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
|
|
|
|
|
|
Dated: May 4, 2016
|
●
|
GAAP net loss of ($868.1) million, ($0.96) per average common share
|
●
|
Normalized core earnings of $0.30 per average common share
|
●
|
Common stock book value per share of $11.61, economic leverage of 6.2:1
|
●
|
Credit investment portfolio increases to 25% of stockholders’ equity
|
●
|
Share repurchases totaling $217.0 million since November 2015
|
●
|
Strategic diversification strategy continues with agreement to acquire Hatteras Financial Corp. for $1.5 billion
|
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
||||||||||
Book value per common share
|
|
$11.61
|
|
$11.73
|
|
$12.88
|
||||||
Economic leverage at period-end (1)
|
|
6.2:1
|
|
6.0:1
|
|
5.7:1 | ||||||
GAAP net income (loss) per common share
|
|
$(0.96)
|
|
|
$0.69
|
|
$(0.52)
|
|
||||
Normalized core earnings per common share (2)
|
|
$0.30
|
|
$0.31
|
|
$0.34
|
||||||
Annualized return (loss) on average equity
|
(29.47%)
|
|
22.15%
|
|
(14.41%)
|
|
||||||
Annualized normalized core return on average equity (2)
|
9.91%
|
|
10.30%
|
|
10.34%
|
|
||||||
Normalized net interest margin (2) (3)
|
1.54%
|
|
1.71%
|
|
1.68%
|
|
||||||
Normalized net interest spread (2)
|
1.27%
|
|
1.37%
|
|
1.32%
|
|
||||||
Normalized average yield on interest earning assets (2)
|
3.00%
|
|
3.05%
|
|
2.96%
|
|
(1)
|
Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments 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)
|
Adjusted to reflect the effect of the premium amortization adjustment (“PAA”) due to quarter-over-quarter changes in long-term constant prepayment rates (“CPR”) estimates.
|
(3)
|
Represents the sum of the Company’s annualized normalized 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.
|
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
||||||||||
(dollars in thousands)
|
||||||||||||
Premium amortization expense
|
$
|
355,671
|
$
|
159,720
|
$
|
284,777
|
||||||
Less: PAA cost (benefit)
|
168,408
|
(18,072
|
)
|
87,883
|
||||||||
Premium amortization expense exclusive of PAA
|
$
|
187,263
|
$
|
177,792
|
$
|
196,894
|
||||||
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
||||||||||
(per common share)
|
||||||||||||
Premium amortization expense
|
$
|
0.38
|
$
|
0.17
|
$
|
0.30
|
||||||
Less: PAA cost (benefit)
|
0.19
|
(0.02
|
)
|
0.09
|
||||||||
Premium amortization expense exclusive of PAA
|
$
|
0.19
|
$
|
0.19
|
$
|
0.21
|
For the quarters ended
|
||||||||||||
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
||||||||||
(dollars in thousands)
|
||||||||||||
GAAP net income (loss)
|
$
|
(868,080
|
)
|
$
|
669,666
|
$
|
(476,499
|
)
|
||||
Less:
|
||||||||||||
Realized (gains) losses on termination of interest rate swaps
|
-
|
-
|
226,462
|
|||||||||
Unrealized (gains) losses on interest rate swaps
|
1,031,720
|
(463,126
|
)
|
466,202
|
||||||||
Net (gains) losses on disposal of investments
|
1,675
|
7,259
|
(62,356
|
)
|
||||||||
Net (gains) losses on trading assets
|
(125,189
|
)
|
(42,584
|
)
|
6,906
|
|||||||
Net unrealized (gains) losses on financial instruments measured
at fair value through earnings
|
(128
|
)
|
62,703
|
33,546
|
||||||||
Net (income) loss attributable to noncontrolling interest
|
162
|
373
|
90
|
|||||||||
Plus:
|
||||||||||||
TBA dollar roll income (1)
|
83,189
|
94,914
|
59,731
|
|||||||||
Core earnings (2)
|
123,349
|
329,205
|
254,082
|
|||||||||
Premium amortization adjustment cost (benefit)
|
168,408
|
(18,072
|
)
|
87,883
|
||||||||
Normalized core earnings
|
$
|
291,757
|
$
|
311,133
|
$
|
341,965
|
||||||
GAAP net income (loss) per average common share
|
$
|
(0.96
|
)
|
$
|
0.69
|
$
|
(0.52
|
)
|
||||
Core earnings per average common share
|
$
|
0.11
|
$
|
0.33
|
$
|
0.25
|
||||||
Normalized core earnings per average common share
|
$
|
0.30
|
$
|
0.31
|
$
|
0.34
|
(1)
|
Represents a component of Net gains (losses) on trading assets.
|
(2)
|
Core earnings is defined as net income (loss) excluding gains or losses on disposals of investments and termination of interest rate swaps, unrealized gains or losses on interest rate swaps and financial instruments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, and certain other non-recurring gains or losses, and inclusive of dollar roll income (a component of Net gains (losses) on trading assets). Normalized core earnings presents the Company’s core earnings adjusted to reflect the effect of the PAA.
|
TBA Purchase Contracts
|
Notional
|
Implied Cost Basis
|
Implied Market Value
|
Net Carrying Value
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Purchase contracts
|
$
|
14,273,000
|
$
|
14,847,792
|
$
|
14,924,524
|
$
|
76,732
|
Maturity
|
Principal Balance
|
Weighted Average Rate
|
||||||
(dollars in thousands)
|
||||||||
Within 30 days
|
$
|
20,891,928
|
0.70
|
%
|
||||
30 to 59 days
|
4,878,678
|
0.82
|
%
|
|||||
60 to 89 days
|
9,264,997
|
0.96
|
%
|
|||||
90 to 119 days
|
4,270,155
|
0.95
|
%
|
|||||
Over 120 days(1)
|
18,730,709
|
1.29
|
%
|
|||||
Total
|
$
|
58,036,467
|
0.96
|
%
|
(1) | Approximately 17% of the total repurchase agreements and FHLB advances have a remaining maturity over 1 year. |
|
Weighted Average
|
|||||||||||
|
Principal Balance
|
Rate
|
Days to Maturity (3)
|
|||||||||
|
(dollars in thousands)
|
|||||||||||
Repurchase agreements
|
$
|
54,448,141
|
0.99
|
%
|
136
|
|||||||
Other secured financing (1)
|
3,588,326
|
0.59
|
%
|
1,735
|
||||||||
Securitized debt of consolidated VIEs (2)
|
3,821,252
|
0.85
|
%
|
2,801
|
||||||||
Participation sold (2)
|
13,061
|
5.58
|
%
|
396
|
||||||||
Mortgages payable (2)
|
338,346
|
4.16
|
%
|
3,064
|
||||||||
Total indebtedness
|
$
|
62,209,126
|
(1)
|
Represents advances from the Federal Home Loan Bank of Des Moines.
|
(2)
|
Non-recourse to the Company.
|
(3)
|
Determined based on estimated weighted-average lives of the underlying debt instruments.
|
Maturity
|
Current Notional
|
Weighted Average
Pay Rate
|
Weighted Average Receive Rate
|
Weighted Average Years to Maturity
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
0 - 3 years
|
$
|
4,290,419
|
1.79
|
%
|
0.47
|
%
|
1.87
|
|||||||||
3 - 6 years
|
11,925,000
|
1.87
|
%
|
0.73
|
%
|
4.22
|
||||||||||
6 - 10 years
|
10,227,550
|
2.49
|
%
|
0.76
|
%
|
7.88
|
||||||||||
Greater than 10 years
|
3,434,400
|
3.54
|
%
|
0.59
|
%
|
18.64
|
||||||||||
Total / Weighted Average
|
$
|
29,877,369
|
2.26
|
%
|
0.69
|
%
|
6.76
|
Notional - Long
Positions
|
Notional - Short
Positions
|
Weighted Average
Years to Maturity
|
||||||||||
(dollars in thousands)
|
||||||||||||
2-year swap equivalent Eurodollar contracts
|
$
|
-
|
$
|
(4,375,000
|
)
|
2.00
|
||||||
U.S. Treasury futures - 5 year
|
-
|
(1,847,200
|
)
|
4.42
|
||||||||
U.S. Treasury futures - 10 year and greater
|
-
|
(655,600
|
)
|
6.75
|
||||||||
Total
|
$
|
-
|
$
|
(6,877,800
|
)
|
3.10
|
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
|
Portfolio Related Metrics:
|
|
||
Fixed-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
93%
|
93%
|
94%
|
Adjustable-rate and floating-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
7%
|
7%
|
6%
|
Weighted average experienced CPR for the period
|
8.8%
|
9.7%
|
9.0%
|
Weighted average projected long-term CPR at period end
|
11.8%
|
8.8%
|
9.2%
|
Weighted average levered return on commercial real estate debt at period-end (1)
|
7.63%
|
7.67%
|
9.32%
|
Weighted average levered return on investments in commercial real estate equity at period-end
|
10.59%
|
10.59%
|
12.98%
|
Liabilities and Hedging Metrics:
|
|
|
|
Weighted average days to maturity on repurchase agreements outstanding at period-end
|
136
|
151
|
149
|
Hedge ratio (2)
|
53%
|
57%
|
48%
|
Weighted average pay rate on interest rate swaps at period-end (3)
|
2.26%
|
2.26%
|
2.37%
|
Weighted average receive rate on interest rate swaps at period-end (3)
|
0.69%
|
0.53%
|
0.35%
|
Weighted average net rate on interest rate swaps at period-end (3)
|
1.57%
|
1.73%
|
2.02%
|
Leverage at period-end (4)
|
5.3:1
|
5.1:1
|
4.8:1
|
Economic leverage at period-end (5)
|
6.2:1
|
6.0:1
|
5.7:1
|
Capital ratio at period-end
|
13.2%
|
13.7%
|
14.3%
|
Performance Related Metrics:
|
|
|
|
Book value per common share
|
$11.61
|
$11.73
|
$12.88
|
GAAP net income (loss) per common share
|
($0.96)
|
$0.69
|
($0.52)
|
Core earnings per common share
|
$0.11
|
$0.33
|
$0.25
|
Normalized core earnings per common share
|
$0.30
|
$0.31
|
$0.34
|
Annualized return (loss) on average equity
|
(29.47%)
|
22.15%
|
(14.41%)
|
Annualized core return on average equity
|
4.19%
|
10.89%
|
7.69%
|
Annualized normalized core return on average equity
|
9.91%
|
10.30%
|
10.34%
|
Net interest margin
|
0.79%
|
1.80%
|
1.29%
|
Normalized net interest margin
|
1.54%
|
1.71%
|
1.68%
|
Average yield on interest earning assets (6)
|
2.09%
|
3.15%
|
2.54%
|
Normalized average yield on interest earning assets (6)
|
3.00%
|
3.05%
|
2.96%
|
Average cost of interest bearing liabilities (7)
|
1.73%
|
1.68%
|
1.64%
|
Net interest spread
|
0.36%
|
1.47%
|
0.90%
|
Normalized net interest spread
|
1.27%
|
1.37%
|
1.32%
|
(1)
|
Includes loans held for sale. Excluding loans held for sale, the weighted average levered return on commercial real estate debt was 8.88%, 8.82% and 9.3% at March 31, 2016, December 31, 2015, and March 31, 2015, respectively.
|
(2)
|
Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements and TBA notional outstanding.
|
(3)
|
Excludes forward starting swaps.
|
(4)
|
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.
|
(5)
|
Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity.
|
(6)
|
Average interest earning assets reflects the average amortized cost of our investments during the period.
|
(7)
|
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)
|
||||||||||||||||||||
March 31,
|
December 31,
|
September 30,
|
June 30,
|
March 31,
|
||||||||||||||||
2016
|
2015(1)
|
2015
|
2015
|
2015
|
||||||||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
|||||||||||||||||
ASSETS
|
||||||||||||||||||||
Cash and cash equivalents
|
$
|
2,416,136
|
$
|
1,769,258
|
$
|
2,237,423
|
$
|
1,785,158
|
$
|
1,920,326
|
||||||||||
Investments, at fair value:
|
||||||||||||||||||||
Agency mortgage-backed securities
|
65,439,824
|
65,718,224
|
65,806,640
|
67,605,287
|
69,388,001
|
|||||||||||||||
Agency debentures
|
157,035
|
152,038
|
413,115
|
429,845
|
995,408
|
|||||||||||||||
Credit risk transfer securities
|
501,167
|
456,510
|
330,727
|
214,130
|
108,337
|
|||||||||||||||
Non-Agency mortgage-backed securities
|
1,157,507
|
906,722
|
490,037
|
-
|
-
|
|||||||||||||||
Commercial real estate debt investments (2)
|
4,401,725
|
2,911,828
|
2,881,659
|
2,812,824
|
1,515,903
|
|||||||||||||||
Investment in affiliate
|
-
|
-
|
-
|
123,343
|
141,246
|
|||||||||||||||
Commercial real estate debt and preferred equity, held for investment (3)
|
1,177,468
|
1,348,817
|
1,316,595
|
1,332,955
|
1,498,406
|
|||||||||||||||
Loans held for sale
|
278,600
|
278,600
|
476,550
|
-
|
-
|
|||||||||||||||
Investments in commercial real estate
|
527,786
|
535,946
|
301,447
|
216,800
|
207,209
|
|||||||||||||||
Corporate debt
|
639,481
|
488,508
|
424,974
|
311,640
|
227,830
|
|||||||||||||||
Reverse repurchase agreements
|
-
|
-
|
-
|
-
|
100,000
|
|||||||||||||||
Interest rate swaps, at fair value
|
93,312
|
19,642
|
39,295
|
30,259
|
25,908
|
|||||||||||||||
Other derivatives, at fair value
|
77,449
|
22,066
|
87,516
|
38,074
|
113,503
|
|||||||||||||||
Receivable for investments sold
|
2,220
|
121,625
|
127,571
|
247,361
|
2,009,937
|
|||||||||||||||
Accrued interest and dividends receivable
|
232,180
|
231,336
|
228,169
|
234,006
|
247,801
|
|||||||||||||||
Receivable for investment advisory income
|
-
|
-
|
3,992
|
10,589
|
10,268
|
|||||||||||||||
Other assets
|
234,407
|
119,422
|
67,738
|
48,229
|
34,430
|
|||||||||||||||
Goodwill
|
71,815
|
71,815
|
71,815
|
71,815
|
94,781
|
|||||||||||||||
Intangible assets, net
|
35,853
|
38,536
|
33,424
|
33,365
|
36,383
|
|||||||||||||||
Total assets
|
$
|
77,443,965
|
$
|
75,190,893
|
$
|
75,338,687
|
$
|
75,545,680
|
$
|
78,675,677
|
||||||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||||||||||||||
Liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
$
|
54,448,141
|
$
|
56,230,860
|
$
|
56,449,364
|
$
|
57,459,552
|
$
|
60,477,378
|
||||||||||
Other secured financing
|
3,588,326
|
1,845,048
|
359,970
|
203,200
|
90,000
|
|||||||||||||||
Convertible Senior Notes
|
-
|
-
|
-
|
-
|
749,512
|
|||||||||||||||
Securitized debt of consolidated VIEs (4)
|
3,802,682
|
2,540,711
|
2,553,398
|
2,610,974
|
1,491,829
|
|||||||||||||||
Participation sold
|
13,182
|
13,286
|
13,389
|
13,490
|
13,589
|
|||||||||||||||
Mortgages payable
|
334,765
|
334,707
|
166,697
|
146,359
|
146,470
|
|||||||||||||||
Interest rate swaps, at fair value
|
2,782,961
|
1,677,571
|
2,160,350
|
1,328,729
|
2,025,170
|
|||||||||||||||
Other derivatives, at fair value
|
69,171
|
49,963
|
113,626
|
40,539
|
61,778
|
|||||||||||||||
Dividends payable
|
277,456
|
280,779
|
284,348
|
284,331
|
284,310
|
|||||||||||||||
Payable for investments purchased
|
250,612
|
107,115
|
744,378
|
673,933
|
5,205
|
|||||||||||||||
Accrued interest payable
|
163,983
|
151,843
|
145,554
|
131,629
|
155,072
|
|||||||||||||||
Accounts payable and other liabilities
|
54,679
|
53,088
|
63,280
|
58,139
|
50,774
|
|||||||||||||||
Total liabilities
|
65,785,958
|
63,284,971
|
63,054,354
|
62,950,875
|
65,551,087
|
|||||||||||||||
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 Stock12,650,000 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, 924,853,133, 935,929,561, 947,826,176, 947,768,496, and 947,698,431 issued and outstanding, respectively
|
9,249
|
9,359
|
9,478
|
9,478
|
9,477
|
|||||||||||||||
Additional paid-in capital
|
14,573,760
|
14,675,768
|
14,789,320
|
14,788,677
|
14,787,117
|
|||||||||||||||
Accumulated other comprehensive income (loss)
|
640,366
|
(377,596
|
)
|
262,855
|
(354,965
|
)
|
773,999
|
|||||||||||||
Accumulated deficit
|
(4,487,982
|
)
|
(3,324,616
|
)
|
(3,695,884
|
)
|
(2,766,250
|
)
|
(3,364,147
|
)
|
||||||||||
Total stockholders’ equity
|
11,648,452
|
11,895,974
|
12,278,828
|
12,589,999
|
13,119,505
|
|||||||||||||||
Noncontrolling interest
|
9,555
|
9,948
|
5,505
|
4,806
|
5,085
|
|||||||||||||||
Total equity
|
11,658,007
|
11,905,922
|
12,284,333
|
12,594,805
|
13,124,590
|
|||||||||||||||
Total liabilities and equity
|
$
|
77,443,965
|
$
|
75,190,893
|
$
|
75,338,687
|
$
|
75,545,680
|
$
|
78,675,677
|
(1)
|
Derived from the audited consolidated financial statements at December 31, 2015.
|
(2)
|
Includes senior securitized commercial mortgage loans of consolidated VIEs with a carrying value of $4.0 billion, $2.6 billion, $2.6 billion, $2.6 billion and $1.4 billion at March 31, 2016, December 31, 2015, 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 $211.9 million, $262.7 million, $314.9 million, $361.2 million and $361.2 million, at March 31, 2016, December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015, respectively.
|
(4)
|
Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion, $2.4 billion, $2.4 billion, $2.4 billion and $1.3 billion at March 31, 2016, December 31, 2015, 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
|
||||||||||||||||||||
March 31,
|
December 31,
|
September 30,
|
June 30,
|
March 31,
|
||||||||||||||||
2016
|
2015
|
2015
|
2015
|
2015
|
||||||||||||||||
Net interest income:
|
||||||||||||||||||||
Interest income
|
$
|
388,143
|
$
|
576,580
|
$
|
450,726
|
$
|
624,277
|
$
|
519,114
|
||||||||||
Interest expense
|
147,447
|
118,807
|
110,297
|
113,072
|
129,420
|
|||||||||||||||
Net interest income
|
240,696
|
457,773
|
340,429
|
511,205
|
389,694
|
|||||||||||||||
Realized and unrealized gains (losses):
|
||||||||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(147,475
|
)
|
(159,487
|
)
|
(162,304
|
)
|
(144,465
|
)
|
(158,239
|
)
|
||||||||||
Realized gains (losses) on termination of interest rate swaps
|
-
|
-
|
-
|
-
|
(226,462
|
)
|
||||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(1,031,720
|
)
|
463,126
|
(822,585
|
)
|
700,792
|
(466,202
|
)
|
||||||||||||
Subtotal
|
(1,179,195
|
)
|
303,639
|
(984,889
|
)
|
556,327
|
(850,903
|
)
|
||||||||||||
Net gains (losses) on disposal of investments
|
(1,675
|
)
|
(7,259
|
)
|
(7,943
|
)
|
3,833
|
62,356
|
||||||||||||
Net gains (losses) on trading assets
|
125,189
|
42,584
|
108,175
|
(114,230
|
)
|
(6,906
|
)
|
|||||||||||||
Net unrealized gains (losses) on financial instruments
measured at fair value through earnings
|
128
|
(62,703
|
)
|
(24,501
|
)
|
17,581
|
(33,546
|
)
|
||||||||||||
Impairment of goodwill
|
-
|
-
|
-
|
(22,966
|
)
|
-
|
||||||||||||||
Subtotal
|
123,642
|
(27,378
|
)
|
75,731
|
(115,782
|
)
|
21,904
|
|||||||||||||
Total realized and unrealized gains (losses)
|
(1,055,553
|
)
|
276,261
|
(909,158
|
)
|
440,545
|
(828,999
|
)
|
||||||||||||
Other income (loss):
|
||||||||||||||||||||
Investment advisory income
|
-
|
-
|
3,780
|
10,604
|
10,464
|
|||||||||||||||
Dividend income from affiliate
|
-
|
-
|
-
|
4,318
|
4,318
|
|||||||||||||||
Other income (loss)
|
(6,115
|
)
|
(10,447
|
)
|
(13,455
|
)
|
(22,275
|
)
|
(1,024
|
)
|
||||||||||
Total other income (loss)
|
(6,115
|
)
|
(10,447
|
)
|
(9,675
|
)
|
(7,353
|
)
|
13,758
|
|||||||||||
General and administrative expenses:
|
||||||||||||||||||||
Compensation and management fee
|
36,997
|
37,193
|
37,450
|
37,014
|
38,629
|
|||||||||||||||
Other general and administrative expenses
|
10,948
|
10,643
|
12,007
|
14,995
|
12,309
|
|||||||||||||||
Total general and administrative expenses
|
47,945
|
47,836
|
49,457
|
52,009
|
50,938
|
|||||||||||||||
Income (loss) before income taxes
|
(868,917
|
)
|
675,751
|
(627,861
|
)
|
892,388
|
(476,485
|
)
|
||||||||||||
Income taxes
|
(837
|
)
|
6,085
|
(370
|
)
|
(7,683
|
)
|
14
|
||||||||||||
Net income (loss)
|
(868,080
|
)
|
669,666
|
(627,491
|
)
|
900,071
|
(476,499
|
)
|
||||||||||||
Net income (loss) attributable to noncontrolling interest
|
(162
|
)
|
(373
|
)
|
(197
|
)
|
(149
|
)
|
(90
|
)
|
||||||||||
Net income (loss) attributable to Annaly
|
(867,918
|
)
|
670,039
|
(627,294
|
)
|
900,220
|
(476,409
|
)
|
||||||||||||
Dividends on preferred stock
|
17,992
|
17,992
|
17,992
|
17,992
|
17,992
|
|||||||||||||||
Net income (loss) available (related) to common stockholders
|
$
|
(885,910
|
)
|
$
|
652,047
|
$
|
(645,286
|
)
|
$
|
882,228
|
$
|
(494,401
|
)
|
|||||||
Net income (loss) per share available (related) to common stockholders:
|
||||||||||||||||||||
Basic
|
$
|
(0.96
|
)
|
$
|
0.69
|
$
|
(0.68
|
)
|
$
|
0.93
|
$
|
(0.52
|
)
|
|||||||
Diluted
|
$
|
(0.96
|
)
|
$
|
0.69
|
$
|
(0.68
|
)
|
$
|
0.93
|
$
|
(0.52
|
)
|
|||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||||||
Basic
|
926,813,588
|
945,072,058
|
947,795,500
|
947,731,493
|
947,669,831
|
|||||||||||||||
Diluted
|
926,813,588
|
945,326,098
|
947,795,500
|
947,929,762
|
947,669,831
|
|||||||||||||||
Net income (loss)
|
$
|
(868,080
|
)
|
$
|
669,666
|
$
|
(627,491
|
)
|
$
|
900,071
|
$
|
(476,499
|
)
|
|||||||
Other comprehensive income (loss):
|
||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
1,017,707
|
(648,106
|
)
|
609,725
|
(1,125,043
|
)
|
631,472
|
|||||||||||||
Reclassification adjustment for net (gains) losses included
in net income (loss)
|
255
|
7,655
|
8,095
|
(3,921
|
)
|
(62,356
|
)
|
|||||||||||||
Other comprehensive income (loss)
|
1,017,962
|
(640,451
|
)
|
617,820
|
(1,128,964
|
)
|
569,116
|
|||||||||||||
Comprehensive income (loss)
|
149,882
|
29,215
|
(9,671
|
)
|
(228,893
|
)
|
92,617
|
|||||||||||||
Comprehensive income (loss) attributable to
noncontrolling interest
|
(162
|
)
|
(373
|
)
|
(197
|
)
|
(149
|
)
|
(90
|
)
|
||||||||||
Comprehensive income (loss) attributable to Annaly
|
$
|
150,044
|
$
|
29,588
|
$
|
(9,474
|
)
|
$
|
(228,744
|
)
|
$
|
92,707
|
(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).
|
|
For the quarters ended
|
|||||||||||
|
March 31, 2016
|
December 31, 2015
|
March 31, 2015
|
|||||||||
Normalized Interest Income Reconciliation
|
(dollars in thousands)
|
|||||||||||
Total interest income
|
$
|
388,143
|
$
|
576,580
|
$
|
519,114
|
||||||
Premium amortization adjustment
|
168,408
|
(18,072
|
)
|
87,883
|
||||||||
Normalized interest income
|
$
|
556,551
|
$
|
558,508
|
$
|
606,997
|
||||||
Economic Interest Expense Reconciliation
|
||||||||||||
GAAP interest expense
|
$
|
147,447
|
$
|
118,807
|
$
|
129,420
|
||||||
Add:
|
||||||||||||
Interest expense on interest rate swaps used to hedge cost of funds
|
123,124
|
135,267
|
157,332
|
|||||||||
Economic interest expense
|
$
|
270,571
|
$
|
254,074
|
$
|
286,752
|
||||||
Normalized Economic Net Interest Income Reconciliation
|
||||||||||||
Normalized interest income
|
$
|
556,551
|
$
|
558,508
|
$
|
606,997
|
||||||
Less:
|
||||||||||||
Economic interest expense
|
270,571
|
254,074
|
286,752
|
|||||||||
Normalized economic net interest income
|
$
|
285,980
|
$
|
304,434
|
$
|
320,245
|
||||||
Normalized Economic Net Interest Income
|
||||||||||||
Normalized interest income
|
$
|
556,551
|
$
|
558,508
|
$
|
606,997
|
||||||
Average interest earning assets
|
$
|
74,171,943
|
$
|
73,178,965
|
$
|
81,896,255
|
||||||
Normalized average yield on interest earning assets
|
3.00
|
%
|
3.05
|
%
|
2.96
|
%
|
||||||
Economic interest expense
|
$
|
270,571
|
$
|
254,074
|
$
|
286,752
|
||||||
Average interet bearing liabilities
|
$
|
62,379,695
|
$
|
60,516,996
|
$
|
70,137,382
|
||||||
Average cost of interest bearing liabilities
|
1.73
|
%
|
1.68
|
%
|
1.64
|
%
|
||||||
Normalized net interest spread
|
1.27
|
%
|
1.37
|
%
|
1.32
|
%
|
||||||
Normalized net interest margin
|
1.54
|
%
|
1.71
|
%
|
1.68
|
%
|
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