Re: | Annaly Capital Management, Inc. Form 10-K for the fiscal year ended December 31, 2017 Filed February 16, 2018 File No. 001-13447 |
1. | Reference is made to your disclosure of Net Interest Margin (excluding PAA) within the table on page 49. We note that you have defined how you calculate such measure within footnote 4 to the table. Please clarify whether the components of your measure are quantified and disclosed elsewhere within your filing. To the extent not, please tell us and consider revising your footnote disclosure in future filings to quantify each component and explain how such amounts were determined and/or derived from your financial statements. |
• | The Company will remove the column showing Net Interest Margin (excluding PAA) from the table on page 49 to limit confusion, which may have resulted due to the absence of certain components of Net Interest Margin (excluding PAA) from such table. |
• | The Company will introduce the following table, which shows the value of each component of Net Interest Margin (excluding PAA): |
Interest Income (excluding PAA) (1) | TBA Dollar Roll Income | Interest Expense | Realized Gains (Losses) on Interest Rate Swaps (2) | Subtotal | Average Interest Earning Assets | Average TBA Contract Balances | Subtotal | Net Interest Margin (excluding PAA) (1) | ||||||||||||||||||
For the Years Ended: | (dollars in thousands) | |||||||||||||||||||||||||
December 31, 2017 | $ | 2,634,962 | $ | 334,824 | $ | (1,008,354 | ) | $ | (371,108 | ) | $ | 1,590,324 | $ | 89,648,025 | $ | 15,416,045 | $ | 105,064,070 | 1.51 | % | ||||||
December 31, 2016 | $ | 2,229,892 | $ | 351,778 | $ | (657,752 | ) | $ | (506,681 | ) | $ | 1,417,237 | $ | 78,813,547 | $ | 15,399,142 | $ | 94,212,689 | 1.50 | % | ||||||
December 31, 2015 | $ | 2,244,062 | $ | 348,531 | $ | (471,596 | ) | $ | (624,495 | ) | $ | 1,496,502 | $ | 75,741,458 | $ | 12,880,476 | $ | 88,621,934 | 1.69 | % |
• | While the calculation and components of Net Interest Margin (excluding PAA) will remain unchanged, we will clarify the definition of Net Interest Margin (excluding PAA) as follows: “Represents the sum of interest income (excluding PAA) plus TBA dollar roll income less interest expense and realized gains (losses) on interest rate swaps divided by the sum of average Interest Earning Assets plus average TBA contract balances.” |
• | The Company will disclose the average TBA contract balances in our Forms 10-K or 10-Q, as illustrated in the table above. |
cc: | Anthony Green, Annaly Capital Management, Inc. |