388,001 | 81,565,256 | 81,462,387 | |||||||||||||||
Agency debentures
|
413,115 | 429,845 | 995,408 | 1,368,350 | 1,334,181 | |||||||||||||||
Credit risk transfer securities
|
330,727 | 214,130 | 108,337 | - | - | |||||||||||||||
Non-Agency mortgage-backed securities
|
490,037 | - | - | - | - | |||||||||||||||
Commercial real estate debt investments (2)
|
2,881,659 | 2,812,824 | 1,515,903 | - | - | |||||||||||||||
Investment in affiliate
|
- | 123,343 | 141,246 | 143,045 | 136,748 | |||||||||||||||
Commercial real estate debt and preferred equity, held for investment (3)
|
1,316,595 | 1,332,955 | 1,498,406 | 1,518,165 | 1,554,958 | |||||||||||||||
Loans held for sale
|
476,550 | - | - | - | - | |||||||||||||||
Investments in commercial real estate
|
301,447 | 216,800 | 207,209 | 210,032 | 73,827 | |||||||||||||||
Corporate debt
|
424,974 | 311,640 | 227,830 | 166,464 | 144,451 | |||||||||||||||
Receivable for investments sold
|
127,571 | 247,361 | 2,009,937 | 1,010,094 | 855,161 | |||||||||||||||
Accrued interest and dividends receivable
|
228,169 | 234,006 | 247,801 | 278,489 | 287,231 | |||||||||||||||
Receivable for investment advisory income
|
3,992 | 10,589 | 10,268 | 10,402 | 8,369 | |||||||||||||||
Goodwill
|
71,815 | 71,815 | 94,781 | 94,781 | 94,781 | |||||||||||||||
Interest rate swaps, at fair value
|
39,295 | 30,259 | 25,908 | 75,225 | 198,066 | |||||||||||||||
Other derivatives, at fair value
|
87,516 | 38,074 | 113,503 | 5,499 | 19,407 | |||||||||||||||
Other assets
|
101,162 | 81,594 | 70,813 | 68,321 | 39,798 | |||||||||||||||
Total assets
|
$ | 75,338,687 | $ | 75,545,680 | $ | 78,675,677 | $ | 88,355,367 | $ | 87,387,986 | ||||||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||||||||||||||
Liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
$ | 56,449,364 | $ | 57,459,552 | $ | 60,477,378 | $ | 71,361,926 | $ | 69,610,722 | ||||||||||
Other secured financing
|
359,970 | 203,200 | 90,000 | - | - | |||||||||||||||
Securities loaned
|
- | - | - | - | 7 | |||||||||||||||
Convertible Senior Notes
|
- | - | 749,512 | 845,295 | 836,625 | |||||||||||||||
Securitized debt of consolidated VIEs (4)
|
2,553,398 | 2,610,974 | 1,491,829 | 260,700 | 260,700 | |||||||||||||||
Mortgages payable
|
166,697 | 146,359 | 146,470 | 146,553 | 42,635 | |||||||||||||||
Participation sold
|
13,389 | 13,490 | 13,589 | 13,693 | 13,768 | |||||||||||||||
Payable for investments purchased
|
744,378 | 673,933 | 5,205 | 264,984 | 2,153,789 | |||||||||||||||
Accrued interest payable
|
145,554 | 131,629 | 155,072 | 180,501 | 180,345 | |||||||||||||||
Dividends payable
|
284,348 | 284,331 | 284,310 | 284,293 | 284,278 | |||||||||||||||
Interest rate swaps, at fair value
|
2,160,350 | 1,328,729 | 2,025,170 | 1,608,286 | 857,658 | |||||||||||||||
Other derivatives, at fair value
|
113,626 | 40,539 | 61,778 | 8,027 | - | |||||||||||||||
Accounts payable and other liabilities
|
63,280 | 58,139 | 50,774 | 47,328 | 36,511 | |||||||||||||||
Total liabilities
|
63,054,354 | 62,950,875 | 65,551,087 | 75,021,586 | 74,277,038 | |||||||||||||||
Stockholders’ Equity:
|
||||||||||||||||||||
7.875% Series A Cumulative Redeemable Preferred Stock:
7,412,500 authorized, issued and outstanding
|
177,088 | 177,088 | 177,088 | 177,088 | 177,088 | |||||||||||||||
7.625% Series C Cumulative Redeemable Preferred Stock
12,650,000 authorized, 12,000,000 issued and outstanding
|
290,514 | 290,514 | 290,514 | 290,514 | 290,514 | |||||||||||||||
7.50% Series D Cumulative Redeemable Preferred Stock:
18,400,000 authorized, issued and outstanding
|
445,457 | 445,457 | 445,457 | 445,457 | 445,457 | |||||||||||||||
Common stock, par value $0.01 per share, 1,956,937,500 authorized, 947,826,176, 947,768,496,
|
||||||||||||||||||||
947,698,431, 947,643,079 and 947,591,766 issued and outstanding, respectively | 9,478 | 9,478 | 9,477 | 9,476 | 9,476 | |||||||||||||||
Additional paid-in capital
|
14,789,320 | 14,788,677 | 14,787,117 | 14,786,509 | 14,781,308 | |||||||||||||||
Accumulated other comprehensive income (loss)
|
262,855 | (354,965 | ) | 773,999 | 204,883 | (967,820 | ) | |||||||||||||
Accumulated deficit
|
(3,695,884 | ) | (2,766,250 | ) | (3,364,147 | ) | (2,585,436 | ) | (1,625,075 | ) | ||||||||||
Total stockholders’ equity
|
12,278,828 | 12,589,999 | 13,119,505 | 13,328,491 | 13,110,948 | |||||||||||||||
Noncontrolling interest
|
5,505 | 4,806 | 5,085 | 5,290 | - | |||||||||||||||
Total equity
|
12,284,333 | 12,594,805 | 13,124,590 | 13,333,781 | 13,110,948 | |||||||||||||||
Total liabilities and equity
|
$ | 75,338,687 | $ | 75,545,680 | $ | 78,675,677 | $ | 88,355,367 | $ | 87,387,986 |
(1) | Derived from the audited consolidated financial statements at December 31, 2014. |
(2) | Includes senior securitized commercial mortgage loans of consolidated VIEs with a carrying value of $2.6 billion, $2.6 billion and $1.4 billion at September 30, 2015, June 30, 2015 and March 31, 2015, respectively. |
(3) | Includes senior securitized commercial mortgage loans of consolidated VIE with a carrying value of $314.9 million, $361.2 million, $361.2 million, $398.6 million and $398.4 million at September 30, 2015, June 30, 2015, March 31, 2015, December 31, 2014, and September 30, 2014, respectively. |
(4) | Includes securitized debt of consolidated VIEs carried at fair value of $2.4 billion, $2.4 billion and $1.3 billion at September 30, 2015, June 30, 2015 and March 31, 2015, respectively. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||||||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||||||||||||||
(UNAUDITED)
|
||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
For the quarters ended
|
||||||||||||||||||||
September 30,
|
June 30,
|
March 31,
|
December 31,
|
September 30,
|
||||||||||||||||
2015
|
2015
|
2015
|
2014
|
2014
|
||||||||||||||||
Net interest income:
|
||||||||||||||||||||
Interest income
|
$ | 450,792 | $ | 624,346 | $ | 519,172 | $ | 648,144 | $ | 644,640 | ||||||||||
Interest expense
|
110,297 | 113,072 | 129,420 | 134,512 | 127,069 | |||||||||||||||
Net interest income
|
340,495 | 511,274 | 389,752 | 513,632 | 517,571 | |||||||||||||||
Realized and unrealized gains (losses):
|
||||||||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(162,304 | ) | (144,465 | ) | (158,239 | ) | (174,908 | ) | (169,083 | ) | ||||||||||
Realized gains (losses) on termination of interest rate swaps
|
- | - | (226,462 | ) | - | - | ||||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(822,585 | ) | 700,792 | (466,202 | ) | (873,468 | ) | 98,593 | ||||||||||||
Subtotal
|
(984,889 | ) | 556,327 | (850,903 | ) | (1,048,376 | ) | (70,490 | ) | |||||||||||
Net gains (losses) on disposal of investments
|
(7,943 | ) | 3,833 | 62,356 | 3,420 | 4,693 | ||||||||||||||
Net gains (losses) on trading assets
|
108,175 | (114,230 | ) | (6,906 | ) | (57,454 | ) | 4,676 | ||||||||||||
Net unrealized gains (losses) on financial instruments measured at fair value through earnings
|
(24,501 | ) | 17,581 | (33,546 | ) | (29,520 | ) | (37,944 | ) | |||||||||||
Impairment of goodwill
|
- | (22,966 | ) | - | - | - | ||||||||||||||
Subtotal
|
75,731 | (115,782 | ) | 21,904 | (83,554 | ) | (28,575 | ) | ||||||||||||
Total realized and unrealized gains (losses)
|
(909,158 | ) | 440,545 | (828,999 | ) | (1,131,930 | ) | (99,065 | ) | |||||||||||
Other income (loss):
|
||||||||||||||||||||
Investment advisory income
|
3,780 | 10,604 | 10,464 | 10,858 | 8,253 | |||||||||||||||
Dividend income from affiliate
|
- | 4,318 | 4,318 | 4,048 | 4,048 | |||||||||||||||
Other income (loss)
|
(13,521 | ) | (22,344 | ) | (1,082 | ) | 3,365 | (22,249 | ) | |||||||||||
Total other income (loss)
|
(9,741 | ) | (7,422 | ) | 13,700 | 18,271 | (9,948 | ) | ||||||||||||
General and administrative expenses:
|
||||||||||||||||||||
Compensation and management fee
|
37,450 | 37,014 | 38,629 | 38,734 | 39,028 | |||||||||||||||
Other general and administrative expenses
|
12,007 | 14,995 | 12,309 | 19,720 | 12,289 | |||||||||||||||
Total general and administrative expenses
|
49,457 | 52,009 | 50,938 | 58,454 | 51,317 | |||||||||||||||
Income (loss) before income taxes
|
(627,861 | ) | 892,388 | (476,485 | ) | (658,481 | ) | 357,241 | ||||||||||||
Income taxes
|
(370 | ) | (7,683 | ) | 14 | (209 | ) | 2,385 | ||||||||||||
Net income (loss)
|
(627,491 | ) | 900,071 | (476,499 | ) | (658,272 | ) | 354,856 | ||||||||||||
Net income (loss) attributable to noncontrolling interest
|
(197 | ) | (149 | ) | (90 | ) | (196 | ) | - | |||||||||||
Net income (loss) attributable to Annaly
|
(627,294 | ) | 900,220 | (476,409 | ) | (658,076 | ) | 354,856 | ||||||||||||
Dividends on preferred stock
|
17,992 | 17,992 | 17,992 | 17,992 | 17,992 | |||||||||||||||
Net income (loss) available (related) to common stockholders
|
$ | (645,286 | ) | $ | 882,228 | $ | (494,401 | ) | $ | (676,068 | ) | $ | 336,864 | |||||||
Net income (loss) per share available (related) to common stockholders:
|
||||||||||||||||||||
Basic
|
$ | (0.68 | ) | $ | 0.93 | $ | (0.52 | ) | $ | (0.71 | ) | $ | 0.36 | |||||||
Diluted
|
$ | (0.68 | ) | $ | 0.93 | $ | (0.52 | ) | $ | (0.71 | ) | $ | 0.35 | |||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||||||
Basic
|
947,795,500 | 947,731,493 | 947,669,831 | 947,615,793 | 947,565,432 | |||||||||||||||
Diluted
|
947,795,500 | 947,929,762 | 947,669,831 | 947,615,793 | 987,315,527 | |||||||||||||||
Net income (loss)
|
$ | (627,491 | ) | $ | 900,071 | $ | (476,499 | ) | $ | (658,272 | ) | $ | 354,856 | |||||||
Other comprehensive income (loss):
|
||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
609,725 | (1,125,043 | ) | 631,472 | 1,175,864 | (390,871 | ) | |||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
8,095 | (3,921 | ) | (62,356 | ) | (3,161 | ) | (4,693 | ) | |||||||||||
Other comprehensive income (loss)
|
617,820 | (1,128,964 | ) | 569,116 | 1,172,703 | (395,564 | ) | |||||||||||||
Comprehensive income (loss)
|
(9,671 | ) | (228,893 | ) | 92,617 | 514,431 | (40,708 | ) | ||||||||||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(197 | ) | (149 | ) | (90 | ) | (196 | ) | - | |||||||||||
Comprehensive income (loss) attributable to Annaly
|
$ | (9,474 | ) | $ | (228,744 | ) | $ | 92,707 | $ | 514,627 | $ | (40,708 | ) |
(1) | Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||
(dollars in thousands, except per share data)
|
||||||||
(Unaudited)
|
||||||||
For the nine months
|
||||||||
September 30,
|
September 30,
|
|||||||
2015
|
2014
|
|||||||
Net interest income:
|
||||||||
Interest income
|
$ | 1,594,310 | $ | 1,984,503 | ||||
Interest expense
|
352,789 | 378,147 | ||||||
Net interest income
|
1,241,521 | 1,606,356 | ||||||
Realized and unrealized gains (losses):
|
||||||||
Realized gains (losses) on interest rate swaps(1)
|
(465,008 | ) | (650,452 | ) | ||||
Realized gains (losses) on termination of interest rate swaps
|
(226,462 | ) | (779,333 | ) | ||||
Unrealized gains (losses) on interest rate swaps
|
(587,995 | ) | (75,287 | ) | ||||
Subtotal
|
(1,279,465 | ) | (1,505,072 | ) | ||||
Net gains (losses) on disposal of investments
|
58,246 | 90,296 | ||||||
Net gains (losses) on trading assets
|
(12,961 | ) | (188,041 | ) | ||||
Net unrealized gains (losses) on financial instruments measured at fair value through earnings
|
(40,466 | ) | (56,652 | ) | ||||
Impairment of goodwill
|
(22,966 | ) | - | |||||
Subtotal
|
(18,147 | ) | (154,397 | ) | ||||
Total realized and unrealized gains (losses)
|
(1,297,612 | ) | (1,659,469 | ) | ||||
Other income (loss):
|
||||||||
Investment advisory income
|
24,848 | 20,485 | ||||||
Dividend income from affiliate
|
8,636 | 21,141 | ||||||
Other income (loss)
|
(36,947 | ) | (16,102 | ) | ||||
Total other income (loss)
|
(3,463 | ) | 25,524 | |||||
General and administrative expenses:
|
||||||||
Compensation and management fee
|
113,093 | 116,826 | ||||||
Other general and administrative expenses
|
39,311 | 34,058 | ||||||
Total general and administrative expenses
|
152,404 | 150,884 | ||||||
Income (loss) before income taxes
|
(211,958 | ) | (178,473 | ) | ||||
Income taxes
|
(8,039 | ) | 5,534 | |||||
Net income (loss)
|
(203,919 | ) | (184,007 | ) | ||||
Net income (loss) attributable to noncontrolling interest
|
(436 | ) | - | |||||
Net income (loss) attributable to Annaly
|
(203,483 | ) | (184,007 | ) | ||||
Dividends on preferred stock
|
53,976 | 53,976 | ||||||
Net income (loss) available (related) to common stockholders
|
$ | (257,459 | ) | $ | (237,983 | ) | ||
Net income (loss) per share available (related) to common stockholders:
|
||||||||
Basic
|
$ | (0.27 | ) | $ | (0.25 | ) | ||
Diluted
|
$ | (0.27 | ) | $ | (0.25 | ) | ||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
947,732,735 | 947,513,514 | ||||||
Diluted
|
947,732,735 | 947,513,514 | ||||||
Net income (loss)
|
$ | (203,919 | ) | $ | (184,007 | ) | ||
Other comprehensive income (loss):
|
||||||||
Unrealized gains (losses) on available-for-sale securities
|
116,154 | 1,872,427 | ||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
(58,182 | ) | (91,314 | ) | ||||
Other comprehensive income (loss)
|
57,972 | 1,781,113 | ||||||
Comprehensive income (loss)
|
(145,947 | ) | 1,597,106 | |||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(436 | ) | - | |||||
Comprehensive income (loss) attributable to Annaly
|
$ | (145,511 | ) | $ | 1,597,106 |
(1) | Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Comprehensive Income (Loss). |
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