|
Annaly Capital Management, Inc.
|
|
|
(Exact Name of Registrant as Specified in its Charter)
|
|
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)
|
|
(d)
|
Exhibits
|
|
|
|
|
99.1
|
Press Release, dated May 3, 2017, issued by Annaly Capital Management, Inc.
|
|
|
|
|
99.2
|
First Quarter 2017 Financial Summary
|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. | |||
|
By:
|
/s/ Glenn A. Votek | |
Name: | Glenn A. Votek | ||
Title: | Chief Financial Officer | ||
|
![]() |
·
|
Improvement in earnings quality and growth in book value for the quarter ended March 31, 2017
|
·
|
GAAP net income was $440.4 million, $0.41 per average common share
|
·
|
Core earnings was $318.0 million, $0.29 per average common share, which was reduced by a premium amortization adjustment ("PAA") cost of $0.02 per average common share. Comparatively, core earnings for the fourth quarter of 2016 was $0.53 per average common share, which was increased by a PAA benefit of $0.23 per average common share for that period
|
·
|
Common stock book value per share increased to $11.23 as compared to $11.16 per share at December 31, 2016
|
·
|
Declared common dividend of $0.30 for the 14th consecutive fiscal quarter
|
·
|
GAAP return on average equity was 13.97% and core return on average equity was 10.09%
|
·
|
Economic leverage decreased to 6.1x as compared to 6.4x at December 31, 2016
|
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
Book value per common share
|
$
|
11.23
|
$
|
11.16
|
$
|
11.61
|
||||||
Economic leverage at period-end (1)
|
6.1:1
|
6.4:1
|
6.2:1
|
|||||||||
GAAP net income (loss) per average common share
|
$
|
0.41
|
$
|
1.79
|
$
|
(0.96
|
)
|
|||||
Core earnings per average common share (2)*
|
$
|
0.29
|
$
|
0.53
|
$
|
0.11
|
||||||
PAA cost (benefit) per average common share
|
$
|
0.02
|
$
|
(0.23
|
)
|
$
|
0.19
|
|||||
Annualized return (loss) on average equity
|
13.97
|
%
|
57.23
|
%
|
(29.47
|
%)
|
||||||
Annualized core return on average equity *
|
10.09
|
%
|
17.53
|
%
|
4.19
|
%
|
||||||
Net interest margin (3)
|
1.47
|
%
|
2.49
|
%
|
0.79
|
%
|
||||||
Net interest spread
|
1.15
|
%
|
2.28
|
%
|
0.36
|
%
|
||||||
Average yield on interest earning assets
|
2.74
|
%
|
3.81
|
%
|
2.09
|
%
|
*
|
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, to-be-announced ("TBA") derivative notional outstanding and net forward purchases of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing. Securitized debt, participation sold and mortgages payable are non-recourse to the Company and are excluded from this measure.
|
(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 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 TBA 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 TBA 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, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||||||||||||||
As reported
|
PAA impact: cost / (benefit)
|
As reported
|
PAA impact: cost / (benefit)
|
As reported
|
PAA impact: cost / (benefit)
|
|||||||||||||||||||
Annualized core return on average equity *
|
10.09
|
%
|
0.57
|
%
|
17.53
|
%
|
(7.40
|
%)
|
4.19
|
%
|
5.72
|
%
|
||||||||||||
Net interest margin
|
1.47
|
%
|
0.08
|
%
|
2.49
|
%
|
(0.96
|
%)
|
0.79
|
%
|
0.75
|
%
|
||||||||||||
Net interest spread
|
1.15
|
%
|
0.09
|
%
|
2.28
|
%
|
(1.13
|
%)
|
0.36
|
%
|
0.91
|
%
|
||||||||||||
Average yield on interest earning assets
|
2.74
|
%
|
0.09
|
%
|
3.81
|
%
|
(1.13
|
%)
|
2.09
|
%
|
0.91
|
%
|
* Represents a non-GAAP financial measure. Please refer to the 'Non-GAAP Financial Measures' section for additional information.
|
For the quarters ended
|
||||||||||||
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
(dollars in thousands)
|
||||||||||||
Premium amortization expense (accretion)
|
$
|
203,634
|
$
|
(19,812
|
)
|
$
|
355,671
|
|||||
Less: PAA cost (benefit)
|
17,870
|
(238,941
|
)
|
168,408
|
||||||||
Premium amortization expense exclusive of PAA
|
$
|
185,764
|
$
|
219,129
|
$
|
187,263
|
||||||
For the quarters ended
|
||||||||||||
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
(per average common share)
|
||||||||||||
Premium amortization expense (accretion)
|
$
|
0.20
|
$
|
(0.02
|
)
|
$
|
0.38
|
|||||
Less: PAA cost (benefit)
|
0.02
|
(0.23
|
)
|
0.19
|
||||||||
Premium amortization expense exclusive of PAA
|
$
|
0.18
|
$
|
0.21
|
$
|
0.19
|
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,
|
||||||||||||||||
2017(1)
|
2016(2)
|
2016
|
2016
|
2016
|
||||||||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
|||||||||||||||||
ASSETS
|
||||||||||||||||||||
Cash and cash equivalents
|
$
|
819,421
|
$
|
1,539,746
|
$
|
2,382,188
|
$
|
2,735,250
|
$
|
2,416,136
|
||||||||||
Investments, at fair value:
|
||||||||||||||||||||
Agency mortgage-backed securities
|
72,708,490
|
75,589,873
|
73,476,105
|
64,862,992
|
65,439,824
|
|||||||||||||||
Agency debentures
|
-
|
-
|
-
|
-
|
157,035
|
|||||||||||||||
Credit risk transfer securities
|
686,943
|
724,722
|
669,295
|
520,321
|
501,167
|
|||||||||||||||
Non-Agency mortgage-backed securities
|
1,409,093
|
1,401,307
|
1,460,261
|
1,197,549
|
1,157,507
|
|||||||||||||||
Residential mortgage loans (3)
|
682,416
|
342,289
|
310,148
|
-
|
-
|
|||||||||||||||
Mortgage servicing rights
|
632,166
|
652,216
|
492,169
|
-
|
-
|
|||||||||||||||
Commercial real estate debt investments (4)
|
4,102,613
|
4,321,739
|
4,319,077
|
4,361,972
|
4,401,725
|
|||||||||||||||
Commercial real estate debt and preferred equity, held for investment (5)
|
985,091
|
970,505
|
1,070,197
|
1,137,971
|
1,177,468
|
|||||||||||||||
Commercial loans held for sale, net
|
-
|
114,425
|
144,275
|
164,175
|
278,600
|
|||||||||||||||
Investments in commercial real estate
|
462,760
|
474,567
|
500,027
|
504,605
|
527,786
|
|||||||||||||||
Corporate debt
|
841,265
|
773,274
|
716,831
|
669,612
|
639,481
|
|||||||||||||||
Interest rate swaps, at fair value
|
19,195
|
68,194
|
113,253
|
146,285
|
93,312
|
|||||||||||||||
Other derivatives, at fair value
|
196,935
|
171,266
|
87,921
|
137,490
|
77,449
|
|||||||||||||||
Receivable for investments sold
|
354,126
|
51,461
|
493,839
|
697,943
|
2,220
|
|||||||||||||||
Accrued interest and dividends receivable
|
266,887
|
270,400
|
260,583
|
227,225
|
232,180
|
|||||||||||||||
Other assets
|
388,224
|
333,063
|
301,419
|
237,959
|
234,407
|
|||||||||||||||
Goodwill
|
71,815
|
71,815
|
71,815
|
71,815
|
71,815
|
|||||||||||||||
Intangible assets, net
|
31,517
|
34,184
|
39,903
|
43,306
|
35,853
|
|||||||||||||||
Total assets
|
$
|
84,658,957
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
$
|
77,443,965
|
||||||||||
LIABILITIES AND STOCKHOLDERS' EQUITY
|
||||||||||||||||||||
Liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
$
|
62,719,087
|
$
|
65,215,810
|
$
|
61,784,121
|
$
|
53,868,385
|
$
|
54,448,141
|
||||||||||
Other secured financing
|
3,876,150
|
3,884,708
|
3,804,742
|
3,588,326
|
3,588,326
|
|||||||||||||||
Securitized debt of consolidated VIEs (6)
|
3,477,059
|
3,655,802
|
3,712,821
|
3,748,289
|
3,802,682
|
|||||||||||||||
Participation sold
|
12,760
|
12,869
|
12,976
|
13,079
|
13,182
|
|||||||||||||||
Mortgages payable
|
311,707
|
311,636
|
327,632
|
327,643
|
334,765
|
|||||||||||||||
Interest rate swaps, at fair value
|
572,419
|
1,443,765
|
2,919,492
|
3,208,986
|
2,782,961
|
|||||||||||||||
Other derivatives, at fair value
|
52,496
|
86,437
|
73,445
|
154,017
|
69,171
|
|||||||||||||||
Dividends payable
|
305,691
|
305,674
|
269,111
|
277,479
|
277,456
|
|||||||||||||||
Payable for investments purchased
|
340,383
|
65,041
|
454,237
|
746,090
|
250,612
|
|||||||||||||||
Accrued interest payable
|
182,478
|
163,013
|
173,320
|
159,435
|
163,983
|
|||||||||||||||
Accounts payable and other liabilities
|
161,378
|
184,319
|
115,606
|
62,868
|
54,679
|
|||||||||||||||
Total liabilities
|
72,011,608
|
75,329,074
|
73,647,503
|
66,154,597
|
65,785,958
|
|||||||||||||||
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
|
287,500
|
-
|
-
|
|||||||||||||||
Common stock, par value $0.01 per share, 1,945,437,500, 1,945,437,500, 1,945,437,500, 1,956,937,500 and 1,956,937,500 authorized, 1,018,971,441, 1,018,913,249, 1,018,857,866, 924,929,607 and 924,853,133 issued and outstanding, respectively
|
10,190
|
10,189
|
10,189
|
9,249
|
9,249
|
|||||||||||||||
Additional paid-in capital
|
15,580,038
|
15,579,342
|
15,578,677
|
14,575,426
|
14,573,760
|
|||||||||||||||
Accumulated other comprehensive income (loss)
|
(1,126,091
|
)
|
(1,085,893
|
)
|
1,119,677
|
1,117,046
|
640,366
|
|||||||||||||
Accumulated deficit
|
(3,024,670
|
)
|
(3,136,017
|
)
|
(4,655,440
|
)
|
(5,061,565
|
)
|
(4,487,982
|
)
|
||||||||||
Total stockholders' equity
|
12,640,026
|
12,568,180
|
13,253,662
|
11,553,215
|
11,648,452
|
|||||||||||||||
Noncontrolling interest
|
7,323
|
7,792
|
8,141
|
8,658
|
9,555
|
|||||||||||||||
Total equity
|
12,647,349
|
12,575,972
|
13,261,803
|
11,561,873
|
11,658,007
|
|||||||||||||||
Total liabilities and equity
|
$
|
84,658,957
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
$
|
77,443,965
|
(1)
|
As a result of a change to a clearing organization's rulebook effective January 3, 2017, beginning with the first quarter 2017 the Company is presenting the fair value of centrally cleared interest rate swaps adjusted for $673.2 million of variation margin. The variation margin was previously reported under cash and cash equivalents and is currently reported as a reduction to interest rate swaps, at fair value. Prior period balances will not be adjusted.
|
(2)
|
Derived from the audited consolidated financial statements at December 31, 2016.
|
(3)
|
Includes securitized mortgage loans of a consolidated variable interest entity ("VIE") carried at fair value of $155.6 million, $165.9 million and $176.7 million at March 31, 2017, December 31, 2016 and September 30, 2016, respectively.
|
(4)
|
Includes senior securitized commercial mortgage loans of consolidated VIEs with a carrying value of $3.7 billion, $3.9 billion, $4.0 billion, $4.0 billion and $4.0 billion at March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016, respectively.
|
(5)
|
Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $0, $0, $128.9 million, $187.2 million and $211.9 million at March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016, respectively.
|
(6)
|
Includes securitized debt of consolidated VIEs carried at fair value of $3.5 billion, $3.7 billion, $3.7 billion, $3.7 billion and $3.7 billion at March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016, 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,
|
|||||||||||||||
2017
|
2016
|
2016
|
2016
|
2016
|
||||||||||||||||
Net interest income:
|
||||||||||||||||||||
Interest income
|
$
|
587,727
|
$
|
807,022
|
$
|
558,668
|
$
|
457,118
|
$
|
388,143
|
||||||||||
Interest expense
|
198,425
|
183,396
|
174,154
|
152,755
|
147,447
|
|||||||||||||||
Net interest income
|
389,302
|
623,626
|
384,514
|
304,363
|
240,696
|
|||||||||||||||
Realized and unrealized gains (losses):
|
||||||||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(104,156
|
)
|
(103,872
|
)
|
(124,572
|
)
|
(130,762
|
)
|
(147,475
|
)
|
||||||||||
Realized gains (losses) on termination of interest rate swaps
|
-
|
(55,214
|
)
|
1,337
|
(60,064
|
)
|
-
|
|||||||||||||
Unrealized gains (losses) on interest rate swaps
|
149,184
|
1,430,668
|
256,462
|
(373,220
|
)
|
(1,031,720
|
)
|
|||||||||||||
Subtotal
|
45,028
|
1,271,582
|
133,227
|
(564,046
|
)
|
(1,179,195
|
)
|
|||||||||||||
Net gains (losses) on disposal of investments
|
5,235
|
7,782
|
14,447
|
12,535
|
(1,675
|
)
|
||||||||||||||
Net gains (losses) on trading assets
|
319
|
(139,470
|
)
|
162,981
|
81,880
|
125,189
|
||||||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings
|
23,683
|
110,742
|
29,675
|
(54,154
|
)
|
128
|
||||||||||||||
Bargain purchase gain
|
-
|
-
|
72,576
|
-
|
-
|
|||||||||||||||
Subtotal
|
29,237
|
(20,946
|
)
|
279,679
|
40,261
|
123,642
|
||||||||||||||
Total realized and unrealized gains (losses)
|
74,265
|
1,250,636
|
412,906
|
(523,785
|
)
|
(1,055,553
|
)
|
|||||||||||||
Other income (loss)
|
31,646
|
30,918
|
29,271
|
(9,930
|
)
|
(6,115
|
)
|
|||||||||||||
General and administrative expenses:
|
||||||||||||||||||||
Compensation and management fee
|
39,262
|
39,845
|
38,709
|
36,048
|
36,997
|
|||||||||||||||
Other general and administrative expenses
|
14,566
|
15,608
|
59,028
|
13,173
|
10,948
|
|||||||||||||||
Total general and administrative expenses
|
53,828
|
55,453
|
97,737
|
49,221
|
47,945
|
|||||||||||||||
Income (loss) before income taxes
|
441,385
|
1,849,727
|
728,954
|
(278,573
|
)
|
(868,917
|
)
|
|||||||||||||
Income taxes
|
977
|
1,244
|
(1,926
|
)
|
(76
|
)
|
(837
|
)
|
||||||||||||
Net income (loss)
|
440,408
|
1,848,483
|
730,880
|
(278,497
|
)
|
(868,080
|
)
|
|||||||||||||
Net income (loss) attributable to noncontrolling interest
|
(103
|
)
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
(162
|
)
|
||||||||||
Net income (loss) attributable to Annaly
|
440,511
|
1,848,570
|
731,216
|
(278,112
|
)
|
(867,918
|
)
|
|||||||||||||
Dividends on preferred stock
|
23,473
|
23,473
|
22,803
|
17,992
|
17,992
|
|||||||||||||||
Net income (loss) available (related) to common stockholders
|
$
|
417,038
|
$
|
1,825,097
|
$
|
708,413
|
$
|
(296,104
|
)
|
$
|
(885,910
|
)
|
||||||||
Net income (loss) per share available (related) to common stockholders:
|
||||||||||||||||||||
Basic
|
$
|
0.41
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
$
|
(0.96
|
)
|
||||||||
Diluted
|
$
|
0.41
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
$
|
(0.96
|
)
|
||||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||||||
Basic
|
1,018,942,746
|
1,018,886,380
|
1,007,607,893
|
924,887,316
|
926,813,588
|
|||||||||||||||
Diluted
|
1,019,307,379
|
1,019,251,111
|
1,007,963,406
|
924,887,316
|
926,813,588
|
|||||||||||||||
Net income (loss)
|
$
|
440,408
|
$
|
1,848,483
|
$
|
730,880
|
$
|
(278,497
|
)
|
$
|
(868,080
|
)
|
||||||||
Other comprehensive income (loss):
|
||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
(59,615
|
)
|
(2,206,288
|
)
|
18,237
|
483,930
|
1,017,707
|
|||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
19,417
|
718
|
(15,606
|
)
|
(7,250
|
)
|
255
|
|||||||||||||
Other comprehensive income (loss)
|
(40,198
|
)
|
(2,205,570
|
)
|
2,631
|
476,680
|
1,017,962
|
|||||||||||||
Comprehensive income (loss)
|
400,210
|
(357,087
|
)
|
733,511
|
198,183
|
149,882
|
||||||||||||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(103
|
)
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
(162
|
)
|
||||||||||
Comprehensive income (loss) attributable to Annaly
|
$
|
400,313
|
$
|
(357,000
|
)
|
$
|
733,847
|
$
|
198,568
|
$
|
150,044
|
(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.
|
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
Portfolio Related Metrics:
|
||||||||||||
Fixed-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
85
|
%
|
83
|
%
|
93
|
%
|
||||||
Adjustable-rate and floating-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
15
|
%
|
17
|
%
|
7
|
%
|
||||||
Weighted average experienced CPR for the period
|
11.5
|
%
|
15.6
|
%
|
8.8
|
%
|
||||||
Weighted average projected long-term CPR at period-end
|
10.0
|
%
|
10.1
|
%
|
11.8
|
%
|
||||||
Liabilities and Hedging Metrics:
|
||||||||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end
|
88
|
96
|
136
|
|||||||||
Hedge ratio (1)
|
63
|
%
|
56
|
%
|
51
|
%
|
||||||
Weighted average pay rate on interest rate swaps at period-end (2)
|
2.25
|
%
|
2.22
|
%
|
2.26
|
%
|
||||||
Weighted average receive rate on interest rate swaps at period-end (2)
|
1.15
|
%
|
1.02
|
%
|
0.69
|
%
|
||||||
Weighted average net rate on interest rate swaps at period-end (2)
|
1.10
|
%
|
1.20
|
%
|
1.57
|
%
|
||||||
Leverage at period-end (3)
|
5.6:1
|
5.8:1
|
5.3:1
|
|||||||||
Economic leverage at period-end (4)
|
6.1:1
|
6.4:1
|
6.2:1
|
|||||||||
Capital ratio at period-end
|
13.8
|
%
|
13.1
|
%
|
13.2
|
%
|
Performance Related Metrics:
|
||||||||||||
Book value per common share
|
$
|
11.23
|
$
|
11.16
|
$
|
11.61
|
||||||
GAAP net income (loss) per average common share
|
$
|
0.41
|
$
|
1.79
|
$
|
(0.96
|
)
|
|||||
Core earnings per average common share *
|
$
|
0.29
|
$
|
0.53
|
$
|
0.11
|
||||||
PAA cost (benefit) per average common share
|
$
|
0.02
|
$
|
(0.23
|
)
|
$
|
0.19
|
|||||
Dividend declared per common share
|
$
|
0.30
|
$
|
0.30
|
$
|
0.30
|
||||||
Annualized dividend yield (5)
|
10.80
|
%
|
12.04
|
%
|
11.70
|
%
|
||||||
Annualized return (loss) on average equity
|
13.97
|
%
|
57.23
|
%
|
(29.47
|
%)
|
||||||
Annualized core return on average equity *
|
10.09
|
%
|
17.53
|
%
|
4.19
|
%
|
||||||
Net interest margin
|
1.47
|
%
|
2.49
|
%
|
0.79
|
%
|
||||||
Average yield on interest earning assets (6)
|
2.74
|
%
|
3.81
|
%
|
2.09
|
%
|
||||||
Average cost of interest bearing liabilities (7)
|
1.59
|
%
|
1.53
|
%
|
1.73
|
%
|
||||||
Net interest spread
|
1.15
|
%
|
2.28
|
%
|
0.36
|
%
|
*
|
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, 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)
|
Based on the closing price of the Company's common stock of $11.11, $9.97 and $10.26 at March 31, 2017, December 31, 2016 and March 31, 2016, respectively.
|
(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. |
·
|
core earnings;
|
·
|
core earnings per average common share;
|
·
|
annualized core return on average equity;
|
·
|
economic interest expense; and
|
·
|
economic net interest income.
|
For the quarters ended
|
||||||||||||
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
GAAP net income (loss)
|
$
|
440,408
|
$
|
1,848,483
|
$
|
(868,080
|
)
|
|||||
Less:
|
||||||||||||
Realized (gains) losses on termination of interest rate swaps
|
-
|
55,214
|
-
|
|||||||||
Unrealized (gains) losses on interest rate swaps
|
(149,184
|
)
|
(1,430,668
|
)
|
1,031,720
|
|||||||
Net (gains) losses on disposal of investments
|
(5,235
|
)
|
(7,782
|
)
|
1,675
|
|||||||
Net (gains) losses on trading assets
|
(319
|
)
|
139,470
|
(125,189
|
)
|
|||||||
Net unrealized (gains) losses on investments measured at fair value through earnings
|
(23,683
|
)
|
(110,742
|
)
|
(128
|
)
|
||||||
Net (income) loss attributable to noncontrolling interest
|
103
|
87
|
162
|
|||||||||
Plus:
|
||||||||||||
TBA dollar roll income (1)
|
69,968
|
98,896
|
83,189
|
|||||||||
MSR amortization (2)
|
(14,030
|
)
|
(27,018
|
)
|
-
|
|||||||
Core earnings *
|
$ |
318,028
|
$ |
565,940
|
$ |
123,349
|
||||||
GAAP net income (loss) per average common share
|
$
|
0.41
|
$
|
1.79
|
$
|
(0.96
|
)
|
|||||
Core earnings per average common share *
|
$
|
0.29
|
$
|
0.53
|
$
|
0.11
|
||||||
PAA cost (benefit) per average common share
|
$
|
0.02
|
$
|
(0.23
|
)
|
$
|
0.19
|
|||||
Annualized GAAP return (loss) on average equity
|
13.97
|
%
|
57.23
|
%
|
(29.47
|
%)
|
||||||
Annualized core return on average equity *
|
10.09
|
%
|
17.53
|
%
|
4.19
|
%
|
*
|
Represents a non-GAAP financial measure.
|
(1)
|
Represents a component of Net gains (losses) on trading assets.
|
(2)
|
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
|
||||||||||||
March 31, 2017
|
December 31, 2016
|
March 31, 2016
|
||||||||||
(dollars in thousands)
|
||||||||||||
Economic Interest Expense Reconciliation
|
||||||||||||
GAAP interest expense
|
$
|
198,425
|
$
|
183,396
|
$
|
147,447
|
||||||
Add:
|
||||||||||||
Interest expense on interest rate swaps used to hedge cost of funds
|
88,966
|
92,841
|
123,124
|
|||||||||
Economic interest expense*
|
$
|
287,391
|
$
|
276,237
|
$
|
270,571
|
||||||
Economic Net Interest Income Reconciliation
|
||||||||||||
GAAP interest income
|
$
|
587,727
|
$
|
807,022
|
$
|
388,143
|
||||||
Less:
|
||||||||||||
Economic interest expense*
|
287,391
|
276,237
|
270,571
|
|||||||||
Economic net interest income*
|
$
|
300,336
|
$
|
530,785
|
$
|
117,572
|
*
|
Represents a non-GAAP financial measure.
|
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