NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net
income for the quarter ended December 31, 2011 of $445.6 million or
$0.46 per average common share as compared to GAAP net income of $1.2
billion or $1.94 per average common share for the quarter ended December
31, 2010, and GAAP net loss of $921.8 million or $0.98 per average
common share for the quarter ended September 30, 2011. GAAP net income
for the year ended December 31, 2011 was $344.5 million or $0.37 per
average common share as compared to $1.3 billion or $2.12 per average
common share for the year ended December 31, 2010.
Without the effect of the unrealized gains or losses on interest rate
swaps and Agency interest-only mortgage-backed securities, net income
for the quarter ended December 31, 2011, was $525.3 million or $0.54 per
average common share as compared to $379.3 million or $0.60 per average
common share for the quarter ended December 31, 2010, and $622.8 million
or $0.65 per average common share for the quarter ended September 30,
2011.
Without the effect of the unrealized gains or losses on interest rate
swaps and Agency interest-only mortgage-backed securities, net income
for the year ended December 31, 2011, was $2.3 billion or $2.57 per
average common share as compared to $1.6 billion or $2.67 per average
common share for the year ended December 31, 2010.
During the quarter ended December 31, 2011, the Company disposed of
$10.3 billion of Agency mortgage-backed securities and debentures,
resulting in a realized gain of $80.7 million. During the quarter ended
December 31, 2010, the Company disposed of $3.1 billion of Agency
mortgage-backed securities and debentures, resulting in a realized gain
of $33.8 million. During the quarter ended September 30, 2011, the
Company disposed of $3.9 billion of Agency mortgage-backed securities
and debentures, resulting in a realized gain of $91.7 million.
During the year ended December 31, 2011, the Company disposed of $20.1
billion of Agency mortgage-backed securities and debentures, resulting
in a realized gain of $206.8 million. During the year ended December 31,
2010, the Company disposed of $10.6 billion of Agency mortgage-backed
securities and debentures, resulting in a realized gain of $181.8
million.
Common dividends declared for the quarters ended December 31, 2011,
December 31, 2010, and September 30, 2011 were $0.57, $0.64, and $0.60
per common share, respectively. The Company distributes dividends based
on its current estimate of taxable earnings per common share, not GAAP
earnings. Taxable and GAAP earnings will typically differ due to items
such as non-taxable unrealized and realized gains and losses,
differences in premium amortization and discount accretion, and
non-deductible general and administrative expenses.
The annualized dividend yield on the Company’s common stock for the
quarter ended December 31, 2011, based on the December 31, 2011 closing
price of $15.96, was 14.29%, as compared to 14.29% for the quarter ended
December 31, 2010 and 14.43% for the quarter ended September 30, 2011.
The dividend yield on the Company’s common stock for the year ended
December 31, 2011, based on the December 31, 2011 closing price of
$15.96, was 15.29%, as compared to 14.79% for the year ended December
31, 2010.
On a GAAP basis, the Company provided an annualized return (loss) on
average equity for the quarters ended December 31, 2011, December 31,
2010, and September 30, 2011 of 11.23%, 49.87% and (24.65%),
respectively. Without the effect of the unrealized gains or losses on
interest rate swaps and Agency interest-only mortgage-backed securities,
the Company provided an annualized return on average equity for the
quarters ended December 31, 2011, December 31, 2010 and September 30,
2010 of 13.24%, 15.52% and 16.66%, respectively. On a GAAP basis, the
Company provided a return on average equity for the years ended December
31, 2011 and 2010 of 2.51% and 13.06%, respectively. Without the effect
of the unrealized gains or losses on interest rate swaps and Agency
interest-only mortgage-backed securities, the Company provided a return
on average equity for the years ended December 31, 2011 and 2010 of
16.54% and 16.35%, respectively.
Michael A.J. Farrell, Chairman, Chief Executive Officer and President of
Annaly, commented on the Company’s results: “Participants in the global
financial system continue to grapple with many issues in the market:
sovereign credit risk here and abroad; a relatively weak global economic
outlook; the uncertain pace and extent of regulatory reform; the
potential policy decisions of central banks; and reduced investment
return expectations in an extended period of low interest rates. In this
environment, I believe that it is best to be conservative in our
approach to risk and performance. It is intended not only to protect our
portfolio but also to prepare us to take advantage of opportunities as
they arise.”
For the quarter ended December 31, 2011, the annualized yield on average
interest-earning assets was 3.31% and the annualized cost of funds on
average interest-bearing liabilities, including the net interest
payments on interest rate swaps, was 1.60%, which resulted in an average
interest rate spread of 1.71%. This was a 14 basis point decrease from
the 1.85% annualized interest rate spread for the quarter ended December
31, 2010, and a 37 basis point decrease from the 2.08% average interest
rate spread for the quarter ended September 30, 2011. At December 31,
2011, the weighted average yield on investment securities was 3.22% and
the weighted average cost of funds on borrowings, including the net
interest payments on interest rate swaps, was 1.60%, which resulted in
an interest rate spread of 1.62%. Beginning with the quarter ended June
30, 2011, net interest payments on interest rate swaps, reflected in the
consolidated statements of operations and comprehensive income (loss) as
realized gains (losses) on interest rate swaps, are included in the
summary table presentation of cost of funds and interest rate spread.
This change does not affect GAAP or taxable net income, shareholders’
equity, cash flows or earnings per share. Leverage at December 31, 2011,
December 31, 2010, and September 30, 2011 was 5.4:1, 6.7:1 and 5.5:1,
respectively.
Fixed-rate mortgage-backed securities and Agency debentures comprised
90% of the Company’s portfolio at December 31, 2011. The balance of the
mortgage-backed securities and Agency debentures was comprised of 9%
adjustable-rate mortgage-backed securities and Agency debentures and 1%
LIBOR floating-rate collateralized mortgage obligations. At December 31,
2011, the Company had entered into interest rate swaps with a notional
amount of $40.1 billion, or 41% of Agency mortgage-backed securities and
debentures. Changes in the unrealized gains or losses on the interest
rate swaps are reflected in the Company’s consolidated statements of
operations. The purpose of the interest rate swaps is to mitigate the
risk of rising interest rates that affect the Company’s cost of funds.
Since the Company receives a floating rate on the notional amount of the
swaps, the intended effect of the swaps is to lock in a spread relative
to the cost of financing. As of December 31, 2011, substantially all of
the Company’s Investment Securities were Fannie Mae, Freddie Mac and
Ginnie Mae mortgage-backed securities and debentures.
“We continue to manage our company conservatively,” said Wellington
Denahan-Norris, Annaly’s Vice Chairman, Chief Investment Officer and
Chief Operating Officer. “During the quarter, in our portfolio we saw
prepayment speeds increase slightly, took advantage of market
opportunities to harvest gains, and maintained a prudent level of
leverage. After taking into account the effect of interest rate swaps,
our portfolio of mortgage-backed securities and Agency debentures was
comprised of 42% floating-rate, 9% adjustable-rate and 49% fixed-rate
assets.”
The following table summarizes portfolio information for the Company:
|
|
|
December 31,
2011
|
|
December 31,
2010
|
|
September 30,
2011
|
|
Leverage at period-end
|
|
5.4:1
|
|
6.7:1
|
|
5.5:1
|
|
Fixed-rate Agency mortgage-backed securities and
debentures
as a percentage of portfolio
|
|
90
|
%
|
|
86
|
%
|
|
90
|
%
|
|
Adjustable-rate Agency mortgage-backed securities and
debentures
as a percentage of portfolio
|
|
9
|
%
|
|
13
|
%
|
|
9
|
%
|
|
Floating-rate Agency mortgage-backed securities and
debentures
as a percentage of portfolio
|
|
1
|
%
|
|
1
|
%
|
|
1
|
%
|
|
Notional amount of interest rate swaps as a percentage of
Investment
securities
|
|
41
|
%
|
|
36
|
%
|
|
40
|
%
|
|
Annualized yield on average interest-earning assets during
the
quarter
|
|
3.31
|
%
|
|
3.65
|
%
|
|
3.71
|
%
|
|
Annualized cost of funds on average interest-bearing
liabilities
during the quarter
|
|
1.60
|
%
|
|
1.80
|
%
|
|
1.63
|
%
|
|
Annualized interest rate spread during the quarter
|
|
1.71
|
%
|
|
1.85
|
%
|
|
2.08
|
%
|
|
Weighted average yield on investment securities at
period-end
|
|
3.22
|
%
|
|
3.80
|
%
|
|
3.58
|
%
|
|
Weighted average cost of funds on interest-bearing
liabilities
at period-end
|
|
1.60
|
%
|
|
1.84
|
%
|
|
1.62
|
%
|
|
Interest rate spread at period-end
|
|
1.62
|
%
|
|
1.96
|
%
|
|
1.96
|
%
|
|
Weighted average receive rate on interest rate swaps at period-end
|
|
0.33
|
%
|
|
0.28
|
%
|
|
0.25
|
%
|
|
Weighted average pay rate on interest rate swaps at period-end
|
|
2.55
|
%
|
|
3.21
|
%
|
|
2.57
|
%
|
The Constant Prepayment Rate for the quarters ended December 31, 2011,
December 31, 2010, and September 30, 2011 was 22%, 23% and 18%,
respectively. The weighted average purchase price of the Company’s
Agency mortgage-backed securities and debentures at December 31, 2011,
December 31, 2010 and September 30, 2011 was 102.7%, 102.1% and 102.3%,
respectively. The net amortization of premiums and accretion of
discounts on Agency mortgage-backed securities and debentures for the
quarters ended December 31, 2011, December 31, 2010, and September 30,
2011 was $292.1 million, $207.4 million, and $201.0 million,
respectively. The total net premium and discount balance at December 31,
2011, December 31, 2010, and September 30, 2011, was $3.3 billion, $2.3
billion, and $3.4 billion, respectively.
General and administrative expenses as a percentage of average assets
were 0.23%, 0.22% and 0.24% for the quarters ended December 31, 2011,
December 31, 2010, and September 30, 2011, respectively. At December 31,
2011, December 31, 2010, and September 30, 2011, the Company had a
common stock book value per share of $16.06, $15.34 and $16.22,
respectively.
At December 31, 2011, December 31, 2010, and September 30, 2011, the
Company’s wholly-owned registered investment advisors had under
management approximately $12.2 billion, $12.4 billion and $12.2 billion
in net assets, respectively, and $19.9 billion, $20.1 billion and $21.8
billion in gross assets, respectively. For the quarters ended December
31, 2011, December 31, 2010 and September 30, 2011, investment advisory
and other fee income was $20.5 million, $16.3 million and $20.8 million,
respectively.
Annaly manages assets on behalf of institutional and individual
investors worldwide. The Company’s principal business objective is to
generate net income for distribution to investors from its Investment
Securities and from dividends it receives from its subsidiaries.
The Company will hold the 2011 fourth quarter earnings conference call
on Wednesday February 8, 2012 at 9:00 a.m. EST. The number to call is
877-883-0383 for domestic calls and 412-902-6506 for international
calls. The conference passcode is 3866579. The replay number is
877-344-7529 for domestic calls and 412-317-0088 for international calls
and the conference passcode is 10009626. The replay is available for 48
hours after the earnings call. There will be a web cast of the call on www.annaly.com.
If you would like to be added to the e-mail distribution list, please
visit www.annaly.com,
click on Investor Relations, then select Email Alerts and complete the
EMail notification form.
This news release and our public documents to which we refer contain or
incorporate by reference certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933, as amended, and
Section 21E of the Securities Exchange Act of 1934, as amended.
Forward-looking statements which are based on various assumptions (some
of which are beyond our control) may be identified by reference to a
future period or periods or by the use of forward-looking terminology,
such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or
similar terms or variations on those terms or the negative of those
terms. Actual results could differ materially from those set forth in
forward-looking statements due to a variety of factors, including, but
not limited to, changes in interest rates, changes in the yield curve,
changes in prepayment rates, the availability of mortgage-backed
securities and other securities for purchase, the availability of
financing and, if available, the terms of any financing, changes in the
market value of our assets, changes in business conditions and the
general economy, changes in government regulations affecting our
business, our ability to maintain our qualification as a REIT for
federal income tax purposes, our ability to maintain our exemption from
registration under the Investment Company Act of 1940, as amended, and
risks associated with the broker-dealer business of our subsidiary, and
risks associated with the investment advisory business of our
subsidiaries, including the removal by clients of assets they manage,
their regulatory requirements and competition in the investment advisory
business. For a discussion of the risks and uncertainties which could
cause actual results to differ from those contained in the
forward-looking statements, see “Risk Factors” in our most recent Annual
Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q.
We do not undertake, and specifically disclaim any obligation, to
publicly release the result of any revisions which may be made to any
forward-looking statements to reflect the occurrence of anticipated or
unanticipated events or circumstances after the date of such statements.
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
|
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
2011
(Unaudited)
|
|
September 30,
2011
(Unaudited)
|
|
June 30,
2011
(Unaudited)
|
|
March 31,
2011
(Unaudited)
|
|
December 31,
2010 (1)
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
$
|
994,198
|
|
$
|
3,473,866
|
|
$
|
401,844
|
|
$
|
357,012
|
|
$
|
282,626
|
|
Reverse repurchase agreements
|
|
|
860,866
|
|
|
360,315
|
|
|
593,865
|
|
|
1,348,069
|
|
|
1,006,163
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities
|
|
|
928,547
|
|
|
172,892
|
|
|
748,118
|
|
|
1,088,657
|
|
|
1,100,447
|
|
Securities borrowed
|
|
|
928,732
|
|
|
1,052,810
|
|
|
519,929
|
|
|
368,714
|
|
|
216,676
|
|
Agency mortgage-backed securities
|
|
|
104,251,055
|
|
|
106,588,710
|
|
|
96,773,448
|
|
|
93,644,409
|
|
|
78,440,330
|
|
Agency debentures
|
|
|
889,580
|
|
|
824,092
|
|
|
703,093
|
|
|
414,660
|
|
|
1,108,261
|
|
Investments in affiliates
|
|
|
211,970
|
|
|
209,374
|
|
|
261,659
|
|
|
303,713
|
|
|
252,863
|
|
Equity securities
|
|
|
3,891
|
|
|
3,929
|
|
|
-
|
|
|
-
|
|
|
-
|
|
Corporate debt, held for investment
|
|
|
52,073
|
|
|
27,988
|
|
|
27,982
|
|
|
21,224
|
|
|
21,683
|
|
Receivable for investments sold
|
|
|
-
|
|
|
402,817
|
|
|
40,751
|
|
|
320,465
|
|
|
151,460
|
|
Accrued interest and dividends receivable
|
|
|
409,023
|
|
|
410,862
|
|
|
386,160
|
|
|
391,356
|
|
|
345,250
|
|
Receivable from Prime Broker
|
|
|
3,272
|
|
|
3,272
|
|
|
3,272
|
|
|
3,272
|
|
|
3,272
|
|
Receivable for advisory and service fees
|
|
|
19,550
|
|
|
19,656
|
|
|
19,666
|
|
|
16,631
|
|
|
16,172
|
|
Intangible for customer relationships, net
|
|
|
10,807
|
|
|
11,531
|
|
|
12,141
|
|
|
8,990
|
|
|
9,290
|
|
Goodwill
|
|
|
42,030
|
|
|
42,030
|
|
|
42,030
|
|
|
42,030
|
|
|
42,030
|
|
Interest rate swaps, at fair value
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
8,879
|
|
|
2,561
|
|
Other derivative contracts, at fair value
|
|
|
113
|
|
|
1,450
|
|
|
767
|
|
|
1,539
|
|
|
2,607
|
|
Other assets
|
|
|
24,295
|
|
|
26,112
|
|
|
22,282
|
|
|
87,988
|
|
|
24,899
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
109,630,002
|
|
$
|
113,631,706
|
|
$
|
100,557,007
|
|
$
|
98,427,608
|
|
$
|
83,026,590
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities sold, not yet purchased, at fair value
|
|
$
|
826,912
|
|
$
|
549,505
|
|
$
|
491,740
|
|
$
|
788,898
|
|
$
|
909,462
|
|
Repurchase agreements
|
|
|
84,097,885
|
|
|
86,495,905
|
|
|
78,447,165
|
|
|
79,983,914
|
|
|
65,533,537
|
|
Securities loaned, at fair value
|
|
|
804,901
|
|
|
907,061
|
|
|
447,330
|
|
|
359,852
|
|
|
217,841
|
|
Payable for investments purchased
|
|
|
4,315,796
|
|
|
5,852,986
|
|
|
4,824,618
|
|
|
2,476,409
|
|
|
4,575,026
|
|
Payable for investments purchased with affiliate
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
57,500
|
|
|
-
|
|
Convertible Senior Notes
|
|
|
539,913
|
|
|
557,045
|
|
|
600,000
|
|
|
600,000
|
|
|
600,000
|
|
Accrued interest payable
|
|
|
138,965
|
|
|
128,371
|
|
|
122,753
|
|
|
113,101
|
|
|
115,766
|
|
Dividends payable
|
|
|
552,806
|
|
|
581,752
|
|
|
539,970
|
|
|
498,697
|
|
|
404,220
|
|
Interest rate swaps, at fair value
|
|
|
2,552,687
|
|
|
2,540,558
|
|
|
1,035,215
|
|
|
577,150
|
|
|
754,439
|
|
Other derivative contracts, at fair value
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
2,446
|
|
Accounts payable and other liabilities
|
|
|
7,223
|
|
|
74,837
|
|
|
78,895
|
|
|
79,087
|
|
|
8,921
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
93,837,088
|
|
|
97,688,020
|
|
|
86,587,686
|
|
|
85,534,608
|
|
|
73,121,658
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.00% Series B Cumulative Convertible Preferred Stock:
4,600,000
shares authorized, 1,331,849, 1,389,249, 1,649,047,
1,650,047
and 1,652,047 shares issued and outstanding,
respectively
|
|
|
32,272
|
|
|
33,664
|
|
|
39,959
|
|
|
39,983
|
|
|
40,032
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
Common stock, par value $.01 per share, 1,987,987,500
authorized,
970,161,647, 969,913,060, 831,047,443,
804,350,532 and
631,594,205 issued and outstanding,
respectively
|
|
|
9,702
|
|
|
9,699
|
|
|
8,310
|
|
|
8,044
|
|
|
6,316
|
|
Additional paid-in capital
|
|
|
15,068,870
|
|
|
15,042,361
|
|
|
12,579,012
|
|
|
12,119,817
|
|
|
9,175,245
|
|
Accumulated other comprehensive income
|
|
|
3,008,988
|
|
|
3,073,488
|
|
|
2,049,831
|
|
|
1,009,528
|
|
|
1,164,642
|
|
Accumulated deficit
|
|
|
(2,504,006)
|
|
|
(2,392,614)
|
|
|
(884,879)
|
|
|
(461,460)
|
|
|
(658,391)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
15,760,642
|
|
|
15,910,022
|
|
|
13,929,362
|
|
|
12,853,017
|
|
|
9,864,900
|
|
Total liabilities, Series B Cumulative Convertible Preferred
Stock
and stockholders’ equity
|
|
$
|
109,630,002
|
|
$
|
113,631,706
|
|
$
|
100,557,007
|
|
$
|
98,427,608
|
|
$
|
83,026,590
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Derived from the audited consolidated financial statements at
December 31, 2010.
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(LOSS)
(UNAUDITED)
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
For the quarters ended
|
|
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
|
|
2011
|
|
2011
|
|
2011
|
|
2011
|
|
2010
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
$844,874
|
|
$926,558
|
|
$948,703
|
|
$837,880
|
|
$678,626
|
|
U.S. Treasury Securities
|
|
1,082
|
|
2,302
|
|
6,497
|
|
4,825
|
|
1,422
|
|
Securities loaned
|
|
1,744
|
|
1,942
|
|
1,868
|
|
1,343
|
|
2,039
|
|
Total interest income
|
|
847,700
|
|
930,802
|
|
957,068
|
|
844,048
|
|
682,087
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
114,989
|
|
109,014
|
|
100,164
|
|
102,602
|
|
103,514
|
|
Convertible Senior Notes
|
|
12,552
|
|
8,798
|
|
6,900
|
|
6,767
|
|
7,034
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
1,214
|
|
2,109
|
|
4,772
|
|
4,986
|
|
2,166
|
|
Securities borrowed
|
|
1,378
|
|
1,496
|
|
1,484
|
|
1,101
|
|
1,201
|
|
Total interest expense
|
|
130,133
|
|
121,417
|
|
113,320
|
|
115,456
|
|
113,915
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
717,567
|
|
809,385
|
|
843,748
|
|
728,592
|
|
568,172
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory and other fee income
|
|
20,460
|
|
20,828
|
|
20,710
|
|
17,207
|
|
16,321
|
|
Net gains (losses) on sales of Agency mortgage-backed securities
and
debentures
|
|
80,657
|
|
91,668
|
|
7,336
|
|
27,185
|
|
33,802
|
|
Dividend income from affiliates
|
|
8,283
|
|
8,706
|
|
8,230
|
|
6,297
|
|
7,647
|
|
Net gains (losses) on trading
|
|
6,356
|
|
1,942
|
|
(5,712)
|
|
18,812
|
|
(3,510)
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed
securities
|
|
(67,612)
|
|
(39,321)
|
|
276
|
|
-
|
|
-
|
|
Income (expense) from underwriting
|
|
19
|
|
2,772
|
|
(77)
|
|
2,904
|
|
680
|
|
Subtotal
|
|
48,163
|
|
86,595
|
|
30,763
|
|
72,405
|
|
54,940
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
(227,638)
|
|
(231,849)
|
|
(216,760)
|
|
(206,148)
|
|
(190,098)
|
|
Unrealized gains (losses) on interest rate swaps
|
|
(12,139)
|
|
(1,505,333)
|
|
(466,943)
|
|
169,308
|
|
839,191
|
|
Subtotal
|
|
(239,777)
|
|
(1,737,182)
|
|
(683,703)
|
|
(36,840)
|
|
649,093
|
|
Total other income (loss)
|
|
(191,614)
|
|
(1,650,587)
|
|
(652,940)
|
|
35,565
|
|
704,033
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation expense
|
|
54,340
|
|
57,629
|
|
49,752
|
|
44,530
|
|
40,193
|
|
Other general and administrative expenses
|
|
8,754
|
|
7,565
|
|
7,477
|
|
7,297
|
|
6,303
|
|
Total general and administrative expenses
|
|
63,094
|
|
65,194
|
|
57,229
|
|
51,827
|
|
46,496
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes and income from equity
method
investment in affiliate
|
|
462,859
|
|
(906,396)
|
|
133,579
|
|
712,330
|
|
1,225,709
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
(17,297)
|
|
(15,417)
|
|
(12,762)
|
|
(13,575)
|
|
(8,207)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from equity method investment in affiliate
|
|
-
|
|
-
|
|
-
|
|
1,140
|
|
1,002
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
445,562
|
|
(921,813)
|
|
120,817
|
|
699,895
|
|
1,218,504
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
4,148
|
|
4,172
|
|
4,267
|
|
4,267
|
|
4,268
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
$441,414
|
|
($925,985)
|
|
$116,550
|
|
$695,628
|
|
$1,214,236
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
$0.46
|
|
($0.98)
|
|
$0.14
|
|
$0.92
|
|
$1.94
|
|
Diluted
|
|
$0.44
|
|
($0.98)
|
|
$0.14
|
|
$0.89
|
|
$1.84
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
970,056,491
|
|
948,545,975
|
|
822,623,370
|
|
752,413,605
|
|
625,138,510
|
|
Diluted
|
|
1,011,495,682
|
|
948,545,975
|
|
827,754,731
|
|
790,993,841
|
|
662,476,638
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$445,562
|
|
($921,813)
|
|
$120,817
|
|
$699,895
|
|
$1,218,504
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
16,157
|
|
1,115,325
|
|
1,047,639
|
|
(142,227)
|
|
(692,663)
|
|
Unrealized losses on interest rate swaps
|
|
-
|
|
-
|
|
-
|
|
14,298
|
|
13,570
|
|
Reclassification adjustment for net (gains) losses included in net
income
(loss)
|
|
(80,657)
|
|
(91,668)
|
|
(7,336)
|
|
(27,185)
|
|
(33,802)
|
|
Other comprehensive income (loss)
|
|
(64,500)
|
|
1,023,657
|
|
1,040,303
|
|
(155,114)
|
|
(712,895)
|
|
Comprehensive income (loss)
|
|
$381,062
|
|
$101,844
|
|
$1,161,120
|
|
$544,781
|
|
$505,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
Interest expense related to the Company’s interest rate swaps is
recorded in Realized losses on interest rate swaps on the
Consolidated Statements of Operations and Comprehensive Income
(Loss).
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME
(LOSS)
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
For the year ended
|
|
|
December 31, 2011
(Unaudited)
|
|
December 31, 2010(1)
|
|
Interest income:
|
|
|
|
|
Investments
|
$3,558,015
|
|
$2,676,307
|
|
U.S. Treasury Securities
|
14,706
|
|
3,997
|
|
Securities loaned
|
6,897
|
|
2,830
|
|
Total interest income
|
3,579,618
|
|
2,683,134
|
|
Interest expense:
|
|
|
|
|
Repurchase agreements
|
426,769
|
|
397,971
|
|
Convertible Senior Notes
|
35,017
|
|
24,228
|
|
U.S Treasury Securities sold, not yet purchased
|
13,081
|
|
3,377
|
|
Securities borrowed
|
5,459
|
|
2,649
|
|
Total interest expense
|
480,326
|
|
428,225
|
|
|
|
|
|
|
Net interest income
|
3,099,292
|
|
2,254,909
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
Investment advisory and other fee income
|
79,205
|
|
58,073
|
|
Net gains (losses) on sales of Agency mortgage-backed securities
and
debentures
|
206,846
|
|
181,791
|
|
Dividend income from affiliates
|
31,516
|
|
31,038
|
|
Net gains (losses) on trading
|
21,398
|
|
(2,351)
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed
securities
|
(106,657)
|
|
-
|
|
Income from underwriting
|
5,618
|
|
2,095
|
|
Subtotal
|
237,926
|
|
270,646
|
|
Realized gains (losses) on interest rate swaps(2)
|
(882,395)
|
|
(735,107)
|
|
Unrealized gains (losses) on interest rate swaps
|
(1,815,107)
|
|
(318,832)
|
|
Subtotal
|
(2,697,502)
|
|
(1,053,939)
|
|
Total other income (loss)
|
(2,459,576)
|
|
(783,293)
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Distribution fees
|
-
|
|
360
|
|
Compensation expense
|
206,251
|
|
146,958
|
|
Other general and administrative expenses
|
31,093
|
|
24,529
|
|
Total expenses
|
237,344
|
|
171,847
|
|
|
|
|
|
|
Income (loss) before income taxes and income from equity method
investment in affiliate
|
402,372
|
|
1,299,769
|
|
|
|
|
|
|
Income taxes
|
(59,051)
|
|
(35,434)
|
|
|
|
|
|
|
Income from equity method investment in affiliate
|
1,140
|
|
2,945
|
|
|
|
|
|
|
Net income (loss)
|
344,461
|
|
1,267,280
|
|
|
|
|
|
|
Dividends on preferred stock
|
16,854
|
|
18,033
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
$327,607
|
|
$1,249,247
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
Basic
|
$0.37
|
|
$2.12
|
|
Diluted
|
$0.37
|
|
$2.04
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
Basic
|
874,212,039
|
|
588,192,659
|
|
Diluted
|
874,518,938
|
|
625,307,174
|
|
|
|
|
|
|
Net income (loss)
|
$344,461
|
|
$1,267,280
|
|
Other comprehensive income (loss):
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
2,036,894
|
|
(639,783)
|
|
Unrealized losses on interest rate swaps
|
14,298
|
|
94,899
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
(206,846)
|
|
(181,791)
|
|
Other comprehensive income (loss)
|
1,844,346
|
|
(726,675)
|
|
Comprehensive income (loss)
|
$2,188,807
|
|
$540,605
|
|
(1)
|
|
Derived from the audited consolidated financial statements at
December 31, 2010
|
|
(2)
|
|
Interest expense related to the Company’s interest rate swaps is
recorded in Realized losses on interest rate swaps on the
Consolidated Statements of Operations and Comprehensive Income
(Loss).
|
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
Source: Annaly Capital Management, Inc.