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: February 15, 2017
|
·
|
GAAP net income of $1.8 billion, $1.79 per average common share
|
·
|
Transition to revised core earnings metrics to conform with regulatory guidance on non-GAAP measures
|
·
|
Core earnings (unrevised - excluding premium amortization adjustment (“PAA”)) of $327.0 million, $0.30 per average common share
|
·
|
Core earnings (revised - including PAA) of $565.9 million, $0.53 per average common share
|
·
|
Common stock book value per share of $11.16
|
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
Book value per common share
|
$
|
11.16
|
$
|
11.83
|
$
|
11.73
|
||||||
Economic leverage at period-end (1)
|
6.4:1
|
6.1:1
|
6.0:1
|
|||||||||
GAAP net income (loss) per average common share
|
$
|
1.79
|
$
|
0.70
|
$
|
0.69
|
||||||
Core earnings per average common share (unrevised - excluding PAA)* (2)
|
$
|
0.30
|
$
|
0.29
|
$
|
0.31
|
||||||
Less: PAA cost (benefit) per average common share
|
(0.23
|
)
|
-
|
(0.02
|
)
|
|||||||
Core earnings per average common share (revised - including PAA)* (2)
|
$
|
0.53
|
$
|
0.29
|
$
|
0.33
|
||||||
Annualized return (loss) on average equity
|
57.23
|
%
|
23.55
|
%
|
22.15
|
%
|
||||||
Annualized core return on average equity (unrevised - excluding PAA)*
|
10.13
|
%
|
10.09
|
%
|
10.30
|
%
|
||||||
Annualized core return on average equity (revised - including PAA)*
|
17.53
|
%
|
10.09
|
%
|
10.89
|
%
|
||||||
Net interest margin (3)
|
2.49
|
%
|
1.40
|
%
|
1.80
|
%
|
||||||
Core net interest margin (excluding PAA)*
|
1.53
|
%
|
1.42
|
%
|
1.71
|
%
|
||||||
Net interest spread
|
2.28
|
%
|
1.13
|
%
|
1.47
|
%
|
||||||
Core net interest spread (excluding PAA)*
|
1.15
|
%
|
1.15
|
%
|
1.37
|
%
|
||||||
Average yield on interest earning assets
|
3.81
|
%
|
2.70
|
%
|
3.15
|
%
|
||||||
Core average yield on interest earning assets (excluding PAA)*
|
2.68
|
%
|
2.72
|
%
|
3.05
|
%
|
* |
Represents a non-GAAP financial measure. Please refer to the ‘Non-GAAP Financial Measures’ section for additional information.
|
(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) | The Company revised its definition of core earnings to include the PAA. Core earnings (unrevised) excluded the PAA. This is the final quarter that the Company will report core earnings metrics that exclude the PAA. Beginning with the fourth quarter 2016, core earnings (revised) 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 investments measured at fair value through earnings, net gains and losses on trading assets, impairment losses, net income (loss) attributable to noncontrolling interest, corporate acquisition related expenses and certain other non-recurring gains or losses, and inclusive of dollar roll income (a component of Net gains (losses) on trading assets) and realized amortization of MSRs (a component of net unrealized gains (losses) on investments measured at fair value through earnings). |
(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.
|
-
|
GAAP net income of $1.8 billion, or $1.79 per average common share
|
-
|
Core earnings* (unrevised – excluding PAA) of $327.0 million, or $0.30 per average common share
|
-
|
Core earnings* (revised – including PAA) of $565.9 million, or $0.53 per average common share (inclusive of PAA benefit of $238.9 million, or $0.23 per average common share)
|
-
|
GAAP return on average equity of 57.23%, core return on average equity* (unrevised – excluding PAA) of 10.13%, core return on average equity* (revised – including PAA) of 17.53% (PAA related benefit of 7.40%)
|
-
|
Common dividend declared for the quarter ended December 31, 2016 of $0.30 per common share. The annualized dividend yield on the Company’s common stock for the quarter ended December 31, 2016, based on the December 31, 2016 closing price of $9.97, was 12.04%
|
-
|
Completed the largest mREIT acquisition in history with purchase of Hatteras Financial Corp.
|
-
|
Continued diversification strategy with expansion of investment options and targeted growth in select credit assets
|
-
|
Advanced funding strategy with dedicated financing facilities for credit businesses while also capitalizing on FHLB term funding
|
-
|
Further aligned management and shareholder interests by initiating employee stock ownership program
|
For the quarters ended
|
||||||||||||
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
(dollars in thousands)
|
||||||||||||
Premium amortization expense
|
$
|
(19,812
|
)
|
$
|
213,241
|
$
|
159,720
|
|||||
Less: PAA cost (benefit)
|
(238,941
|
)
|
3,891
|
(18,072
|
)
|
|||||||
Premium amortization expense exclusive of PAA
|
$
|
219,129
|
$
|
209,350
|
$
|
177,792
|
||||||
For the quarters ended
|
||||||||||||
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
(per average common share)
|
||||||||||||
Premium amortization expense
|
$
|
(0.02
|
)
|
$
|
0.21
|
$
|
0.17
|
|||||
Less: PAA cost (benefit)
|
(0.23
|
)
|
-
|
(1) |
(0.02
|
)
|
||||||
Premium amortization expense exclusive of PAA
|
$
|
0.21
|
$
|
0.21
|
$
|
0.19
|
(1) |
Rounds to less than $0.01 per average common share.
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|||||||||||||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
|||||||||||||||||||
(dollars in thousands, except per share data)
|
|||||||||||||||||||
December 31,
|
September 30,
|
June 30,
|
March 31,
|
December 31,
|
|||||||||||||||
2016
|
2016
|
2016
|
2016
|
2015(1)
|
|||||||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
||||||||||||||||
ASSETS
|
|||||||||||||||||||
Cash and cash equivalents
|
$
|
1,539,746
|
$
|
2,382,188
|
$
|
2,735,250
|
$
|
2,416,136
|
$
|
1,769,258
|
|||||||||
Investments, at fair value:
|
|||||||||||||||||||
Agency mortgage-backed securities
|
75,589,873
|
73,476,105
|
64,862,992
|
65,439,824
|
65,718,224
|
||||||||||||||
Agency debentures
|
-
|
-
|
-
|
157,035
|
152,038
|
||||||||||||||
Credit risk transfer securities
|
724,722
|
669,295
|
520,321
|
501,167
|
456,510
|
||||||||||||||
Non-Agency mortgage-backed securities
|
1,401,307
|
1,460,261
|
1,197,549
|
1,157,507
|
906,722
|
||||||||||||||
Residential mortgage loans (2)
|
342,289
|
310,148
|
-
|
-
|
-
|
||||||||||||||
Mortgage servicing rights
|
652,216
|
492,169
|
-
|
-
|
-
|
||||||||||||||
Commercial real estate debt investments (3)
|
4,321,739
|
4,319,077
|
4,361,972
|
4,401,725
|
2,911,828
|
||||||||||||||
Commercial real estate debt and preferred equity, held for investment (4)
|
970,505
|
1,070,197
|
1,137,971
|
1,177,468
|
1,348,817
|
||||||||||||||
Commercial loans held for sale, net
|
114,425
|
144,275
|
164,175
|
278,600
|
278,600
|
||||||||||||||
Investments in commercial real estate
|
474,567
|
500,027
|
504,605
|
527,786
|
535,946
|
||||||||||||||
Corporate debt
|
773,274
|
716,831
|
669,612
|
639,481
|
488,508
|
||||||||||||||
Interest rate swaps, at fair value
|
68,194
|
113,253
|
146,285
|
93,312
|
19,642
|
||||||||||||||
Other derivatives, at fair value
|
171,266
|
87,921
|
137,490
|
77,449
|
22,066
|
||||||||||||||
Receivable for investments sold
|
51,461
|
493,839
|
697,943
|
2,220
|
121,625
|
||||||||||||||
Accrued interest and dividends receivable
|
270,400
|
260,583
|
227,225
|
232,180
|
231,336
|
||||||||||||||
Other assets
|
333,063
|
301,419
|
237,959
|
234,407
|
119,422
|
||||||||||||||
Goodwill
|
71,815
|
71,815
|
71,815
|
71,815
|
71,815
|
||||||||||||||
Intangible assets, net
|
34,184
|
39,903
|
43,306
|
35,853
|
38,536
|
||||||||||||||
Total assets
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
$
|
77,443,965
|
$
|
75,190,893
|
|||||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|||||||||||||||||||
Liabilities:
|
|||||||||||||||||||
Repurchase agreements
|
$
|
65,215,810
|
$
|
61,784,121
|
$
|
53,868,385
|
$
|
54,448,141
|
$
|
56,230,860
|
|||||||||
Other secured financing
|
3,884,708
|
3,804,742
|
3,588,326
|
3,588,326
|
1,845,048
|
||||||||||||||
Securitized debt of consolidated VIEs (5)
|
3,655,802
|
3,712,821
|
3,748,289
|
3,802,682
|
2,540,711
|
||||||||||||||
Participation sold
|
12,869
|
12,976
|
13,079
|
13,182
|
13,286
|
||||||||||||||
Mortgages payable
|
311,636
|
327,632
|
327,643
|
334,765
|
334,707
|
||||||||||||||
Interest rate swaps, at fair value
|
1,443,765
|
2,919,492
|
3,208,986
|
2,782,961
|
1,677,571
|
||||||||||||||
Other derivatives, at fair value
|
86,437
|
73,445
|
154,017
|
69,171
|
49,963
|
||||||||||||||
Dividends payable
|
305,674
|
269,111
|
277,479
|
277,456
|
280,779
|
||||||||||||||
Payable for investments purchased
|
65,041
|
454,237
|
746,090
|
250,612
|
107,115
|
||||||||||||||
Accrued interest payable
|
163,013
|
173,320
|
159,435
|
163,983
|
151,843
|
||||||||||||||
Accounts payable and other liabilities
|
184,319
|
115,606
|
62,868
|
54,679
|
53,088
|
||||||||||||||
Total liabilities
|
75,329,074
|
73,647,503
|
66,154,597
|
65,785,958
|
63,284,971
|
||||||||||||||
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
|
||||||||||||||
7.625% Series E Cumulative Redeemable Preferred Stock:
11,500,000 authorized, issued and outstanding
|
287,500
|
287,500
|
-
|
-
|
-
|
||||||||||||||
Common stock, par value $0.01 per share, 1,945,437,500, 1,945,437,500, 1,956,937,500, 1,956,937,500 and 1,956,937,500 authorized, 1,018,913,249, 1,018,857,866, 924,929,607, 924,853,133
and 935,929,561 issued and outstanding, respectively
|
10,189
|
10,189
|
9,249
|
9,249
|
9,359
|
||||||||||||||
Additional paid-in capital
|
15,579,342
|
15,578,677
|
14,575,426
|
14,573,760
|
14,675,768
|
||||||||||||||
Accumulated other comprehensive income (loss)
|
(1,085,893
|
)
|
1,119,677
|
1,117,046
|
640,366
|
(377,596
|
)
|
||||||||||||
Accumulated deficit
|
(3,136,017
|
)
|
(4,655,440
|
)
|
(5,061,565
|
)
|
(4,487,982
|
)
|
(3,324,616
|
)
|
|||||||||
Total stockholders’ equity
|
12,568,180
|
13,253,662
|
11,553,215
|
11,648,452
|
11,895,974
|
||||||||||||||
Noncontrolling interest
|
7,792
|
8,141
|
8,658
|
9,555
|
9,948
|
||||||||||||||
Total equity
|
12,575,972
|
13,261,803
|
11,561,873
|
11,658,007
|
11,905,922
|
||||||||||||||
Total liabilities and equity
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
$
|
77,443,965
|
$
|
75,190,893
|
(1) |
Derived from the audited consolidated financial statements at December 31, 2015.
|
(2) | Includes securitized mortgage loans of a consolidated VIE carried at fair value of $165.9 million and $176.7 million at December 31, 2016 and September 30, 2016, respectively. |
(3) | Includes senior securitized commercial mortgage loans of consolidated VIEs with a carrying value of $3.9 billion, $4.0 billion, $4.0 billion, $4.0 billion and $2.6 billion at December 31, 2016, September 30, 2016, June 30, 2016, March 31, 2016 and December 31, 2015, respectively. |
(4) | Includes senior securitized commercial mortgage loans of consolidated VIE with a carrying value of $0, $128.9 million, $187.2 million, $211.9 million and $262.7 million at December 31, 2016, September 30, 2016, June 30, 2016, March 31, 2016 and December 31, 2015, respectively. |
(5) |
Includes securitized debt of consolidated VIEs carried at fair value of $3.7 billion, $3.7 billion, $3.7 billion, $3.7 billion and $2.4 billion at December 31, 2016, September 30, 2016, June 30, 2016, March 31, 2016 and December 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
|
|||||||||||||||||||
December 31,
|
September 30,
|
June 30,
|
March 31,
|
December 31,
|
|||||||||||||||
2016
|
2016
|
2016
|
2016
|
2015
|
|||||||||||||||
Net interest income:
|
|||||||||||||||||||
Interest income
|
$
|
807,022
|
$
|
558,668
|
$
|
457,118
|
$
|
388,143
|
$
|
576,580
|
|||||||||
Interest expense
|
183,396
|
174,154
|
152,755
|
147,447
|
118,807
|
||||||||||||||
Net interest income
|
623,626
|
384,514
|
304,363
|
240,696
|
457,773
|
||||||||||||||
Realized and unrealized gains (losses):
|
|||||||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(103,872
|
)
|
(124,572
|
)
|
(130,762
|
)
|
(147,475
|
)
|
(159,487
|
)
|
|||||||||
Realized gains (losses) on termination of interest rate swaps
|
(55,214
|
)
|
1,337
|
(60,064
|
)
|
-
|
-
|
||||||||||||
Unrealized gains (losses) on interest rate swaps
|
1,430,668
|
256,462
|
(373,220
|
)
|
(1,031,720
|
)
|
463,126
|
||||||||||||
Subtotal
|
1,271,582
|
133,227
|
(564,046
|
)
|
(1,179,195
|
)
|
303,639
|
||||||||||||
Net gains (losses) on disposal of investments
|
7,782
|
14,447
|
12,535
|
(1,675
|
)
|
(7,259
|
)
|
||||||||||||
Net gains (losses) on trading assets
|
(139,470
|
)
|
162,981
|
81,880
|
125,189
|
42,584
|
|||||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings
|
110,742
|
29,675
|
(54,154
|
)
|
128
|
(62,703
|
)
|
||||||||||||
Bargain purchase gain
|
-
|
72,576
|
-
|
-
|
-
|
||||||||||||||
Subtotal
|
(20,946
|
)
|
279,679
|
40,261
|
123,642
|
(27,378
|
)
|
||||||||||||
Total realized and unrealized gains (losses)
|
1,250,636
|
412,906
|
(523,785
|
)
|
(1,055,553
|
)
|
276,261
|
||||||||||||
Other income (loss)
|
30,918
|
29,271
|
(9,930
|
)
|
(6,115
|
)
|
(10,447
|
)
|
|||||||||||
General and administrative expenses:
|
|||||||||||||||||||
Compensation and management fee
|
39,845
|
38,709
|
36,048
|
36,997
|
37,193
|
||||||||||||||
Other general and administrative expenses
|
15,608
|
59,028
|
13,173
|
10,948
|
10,643
|
||||||||||||||
Total general and administrative expenses
|
55,453
|
97,737
|
49,221
|
47,945
|
47,836
|
||||||||||||||
Income (loss) before income taxes
|
1,849,727
|
728,954
|
(278,573
|
)
|
(868,917
|
)
|
675,751
|
||||||||||||
Income taxes
|
1,244
|
(1,926
|
)
|
(76
|
)
|
(837
|
)
|
6,085
|
|||||||||||
Net income (loss)
|
1,848,483
|
730,880
|
(278,497
|
)
|
(868,080
|
)
|
669,666
|
||||||||||||
Net income (loss) attributable to noncontrolling interest
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
(162
|
)
|
(373
|
)
|
|||||||||
Net income (loss) attributable to Annaly
|
1,848,570
|
731,216
|
(278,112
|
)
|
(867,918
|
)
|
670,039
|
||||||||||||
Dividends on preferred stock
|
23,473
|
22,803
|
17,992
|
17,992
|
17,992
|
||||||||||||||
Net income (loss) available (related) to common stockholders
|
$
|
1,825,097
|
$
|
708,413
|
$
|
(296,104
|
)
|
$
|
(885,910
|
)
|
$
|
652,047
|
|||||||
Net income (loss) per share available (related) to common stockholders:
|
|||||||||||||||||||
Basic
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
$
|
(0.96
|
)
|
$
|
0.69
|
|||||||
Diluted
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
$
|
(0.96
|
)
|
$
|
0.69
|
|||||||
Weighted average number of common shares outstanding:
|
|||||||||||||||||||
Basic
|
1,018,886,380
|
1,007,607,893
|
924,887,316
|
926,813,588
|
945,072,058
|
||||||||||||||
Diluted
|
1,019,251,111
|
1,007,963,406
|
924,887,316
|
926,813,588
|
945,326,098
|
||||||||||||||
Net income (loss)
|
$
|
1,848,483
|
$
|
730,880
|
$
|
(278,497
|
)
|
$
|
(868,080
|
)
|
$
|
669,666
|
|||||||
Other comprehensive income (loss):
|
|||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
(2,206,288
|
)
|
18,237
|
483,930
|
1,017,707
|
(648,106
|
)
|
||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
718
|
(15,606
|
)
|
(7,250
|
)
|
255
|
7,655
|
||||||||||||
Other comprehensive income (loss)
|
(2,205,570
|
)
|
2,631
|
476,680
|
1,017,962
|
(640,451
|
)
|
||||||||||||
Comprehensive income (loss)
|
(357,087
|
)
|
733,511
|
198,183
|
149,882
|
29,215
|
|||||||||||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
(162
|
)
|
(373
|
)
|
|||||||||
Comprehensive income (loss) attributable to Annaly
|
$
|
(357,000
|
)
|
$
|
733,847
|
$
|
198,568
|
$
|
150,044
|
$
|
29,588
|
(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.
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
||||||||
(dollars in thousands, except per share data)
|
||||||||
For the years ended
|
||||||||
December 31,
|
December 31,
|
|||||||
2016
|
2015 (1)
|
|||||||
(Unaudited)
|
||||||||
Net interest income:
|
||||||||
Interest income
|
$
|
2,210,951
|
$
|
2,170,697
|
||||
Interest expense
|
657,752
|
471,596
|
||||||
Net interest income
|
1,553,199
|
1,699,101
|
||||||
Realized and unrealized gains (losses):
|
||||||||
Realized gains (losses) on interest rate swaps(2)
|
(506,681
|
)
|
(624,495
|
)
|
||||
Realized gains (losses) on termination of interest rate swaps
|
(113,941
|
)
|
(226,462
|
)
|
||||
Unrealized gains (losses) on interest rate swaps
|
282,190
|
(124,869
|
)
|
|||||
Subtotal
|
(338,432
|
)
|
(975,826
|
)
|
||||
Net gains (losses) on disposal of investments
|
33,089
|
50,987
|
||||||
Net gains (losses) on trading assets
|
230,580
|
29,623
|
||||||
Net unrealized gains (losses) on investments measured at fair value through earnings
|
86,391
|
(103,169
|
)
|
|||||
Bargain purchase gain
|
72,576
|
-
|
||||||
Impairment of goodwill
|
-
|
(22,966
|
)
|
|||||
Subtotal
|
422,636
|
(45,525
|
)
|
|||||
Total realized and unrealized gains (losses)
|
84,204
|
(1,021,351
|
)
|
|||||
Other income (loss):
|
||||||||
Investment advisory income
|
-
|
24,848
|
||||||
Dividend income from affiliate
|
-
|
8,636
|
||||||
Other income (loss)
|
44,144
|
(47,201
|
)
|
|||||
Total other income (loss)
|
44,144
|
(13,717
|
)
|
|||||
General and administrative expenses:
|
||||||||
Compensation and management fee
|
151,599
|
150,286
|
||||||
Other general and administrative expenses
|
98,757
|
49,954
|
||||||
Total general and administrative expenses
|
250,356
|
200,240
|
||||||
Income (loss) before income taxes
|
1,431,191
|
463,793
|
||||||
Income taxes
|
(1,595
|
)
|
(1,954
|
)
|
||||
Net income (loss)
|
1,432,786
|
465,747
|
||||||
Net income (loss) attributable to noncontrolling interest
|
(970
|
)
|
(809
|
)
|
||||
Net income (loss) attributable to Annaly
|
1,433,756
|
466,556
|
||||||
Dividends on preferred stock
|
82,260
|
71,968
|
||||||
Net income (loss) available (related) to common stockholders
|
$
|
1,351,496
|
$
|
394,588
|
||||
Net income (loss) per share available (related) to common stockholders:
|
||||||||
Basic
|
$
|
1.39
|
$
|
0.42
|
||||
Diluted
|
$
|
1.39
|
$
|
0.42
|
||||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
969,787,583
|
947,062,099
|
||||||
Diluted
|
970,102,353
|
947,276,742
|
||||||
Net income (loss)
|
$
|
1,432,786
|
$
|
465,747
|
||||
Other comprehensive income (loss):
|
||||||||
Unrealized gains (losses) on available-for-sale securities
|
(686,414
|
)
|
(531,952
|
)
|
||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
(21,883
|
)
|
(50,527
|
)
|
||||
Other comprehensive income (loss)
|
(708,297
|
)
|
(582,479
|
)
|
||||
Comprehensive income (loss)
|
724,489
|
(116,732
|
)
|
|||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(970
|
)
|
(809
|
)
|
||||
Comprehensive income (loss) attributable to Annaly
|
$
|
725,459
|
$
|
(115,923
|
)
|
(1) |
Derived from the audited consolidated financial statements at December 31, 2015.
|
(2) |
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.
|
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
|||||||||
Portfolio Related Metrics:
|
|||||||||||
Fixed-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
83
|
%
|
81
|
%
|
93
|
%
|
|||||
Adjustable-rate and floating-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
17
|
%
|
19
|
%
|
7
|
%
|
|||||
Weighted average experienced CPR for the period
|
15.6
|
%
|
15.9
|
%
|
9.7
|
%
|
|||||
Weighted average projected long-term CPR at period end
|
10.1
|
%
|
14.4
|
%
|
8.8
|
%
|
|||||
Liabilities and Hedging Metrics:
|
|||||||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end
|
96
|
128
|
151
|
||||||||
Hedge ratio (1)
|
56
|
%
|
52
|
%
|
55
|
%
|
|||||
Weighted average pay rate on interest rate swaps at period-end (2)
|
2.22
|
%
|
2.25
|
%
|
2.26
|
%
|
|||||
Weighted average receive rate on interest rate swaps at period-end (2)
|
1.02
|
%
|
0.88
|
%
|
0.53
|
%
|
|||||
Weighted average net rate on interest rate swaps at period-end (2)
|
1.20
|
%
|
1.37
|
%
|
1.73
|
%
|
|||||
Leverage at period-end (3)
|
5.8:1
|
5.3:1
|
5.1:1
|
||||||||
Economic leverage at period-end (4)
|
6.4:1
|
6.1:1
|
6.0:1
|
||||||||
Capital ratio at period-end
|
13.1
|
%
|
13.3
|
%
|
13.7
|
%
|
|||||
Performance Related Metrics:
|
|||||||||||
Book value per common share
|
$
|
11.16
|
$
|
11.83
|
$
|
11.73
|
|||||
GAAP net income (loss) per common share
|
$
|
1.79
|
$
|
0.70
|
$
|
0.69
|
|||||
Core earnings per common share (unrevised - excluding PAA)*
|
$
|
0.30
|
$
|
0.29
|
$
|
0.31
|
|||||
Less: PAA cost (benefit)
|
(0.23
|
)
|
-
|
(0.02
|
)
|
||||||
Core earnings per common share (revised - including PAA)*
|
$
|
0.53
|
$
|
0.29
|
$
|
0.33
|
|||||
Annualized return (loss) on average equity
|
57.23
|
%
|
23.55
|
%
|
22.15
|
%
|
|||||
Annualized core return on average equity (unrevised - excluding PAA)*
|
10.13
|
%
|
10.09
|
%
|
10.30
|
%
|
|||||
Annualized core return on average equity (revised - including PAA)*
|
17.53
|
%
|
10.09
|
%
|
10.89
|
%
|
|||||
Net interest margin
|
2.49
|
%
|
1.40
|
%
|
1.80
|
%
|
|||||
Core net interest margin (excluding PAA)*
|
1.53
|
%
|
1.42
|
%
|
1.71
|
%
|
|||||
Average yield on interest earning assets (5)
|
3.81
|
%
|
2.70
|
%
|
3.15
|
%
|
|||||
Core average yield on interest earning assets (excluding PAA)* (6)
|
2.68
|
%
|
2.72
|
%
|
3.05
|
%
|
|||||
Average cost of interest bearing liabilities (6)
|
1.53
|
%
|
1.57
|
%
|
1.68
|
%
|
|||||
Net interest spread
|
2.28
|
%
|
1.13
|
%
|
1.47
|
%
|
|||||
Core net interest spread (excluding PAA)*
|
1.15
|
%
|
1.15
|
%
|
1.37
|
%
|
* | Represents a non-GAAP financial measure. Please refer to the ‘Non-GAAP Financial Measures’ section for additional information. |
(1) | Measures total notional balances of interest rate swaps, interest rate swaptions and futures relative to repurchase agreements, other secured financing and TBA notional outstanding. |
(2) | Excludes forward starting swaps. |
(3) | 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. |
(4) | Computed as the sum of recourse debt, TBA derivative notional outstanding and net forward purchases of investments divided by total equity. |
(5) |
Average interest earning assets reflects the average amortized cost of our investments during the period.
|
(6) |
Includes interest expense on interest rate swaps used to hedge cost of funds.
|
·
|
core earnings;
|
·
|
core earnings per average common share;
|
·
|
annualized core return on average equity;
|
·
|
core interest income (excluding PAA);
|
·
|
economic interest expense;
|
·
|
economic core net interest income (excluding PAA);
|
·
|
core average yield on interest earning assets (excluding PAA);
|
·
|
core net interest margin (excluding PAA); and
|
·
|
core net interest spread (excluding PAA).
|
For the quarters ended
|
||||||||||||
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
(dollars in thousands)
|
||||||||||||
GAAP net income (loss)
|
$
|
1,848,483
|
$
|
730,880
|
$
|
669,666
|
||||||
Less:
|
||||||||||||
Realized (gains) losses on termination of interest rate swaps
|
55,214
|
(1,337
|
)
|
-
|
||||||||
Unrealized (gains) losses on interest rate swaps
|
(1,430,668
|
)
|
(256,462
|
)
|
(463,126
|
)
|
||||||
Net (gains) losses on disposal of investments
|
(7,782
|
)
|
(14,447
|
)
|
7,259
|
|||||||
Net (gains) losses on trading assets
|
139,470
|
(162,981
|
)
|
(42,584
|
)
|
|||||||
Net unrealized (gains) losses on investments measured at fair value through earnings
|
(110,742
|
)
|
(29,675
|
)
|
62,703
|
|||||||
Bargain purchase gain
|
-
|
(72,576
|
)
|
-
|
||||||||
Corporate acquisition related expenses (1)
|
-
|
46,724
|
-
|
|||||||||
Net (income) loss attributable to noncontrolling interest
|
87
|
336
|
373
|
|||||||||
Premium amortization adjustment cost (benefit)
|
(238,941
|
)
|
3,891
|
(18,072
|
)
|
|||||||
Plus:
|
||||||||||||
TBA dollar roll income (2)
|
98,896
|
90,174
|
94,914
|
|||||||||
MSR amortization (3)
|
(27,018
|
)
|
(21,634
|
)
|
-
|
|||||||
Core earnings (unrevised - excluding PAA)*
|
326,999
|
312,893
|
311,133
|
|||||||||
Add back:
|
||||||||||||
Premium amortization adjustment
|
238,941
|
(3,891
|
)
|
18,072
|
||||||||
Core earnings (revised - including PAA)*
|
$
|
565,940
|
$
|
309,002
|
$
|
329,205
|
||||||
GAAP net income (loss) per average common share
|
$
|
1.79
|
$
|
0.70
|
$
|
0.69
|
||||||
Core earnings per average common share (unrevised - excluding PAA)*
|
$
|
0.30
|
$
|
0.29
|
$
|
0.31
|
||||||
Core earnings per average common share (revised - including PAA)*
|
$
|
0.53
|
$
|
0.29
|
$
|
0.33
|
||||||
Annualized GAAP return (loss) on average equity
|
57.23
|
%
|
23.55
|
%
|
22.15
|
%
|
||||||
Annualized core return on average equity (unrevised - excluding PAA)*
|
10.13
|
%
|
10.09
|
%
|
10.30
|
%
|
||||||
Annualized core return on average equity (revised - including PAA)*
|
17.53
|
%
|
10.09
|
%
|
10.89
|
%
|
For the years ended
|
||||||||
December 31, 2016
|
December 31, 2015
|
|||||||
(dollars in thousands)
|
||||||||
GAAP net income (loss)
|
$
|
1,432,786
|
$
|
465,747
|
||||
Less:
|
||||||||
Realized (gains) losses on termination of interest rate swaps
|
113,941
|
226,462
|
||||||
Unrealized (gains) losses on interest rate swaps
|
(282,190
|
)
|
124,869
|
|||||
Net (gains) losses on disposal of investments
|
(33,089
|
)
|
(50,987
|
)
|
||||
Net (gains) losses on trading assets
|
(230,580
|
)
|
(29,623
|
)
|
||||
Net unrealized (gains) losses on investments measured at fair value through earnings
|
(86,391
|
)
|
103,169
|
|||||
Bargain purchase gain
|
(72,576
|
)
|
-
|
|||||
Impairment of goodwill
|
-
|
22,966
|
||||||
Corporate acquisition related expenses (1)
|
48,887
|
-
|
||||||
Net (income) loss attributable to noncontrolling interest
|
970
|
809
|
||||||
Premium amortization adjustment cost (benefit)
|
18,941
|
73,365
|
||||||
Plus:
|
||||||||
TBA dollar roll income (2)
|
351,778
|
348,531
|
||||||
MSR amortization (3)
|
(48,652
|
)
|
-
|
|||||
Core earnings (unrevised - excluding PAA)*
|
1,213,825
|
1,285,308
|
||||||
Add back:
|
||||||||
Premium amortization adjustment
|
(18,941
|
)
|
(73,365
|
)
|
||||
Core earnings (revised - including PAA)*
|
$
|
1,194,884
|
$
|
1,211,943
|
||||
GAAP net income (loss) per average common share
|
$
|
1.39
|
$
|
0.42
|
||||
Core earnings per average common share (unrevised - excluding PAA)*
|
$
|
1.17
|
$
|
1.28
|
||||
Core earnings per average common share (revised - including PAA)*
|
$
|
1.15
|
$
|
1.20
|
||||
Annualized GAAP return (loss) on average equity
|
11.75
|
%
|
3.73
|
%
|
||||
Annualized core return on average equity (unrevised - excluding PAA)*
|
9.96
|
%
|
10.17
|
%
|
||||
Annualized core return on average equity (revised - including PAA)*
|
9.81
|
%
|
9.59
|
%
|
* |
Represents a non-GAAP financial measure.
|
(1) | Represents non-recurring transaction costs incurred in connection with the Company’s acquisition of Hatteras Financial Corp. |
(2) |
Represents a component of Net gains (losses) on trading assets.
|
(3) |
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 investments measured at fair value.
|
For the quarters ended
|
||||||||||||
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
(dollars in thousands)
|
||||||||||||
Core Interest Income Reconciliation
|
||||||||||||
GAAP interest income
|
$
|
807,022
|
$
|
558,668
|
$
|
576,580
|
||||||
Premium amortization adjustment
|
(238,941
|
)
|
3,891
|
(18,072
|
)
|
|||||||
Core interest income (excluding PAA)*
|
$
|
568,081
|
$
|
562,559
|
$
|
558,508
|
||||||
Economic Interest Expense Reconciliation
|
||||||||||||
GAAP interest expense
|
$
|
183,396
|
$
|
174,154
|
$
|
118,807
|
||||||
Add:
|
||||||||||||
Interest expense on interest rate swaps used to hedge cost of funds
|
92,841
|
103,100
|
135,267
|
|||||||||
Economic interest expense*
|
$
|
276,237
|
$
|
277,254
|
$
|
254,074
|
||||||
Economic Core Net Interest Income Reconciliation
|
||||||||||||
Core interest income (excluding PAA)*
|
$
|
568,081
|
$
|
562,559
|
$
|
558,508
|
||||||
Less:
|
||||||||||||
Economic interest expense*
|
276,237
|
277,254
|
254,074
|
|||||||||
Economic core net interest income (excluding PAA)*
|
$
|
291,844
|
$
|
285,305
|
$
|
304,434
|
* |
Represents a non-GAAP financial measure.
|
For the quarters ended
|
||||||||||||
December 31, 2016
|
September 30, 2016
|
December 31, 2015
|
||||||||||
Economic Core Metrics
|
(dollars in thousands)
|
|||||||||||
Core interest income (excluding PAA)*
|
$
|
568,081
|
$
|
562,559
|
$
|
558,508
|
||||||
Average interest earning assets
|
$
|
84,799,222
|
$
|
82,695,270
|
$
|
73,178,965
|
||||||
Core average yield on interest earning assets (excluding PAA)*
|
2.68
|
%
|
2.72
|
%
|
3.05
|
%
|
||||||
Economic interest expense*
|
$
|
276,237
|
$
|
277,254
|
$
|
254,074
|
||||||
Average interest bearing liabilities
|
$
|
72,032,600
|
$
|
70,809,712
|
$
|
60,516,996
|
||||||
Average cost of interest bearing liabilities
|
1.53
|
%
|
1.57
|
%
|
1.68
|
%
|
||||||
Core net interest spread (excluding PAA)*
|
1.15
|
%
|
1.15
|
%
|
1.37
|
%
|
||||||
Core net interest margin (excluding PAA)*
|
1.53
|
%
|
1.42
|
%
|
1.71
|
%
|
* |
Represents a non-GAAP financial measure.
|
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