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
|
|
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Name:
|
Glenn A. Votek
|
|
|
Title:
|
Chief Financial Officer | |
|
|
|
|
|
|
|
|
|
|
|
·
|
GAAP net income was $14.5 million, ($0.01) loss per average common share
|
·
|
Core earnings (excluding PAA) were $332.6 million, $0.30 per average common share
|
·
|
GAAP return on average equity was 0.46% and core return on average equity (excluding PAA) was 10.54%
|
·
|
Book value per common share of $11.19
|
·
|
Economic leverage increased modestly to 6.4x as compared to 6.1x at March 31, 2017 and unchanged from December 31, 2016
|
·
|
Declared common stock dividend of $0.30 per share for the 15th consecutive fiscal quarter
|
·
|
Year-to-date annualized economic return of 11.3%
|
·
|
Successfully executed a $1.5 billion combination common and preferred stock capital raise
|
·
|
Announced redemption of 7.875% Series A Cumulative Redeemable Preferred Stock, lowering the economic cost of preferred capital by 30 bps
|
·
|
Increased stock ownership commitments from CEO, CIO, CLO, CCO and CFO to be achieved solely with open market purchases
|
·
|
Establishment of relationships with dedicated third party strategic partners across our four businesses, including Bayview Asset Management through the sale of Pingora Holdings; as well as with Pearlmark Real Estate Partners, through the acquisition of LP and GP interests in a Pearlmark fund
|
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
Book value per common share
|
$
|
11.19
|
$
|
11.23
|
$
|
11.50
|
||||||
Economic leverage at period-end (1)
|
6.4:1
|
6.1:1
|
6.1:1
|
|||||||||
GAAP net income (loss) per average common share (2)
|
$
|
(0.01
|
)
|
$
|
0.41
|
$
|
(0.32
|
)
|
||||
Core earnings (excluding PAA) per average common share *(2)(3)
|
$
|
0.30
|
$
|
0.31
|
$
|
0.29
|
||||||
Core earnings per average common share *(2)(3)
|
$
|
0.23
|
$
|
0.29
|
$
|
0.19
|
||||||
PAA cost (benefit) per average common share
|
$
|
0.07
|
$
|
0.02
|
$
|
0.10
|
||||||
Annualized return (loss) on average equity
|
0.46
|
%
|
13.97
|
%
|
(9.60
|
%)
|
||||||
Annualized core return on average equity (excluding PAA) *
|
10.54
|
%
|
10.66
|
%
|
9.73
|
%
|
||||||
Average yield on interest earning assets (4)
|
2.58
|
%
|
2.74
|
%
|
2.48
|
%
|
||||||
Average yield on interest earning assets (excluding PAA) *(4)
|
2.93
|
%
|
2.83
|
%
|
2.95
|
%
|
||||||
Net interest margin (5)
|
1.23
|
%
|
1.47
|
%
|
1.15
|
%
|
||||||
Net interest margin (excluding PAA) *(5)
|
1.53
|
%
|
1.55
|
%
|
1.54
|
%
|
||||||
Net interest spread
|
0.84
|
%
|
1.15
|
%
|
0.80
|
%
|
||||||
Net interest spread (excluding PAA) *
|
1.19
|
%
|
1.24
|
%
|
1.27
|
%
|
* | 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) | Net of dividends on preferred stock. |
(3) | 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). Core earnings (excluding PAA) excludes the premium amortization adjustment (“PAA”) representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities. |
(4) | Annualized yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Annualized yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). |
(5) |
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.
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
||||||||||||||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
June 30,
|
March 31,
|
December 31,
|
September 30,
|
June 30,
|
||||||||||||||||
2017
|
2017
|
2016(1)
|
2016
|
2016
|
||||||||||||||||
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
|||||||||||||||||
ASSETS
|
||||||||||||||||||||
Cash and cash equivalents (2)
|
$
|
700,692
|
$
|
819,421
|
$
|
1,539,746
|
$
|
2,382,188
|
$
|
2,735,250
|
||||||||||
Investments, at fair value:
|
||||||||||||||||||||
Agency mortgage-backed securities
|
73,963,998
|
72,708,490
|
75,589,873
|
73,476,105
|
64,862,992
|
|||||||||||||||
Credit risk transfer securities
|
605,826
|
686,943
|
724,722
|
669,295
|
520,321
|
|||||||||||||||
Non-Agency mortgage-backed securities
|
1,234,053
|
1,409,093
|
1,401,307
|
1,460,261
|
1,197,549
|
|||||||||||||||
Residential mortgage loans (3)
|
779,685
|
682,416
|
342,289
|
310,148
|
-
|
|||||||||||||||
Mortgage servicing rights
|
605,653
|
632,166
|
652,216
|
492,169
|
-
|
|||||||||||||||
Commercial real estate debt investments (4)
|
3,972,560
|
4,102,613
|
4,321,739
|
4,319,077
|
4,361,972
|
|||||||||||||||
Commercial real estate debt and preferred equity, held for investment (5)
|
928,181
|
985,091
|
970,505
|
1,070,197
|
1,137,971
|
|||||||||||||||
Commercial loans held for sale, net
|
-
|
-
|
114,425
|
144,275
|
164,175
|
|||||||||||||||
Investments in commercial real estate
|
474,510
|
462,760
|
474,567
|
500,027
|
504,605
|
|||||||||||||||
Corporate debt
|
773,957
|
841,265
|
773,274
|
716,831
|
669,612
|
|||||||||||||||
Interest rate swaps, at fair value (2)
|
10,472
|
19,195
|
68,194
|
113,253
|
146,285
|
|||||||||||||||
Other derivatives, at fair value
|
154,004
|
196,935
|
171,266
|
87,921
|
137,490
|
|||||||||||||||
Receivable for investments sold
|
9,784
|
354,126
|
51,461
|
493,839
|
697,943
|
|||||||||||||||
Accrued interest and dividends receivable
|
263,217
|
266,887
|
270,400
|
260,583
|
227,225
|
|||||||||||||||
Other assets
|
399,456
|
388,224
|
333,063
|
301,419
|
237,959
|
|||||||||||||||
Goodwill
|
71,815
|
71,815
|
71,815
|
71,815
|
71,815
|
|||||||||||||||
Intangible assets, net
|
28,715
|
31,517
|
34,184
|
39,903
|
43,306
|
|||||||||||||||
Total assets
|
$
|
84,976,578
|
$
|
84,658,957
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
||||||||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||||||||||||||
Liabilities:
|
||||||||||||||||||||
Repurchase agreements
|
$
|
62,497,400
|
$
|
62,719,087
|
$
|
65,215,810
|
$
|
61,784,121
|
$
|
53,868,385
|
||||||||||
Other secured financing
|
3,785,543
|
3,876,150
|
3,884,708
|
3,804,742
|
3,588,326
|
|||||||||||||||
Securitized debt of consolidated VIEs (6)
|
3,438,675
|
3,477,059
|
3,655,802
|
3,712,821
|
3,748,289
|
|||||||||||||||
Participation sold
|
-
|
12,760
|
12,869
|
12,976
|
13,079
|
|||||||||||||||
Mortgages payable
|
311,810
|
311,707
|
311,636
|
327,632
|
327,643
|
|||||||||||||||
Interest rate swaps, at fair value (2)
|
614,589
|
572,419
|
1,443,765
|
2,919,492
|
3,208,986
|
|||||||||||||||
Other derivatives, at fair value
|
99,380
|
52,496
|
86,437
|
73,445
|
154,017
|
|||||||||||||||
Dividends payable
|
305,709
|
305,691
|
305,674
|
269,111
|
277,479
|
|||||||||||||||
Payable for investments purchased
|
1,043,379
|
340,383
|
65,041
|
454,237
|
746,090
|
|||||||||||||||
Accrued interest payable
|
185,720
|
182,478
|
163,013
|
173,320
|
159,435
|
|||||||||||||||
Accounts payable and other liabilities
|
84,948
|
161,378
|
184,319
|
115,606
|
62,868
|
|||||||||||||||
Total liabilities
|
72,367,153
|
72,011,608
|
75,329,074
|
73,647,503
|
66,154,597
|
|||||||||||||||
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
|
287,500
|
-
|
|||||||||||||||
Common stock, par value $0.01 per share, 1,945,437,500,
1,945,437,500, 1,945,437,500, 1,945,437,500 and 1,956,937,500
authorized, 1,019,027,880, 1,018,971,441, 1,018,913,249,
1,018,857,866 and 924,929,607 issued and outstanding,
respectively
|
10,190
|
10,190
|
10,189
|
10,189
|
9,249
|
|||||||||||||||
Additional paid-in capital
|
15,581,760
|
15,580,038
|
15,579,342
|
15,578,677
|
14,575,426
|
|||||||||||||||
Accumulated other comprehensive income (loss)
|
(850,767
|
)
|
(1,126,091
|
)
|
(1,085,893
|
)
|
1,119,677
|
1,117,046
|
||||||||||||
Accumulated deficit
|
(3,339,228
|
)
|
(3,024,670
|
)
|
(3,136,017
|
)
|
(4,655,440
|
)
|
(5,061,565
|
)
|
||||||||||
Total stockholders’ equity
|
12,602,514
|
12,640,026
|
12,568,180
|
13,253,662
|
11,553,215
|
|||||||||||||||
Noncontrolling interest
|
6,911
|
7,323
|
7,792
|
8,141
|
8,658
|
|||||||||||||||
Total equity
|
12,609,425
|
12,647,349
|
12,575,972
|
13,261,803
|
11,561,873
|
|||||||||||||||
Total liabilities and equity
|
$
|
84,976,578
|
$
|
84,658,957
|
$
|
87,905,046
|
$
|
86,909,306
|
$
|
77,716,470
|
(1) | Derived from the audited consolidated financial statements at December 31, 2016. |
(2) | As a result of a change to a clearing organization’s rulebook effective January 3, 2017, beginning with the first quarter 2017 and in subsequent periods the Company is presenting the fair value of centrally cleared interest rate swaps net of variation margin pledged under such transactions. 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. Balances reported prior to the effective date will not be adjusted. |
(3) | Includes securitized residential mortgage loans of a consolidated variable interest entity (“VIE”) carried at fair value of $150.9 million, $155.6 million, $165.9 million and $176.7 million at June 30, 2017, 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, $3.7 billion, $3.9 billion, $4.0 billion and $4.0 billion at June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016, respectively. |
(5) | Includes senior securitized commercial mortgage loans of a consolidated VIE with a carrying value of $0, $0, $0, $128.9 million and $187.2 million at June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016, respectively. |
(6) | Includes securitized debt of consolidated VIEs carried at fair value of $3.4 billion, $3.5 billion, $3.7 billion, $3.7 billion and $3.7 billion at June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 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
|
||||||||||||||||||||
June 30,
|
March 31,
|
December 31,
|
September 30,
|
June 30,
|
||||||||||||||||
2017
|
2017
|
2016
|
2016
|
2016
|
||||||||||||||||
Net interest income:
|
||||||||||||||||||||
Interest income
|
$
|
537,426
|
$
|
587,727
|
$
|
807,022
|
$
|
558,668
|
$
|
457,118
|
||||||||||
Interest expense
|
222,281
|
198,425
|
183,396
|
174,154
|
152,755
|
|||||||||||||||
Net interest income
|
315,145
|
389,302
|
623,626
|
384,514
|
304,363
|
|||||||||||||||
Realized and unrealized gains (losses):
|
||||||||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(96,470
|
)
|
(104,156
|
)
|
(103,872
|
)
|
(124,572
|
)
|
(130,762
|
)
|
||||||||||
Realized gains (losses) on termination of interest rate swaps
|
(58
|
)
|
-
|
(55,214
|
)
|
1,337
|
(60,064
|
)
|
||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(177,567
|
)
|
149,184
|
1,430,668
|
256,462
|
(373,220
|
)
|
|||||||||||||
Subtotal
|
(274,095
|
)
|
45,028
|
1,271,582
|
133,227
|
(564,046
|
)
|
|||||||||||||
Net gains (losses) on disposal of investments
|
(5,516
|
)
|
5,235
|
7,782
|
14,447
|
12,535
|
||||||||||||||
Net gains (losses) on trading assets
|
(14,423
|
)
|
319
|
(139,470
|
)
|
162,981
|
81,880
|
|||||||||||||
Net unrealized gains (losses) on investments measured at fair value through earnings
|
16,240
|
23,683
|
110,742
|
29,675
|
(54,154
|
)
|
||||||||||||||
Bargain purchase gain
|
-
|
-
|
-
|
72,576
|
-
|
|||||||||||||||
Subtotal
|
(3,699
|
)
|
29,237
|
(20,946
|
)
|
279,679
|
40,261
|
|||||||||||||
Total realized and unrealized gains (losses)
|
(277,794
|
)
|
74,265
|
1,250,636
|
412,906
|
(523,785
|
)
|
|||||||||||||
Other income (loss)
|
30,865
|
31,646
|
30,918
|
29,271
|
(9,930
|
)
|
||||||||||||||
General and administrative expenses:
|
||||||||||||||||||||
Compensation and management fee
|
38,938
|
39,262
|
39,845
|
38,709
|
36,048
|
|||||||||||||||
Other general and administrative expenses
|
15,085
|
14,566
|
15,608
|
59,028
|
13,173
|
|||||||||||||||
Total general and administrative expenses
|
54,023
|
53,828
|
55,453
|
97,737
|
49,221
|
|||||||||||||||
Income (loss) before income taxes
|
14,193
|
441,385
|
1,849,727
|
728,954
|
(278,573
|
)
|
||||||||||||||
Income taxes
|
(329
|
)
|
977
|
1,244
|
(1,926
|
)
|
(76
|
)
|
||||||||||||
Net income (loss)
|
14,522
|
440,408
|
1,848,483
|
730,880
|
(278,497
|
)
|
||||||||||||||
Net income (loss) attributable to noncontrolling interest
|
(102
|
)
|
(103
|
)
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
||||||||||
Net income (loss) attributable to Annaly
|
14,624
|
440,511
|
1,848,570
|
731,216
|
(278,112
|
)
|
||||||||||||||
Dividends on preferred stock
|
23,473
|
23,473
|
23,473
|
22,803
|
17,992
|
|||||||||||||||
Net income (loss) available (related) to common stockholders
|
$
|
(8,849
|
)
|
$
|
417,038
|
$
|
1,825,097
|
$
|
708,413
|
$
|
(296,104
|
)
|
||||||||
Net income (loss) per share available (related) to common stockholders:
|
||||||||||||||||||||
Basic
|
$
|
(0.01
|
)
|
$
|
0.41
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
||||||||
Diluted
|
$
|
(0.01
|
)
|
$
|
0.41
|
$
|
1.79
|
$
|
0.70
|
$
|
(0.32
|
)
|
||||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||||||
Basic
|
1,019,000,817
|
1,018,942,746
|
1,018,886,380
|
1,007,607,893
|
924,887,316
|
|||||||||||||||
Diluted
|
1,019,000,817
|
1,019,307,379
|
1,019,251,111
|
1,007,963,406
|
924,887,316
|
|||||||||||||||
Net income (loss)
|
$
|
14,522
|
$
|
440,408
|
$
|
1,848,483
|
$
|
730,880
|
$
|
(278,497
|
)
|
|||||||||
Other comprehensive income (loss):
|
||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
261,964
|
(59,615
|
)
|
(2,206,288
|
)
|
18,237
|
483,930
|
|||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
13,360
|
19,417
|
718
|
(15,606
|
)
|
(7,250
|
)
|
|||||||||||||
Other comprehensive income (loss)
|
275,324
|
(40,198
|
)
|
(2,205,570
|
)
|
2,631
|
476,680
|
|||||||||||||
Comprehensive income (loss)
|
289,846
|
400,210
|
(357,087
|
)
|
733,511
|
198,183
|
||||||||||||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(102
|
)
|
(103
|
)
|
(87
|
)
|
(336
|
)
|
(385
|
)
|
||||||||||
Comprehensive income (loss) attributable to Annaly
|
$
|
289,948
|
$
|
400,313
|
$
|
(357,000
|
)
|
$
|
733,847
|
$
|
198,568
|
(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)
|
||||||||
(Unaudited)
|
||||||||
For the six months ended
|
||||||||
June 30,
|
June 30,
|
|||||||
2017
|
2016
|
|||||||
Net interest income:
|
||||||||
Interest income
|
$
|
1,125,153
|
$
|
845,261
|
||||
Interest expense
|
420,706
|
300,202
|
||||||
Net interest income
|
704,447
|
545,059
|
||||||
Realized and unrealized gains (losses):
|
||||||||
Realized gains (losses) on interest rate swaps(1)
|
(200,626
|
)
|
(278,237
|
)
|
||||
Realized gains (losses) on termination of interest rate swaps
|
(58
|
)
|
(60,064
|
)
|
||||
Unrealized gains (losses) on interest rate swaps
|
(28,383
|
)
|
(1,404,940
|
)
|
||||
Subtotal
|
(229,067
|
)
|
(1,743,241
|
)
|
||||
Net gains (losses) on disposal of investments
|
(281
|
)
|
10,860
|
|||||
Net gains (losses) on trading assets
|
(14,104
|
)
|
207,069
|
|||||
Net unrealized gains (losses) on investments measured at fair value through earnings
|
39,923
|
(54,026
|
)
|
|||||
Subtotal
|
25,538
|
163,903
|
||||||
Total realized and unrealized gains (losses)
|
(203,529
|
)
|
(1,579,338
|
)
|
||||
Other income (loss)
|
62,511
|
(16,045
|
)
|
|||||
General and administrative expenses:
|
||||||||
Compensation and management fee
|
78,200
|
73,045
|
||||||
Other general and administrative expenses
|
29,651
|
24,121
|
||||||
Total general and administrative expenses
|
107,851
|
97,166
|
||||||
Income (loss) before income taxes
|
455,578
|
(1,147,490
|
)
|
|||||
Income taxes
|
648
|
(913
|
)
|
|||||
Net income (loss)
|
454,930
|
(1,146,577
|
)
|
|||||
Net income (loss) attributable to noncontrolling interest
|
(205
|
)
|
(547
|
)
|
||||
Net income (loss) attributable to Annaly
|
455,135
|
(1,146,030
|
)
|
|||||
Dividends on preferred stock
|
46,946
|
35,984
|
||||||
Net income (loss) available (related) to common stockholders
|
$
|
408,189
|
$
|
(1,182,014
|
)
|
|||
Net income (loss) per share available (related) to common stockholders:
|
||||||||
Basic
|
$
|
0.40
|
$
|
(1.28
|
)
|
|||
Diluted
|
$
|
0.40
|
$
|
(1.28
|
)
|
|||
Weighted average number of common shares outstanding:
|
||||||||
Basic
|
1,018,971,942
|
925,850,452
|
||||||
Diluted
|
1,019,357,697
|
925,850,452
|
||||||
Net income (loss)
|
$
|
454,930
|
$
|
(1,146,577
|
)
|
|||
Other comprehensive income (loss):
|
||||||||
Unrealized gains (losses) on available-for-sale securities
|
202,349
|
1,501,637
|
||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
32,777
|
(6,995
|
)
|
|||||
Other comprehensive income (loss)
|
235,126
|
1,494,642
|
||||||
Comprehensive income (loss)
|
690,056
|
348,065
|
||||||
Comprehensive income (loss) attributable to noncontrolling interest
|
(205
|
)
|
(547
|
)
|
||||
Comprehensive income (loss) attributable to Annaly
|
$
|
690,261
|
$
|
348,612
|
(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.
|
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
Portfolio Related Metrics:
|
||||||||||||
Fixed-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
86
|
%
|
85
|
%
|
92
|
%
|
||||||
Adjustable-rate and floating-rate Residential Investment Securities as a percentage of total Residential Investment Securities
|
14
|
%
|
15
|
%
|
8
|
%
|
||||||
Weighted average experienced CPR for the period
|
10.9
|
%
|
11.5
|
%
|
12.7
|
%
|
||||||
Weighted average projected long-term CPR at period-end
|
10.6
|
%
|
10.0
|
%
|
13.0
|
%
|
||||||
Liabilities and Hedging Metrics:
|
||||||||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end
|
88
|
88
|
129
|
|||||||||
Hedge ratio (1)
|
67
|
%
|
63
|
%
|
49
|
%
|
||||||
Weighted average pay rate on interest rate swaps at period-end (2)
|
2.26
|
%
|
2.25
|
%
|
2.28
|
%
|
||||||
Weighted average receive rate on interest rate swaps at period-end (2)
|
1.28
|
%
|
1.15
|
%
|
0.74
|
%
|
||||||
Weighted average net rate on interest rate swaps at period-end (2)
|
0.98
|
%
|
1.10
|
%
|
1.54
|
%
|
||||||
Leverage at period-end (3)
|
5.6:1
|
5.6:1
|
5.3:1
|
|||||||||
Economic leverage at period-end (4)
|
6.4:1
|
6.1:1
|
6.1:1
|
|||||||||
Capital ratio at period-end
|
13.2
|
%
|
13.8
|
%
|
13.2
|
%
|
||||||
Performance Related Metrics:
|
||||||||||||
Book value per common share
|
$
|
11.19
|
$
|
11.23
|
$
|
11.50
|
||||||
GAAP net income (loss) per average common share (5)
|
$
|
(0.01
|
)
|
$
|
0.41
|
$
|
(0.32
|
)
|
||||
Core earnings (excluding PAA) per average common share *(5)
|
$
|
0.30
|
$
|
0.31
|
$
|
0.29
|
||||||
Core earnings per average common share *(5)
|
$
|
0.23
|
$
|
0.29
|
$
|
0.19
|
||||||
PAA cost (benefit) per average common share
|
$
|
0.07
|
$
|
0.02
|
$
|
0.10
|
||||||
Dividend declared per common share
|
$
|
0.30
|
$
|
0.30
|
$
|
0.30
|
||||||
Annualized dividend yield (6)
|
9.96
|
%
|
10.80
|
%
|
10.84
|
%
|
||||||
Annualized return (loss) on average equity
|
0.46
|
%
|
13.97
|
%
|
(9.60
|
%)
|
||||||
Annualized core return on average equity (excluding PAA) *
|
10.54
|
%
|
10.66
|
%
|
9.73
|
%
|
||||||
Net interest margin
|
1.23
|
%
|
1.47
|
%
|
1.15
|
%
|
||||||
Net interest margin (excluding PAA) *
|
1.53
|
%
|
1.55
|
%
|
1.54
|
%
|
||||||
Average yield on interest earning assets (7)
|
2.58
|
%
|
2.74
|
%
|
2.48
|
%
|
||||||
Average yield on interest earning assets (excluding PAA) *(7)
|
2.93
|
%
|
2.83
|
%
|
2.95
|
%
|
||||||
Average cost of interest bearing liabilities (8)
|
1.74
|
%
|
1.59
|
%
|
1.68
|
%
|
||||||
Net interest spread
|
0.84
|
%
|
1.15
|
%
|
0.80
|
%
|
||||||
Net interest spread (excluding PAA) *
|
1.19
|
%
|
1.24
|
%
|
1.27
|
%
|
* | 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) | Net of dividends on preferred stock. |
(6) | Based on the closing price of the Company’s common stock of $12.05, $11.11 and $11.07 at June 30, 2017, March 31, 2017 and June 30, 2016, respectively. |
(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.
|
·
|
core earnings and core earnings (excluding PAA);
|
·
|
core earnings and core earnings (excluding PAA) per average common share;
|
·
|
annualized core return on average equity (excluding PAA);
|
·
|
interest income (excluding PAA);
|
·
|
economic interest expense;
|
·
|
economic net interest income (excluding PAA);
|
·
|
average yield on interest earning assets (excluding PAA);
|
·
|
net interest margin (excluding PAA) and
|
·
|
net interest spread (excluding PAA).
|
For the quarters ended
|
||||||||||||
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
(dollars in thousands)
|
||||||||||||
Premium amortization expense (accretion)
|
$
|
251,084
|
$
|
203,634
|
$
|
265,475
|
||||||
Less: PAA cost (benefit)
|
72,700
|
17,870
|
85,583
|
|||||||||
Premium amortization expense exclusive of PAA
|
$
|
178,384
|
$
|
185,764
|
$
|
179,892
|
For the quarters ended
|
||||||||||||
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
(per average common share)
|
||||||||||||
Premium amortization expense (accretion)
|
$
|
0.25
|
$
|
0.20
|
$
|
0.29
|
||||||
Less: PAA cost (benefit)
|
0.07
|
0.02
|
0.10
|
|||||||||
Premium amortization expense exclusive of PAA
|
$
|
0.18
|
$
|
0.18
|
$
|
0.19
|
For the quarters ended
|
||||||||||||
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
GAAP net income (loss)
|
$
|
14,522
|
$
|
440,408
|
$
|
(278,497
|
)
|
|||||
Less:
|
||||||||||||
Realized (gains) losses on termination of interest rate swaps
|
58
|
-
|
60,064
|
|||||||||
Unrealized (gains) losses on interest rate swaps
|
177,567
|
(149,184
|
)
|
373,220
|
||||||||
Net (gains) losses on disposal of investments
|
5,516
|
(5,235
|
)
|
(12,535
|
)
|
|||||||
Net (gains) losses on trading assets
|
14,423
|
(319
|
)
|
(81,880
|
)
|
|||||||
Net unrealized (gains) losses on investments measured at fair value through earnings
|
(16,240
|
)
|
(23,683
|
)
|
54,154
|
|||||||
Corporate acquisition related expenses (1)
|
-
|
-
|
2,163
|
|||||||||
Net (income) loss attributable to noncontrolling interest
|
102
|
103
|
385
|
|||||||||
Plus:
|
||||||||||||
TBA dollar roll income (2)
|
81,051
|
69,968
|
79,519
|
|||||||||
MSR amortization (3)
|
(17,098
|
)
|
(14,030
|
)
|
-
|
|||||||
Core earnings *
|
259,901
|
318,028
|
196,593
|
|||||||||
Less:
|
||||||||||||
Premium amortization adjustment cost (benefit)
|
72,700
|
17,870
|
85,583
|
|||||||||
Core earnings (excluding PAA) *
|
$
|
332,601
|
$
|
335,898
|
$
|
282,176
|
||||||
GAAP net income (loss) per average common share (4)
|
$
|
(0.01
|
)
|
$
|
0.41
|
$
|
(0.32
|
)
|
||||
Core earnings per average common share *(4)
|
$
|
0.23
|
$
|
0.29
|
$
|
0.19
|
||||||
Core earnings (excluding PAA) per average common share *(4)
|
$
|
0.30
|
$
|
0.31
|
$
|
0.29
|
||||||
Annualized GAAP return (loss) on average equity
|
0.46
|
%
|
13.97
|
%
|
(9.60
|
%)
|
||||||
Annualized core return on average equity (excluding PAA) *
|
10.54
|
%
|
10.66
|
%
|
9.73
|
%
|
* |
Represents a non-GAAP financial measure.
|
(1) | Represents 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. |
(4) |
Net of dividends on preferred stock.
|
For the quarters ended
|
||||||||||||
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
(dollars in thousands)
|
||||||||||||
Interest Income (Excluding PAA) Reconciliation
|
||||||||||||
GAAP interest income
|
$
|
537,426
|
$
|
587,727
|
$
|
457,118
|
||||||
Premium amortization adjustment
|
72,700
|
17,870
|
85,583
|
|||||||||
Interest income (excluding PAA) *
|
$
|
610,126
|
$
|
605,597
|
$
|
542,701
|
||||||
Economic Interest Expense Reconciliation
|
||||||||||||
GAAP interest expense
|
$
|
222,281
|
$
|
198,425
|
$
|
152,755
|
||||||
Add:
|
||||||||||||
Interest expense on interest rate swaps used to hedge cost of funds
|
84,252
|
88,966
|
108,301
|
|||||||||
Economic interest expense *
|
$
|
306,533
|
$
|
287,391
|
$
|
261,056
|
||||||
Economic Net Interest Income (Excluding PAA) Reconciliation
|
||||||||||||
Interest income (excluding PAA) *
|
$
|
610,126
|
$
|
605,597
|
$
|
542,701
|
||||||
Less:
|
||||||||||||
Economic interest expense *
|
306,533
|
287,391
|
261,056
|
|||||||||
Economic net interest income (excluding PAA) *
|
$
|
303,593
|
$
|
318,206
|
$
|
281,645
|
* |
Represents a non-GAAP financial measure.
|
For the quarters ended
|
||||||||||||
June 30, 2017
|
March 31, 2017
|
June 30, 2016
|
||||||||||
|
(dollars in thousands)
|
|||||||||||
Economic Metrics (Excluding PAA)
|
||||||||||||
Interest income (excluding PAA) *
|
$
|
610,126
|
$
|
605,597
|
$
|
542,701
|
||||||
Average interest earning assets
|
$
|
83,427,268
|
$
|
85,664,151
|
$
|
73,587,753
|
||||||
Average yield on interest earning assets (excluding PAA) *
|
2.93
|
%
|
2.83
|
%
|
2.95
|
%
|
||||||
Economic interest expense *
|
$
|
306,533
|
$
|
287,391
|
$
|
261,056
|
||||||
Average interest bearing liabilities
|
$
|
70,486,779
|
$
|
72,422,968
|
$
|
62,049,474
|
||||||
Average cost of interest bearing liabilities
|
1.74
|
%
|
1.59
|
%
|
1.68
|
%
|
||||||
Net interest spread (excluding PAA) *
|
1.19
|
%
|
1.24
|
%
|
1.27
|
%
|
||||||
Net interest margin (excluding PAA) *
|
1.53
|
%
|
1.55
|
%
|
1.54
|
%
|
* |
Represents a non-GAAP financial measure.
|
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