NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net loss
for the quarter ended June 30, 2012 of $91.2 million or $0.10 per
average common share as compared to GAAP net income of $120.8 million or
$0.14 per average common share for the quarter ended June 30, 2011, and
GAAP net income of $901.8 million or $0.92 per average common share for
the quarter ended March 31, 2012.
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 June 30, 2012, was $546.2 million or $0.55 per
average common share as compared to $587.5 million or $0.71 per average
common share for the quarter ended June 30, 2011, and $529.3 million or
$0.54 per average common share for the quarter ended March 31, 2012.
During the quarter ended June 30, 2012, the Company disposed of $6.4
billion of Agency mortgage-backed securities and debentures, resulting
in a realized gain of $94.8 million. During the quarter ended June 30,
2011, the Company disposed of $1.7 billion of Agency mortgage-backed
securities and debentures, resulting in a realized gain of $7.3 million.
During the quarter ended March 31, 2012, the Company disposed of $5.3
billion of Agency mortgage-backed securities and debentures, resulting
in a realized gain of $80.3 million.
Common dividends declared for the quarters ended June 30, 2012, June 30,
2011, and March 31, 2012 were $0.55, $0.65, and $0.55 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 June 30, 2012, based on the June 30, 2012, closing price
of $16.78, was 13.11%, as compared to 14.41% for the quarter ended June
30, 2011, and 13.91% for the quarter ended March 31, 2012.
During the quarter ended June 30, 2012, the Company issued $750.0
million in aggregate principal amount of 5.00% Convertible Senior Notes
due 2015. During the quarter the Company also issued 12 million shares
of 7.625% Series C Cumulative Redeemable Preferred Stock for net
proceeds of $290.5 million.
On a GAAP basis, the Company produced an annualized loss on average
equity for the quarter ended June 30, 2012 of 2.26% and an annualized
return on average equity for the quarters ended June 30, 2011 and March
31, 2012 of 3.60% and 22.73%, 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 June 30,
2012, June 30, 2011, and March 31, 2012, of 13.56%, 17.50% and 13.34%,
respectively.
Michael A.J. Farrell, Chairman, Chief Executive Officer and President of
Annaly, commented on the Company’s results: “We continue to monitor and
evaluate the challenges facing the Euro countries and their
institutions, regulatory uncertainty about the function and structure of
the global financial system and election-year brinksmanship on fiscal
and tax policy. In addition, we see long-term risks related to the
general direction of monetary policy and its effect on the financial
markets. Our concerns about embedded risks in the markets continues to
be reflected in the way we manage the Company. We believe our stance
maintains our flexibility while continuing to generate attractive
risk-adjusted returns for our shareholders.”
For the quarter ended June 30, 2012, the annualized yield on average
interest-earning assets was 3.04% and the annualized cost of funds on
average interest-bearing liabilities, including the net interest
payments on interest rate swaps, was 1.50%, which resulted in an average
interest rate spread of 1.54%. This was a 91 basis point decrease from
the 2.45% annualized interest rate spread for the quarter ended June 30,
2011, and a 17 basis point decrease from the 1.71% average interest rate
spread for the quarter ended March 31, 2012. At June 30, 2012, the
weighted average yield on investment securities was 3.17% and the
weighted average cost of funds on borrowings, including the net interest
payments on interest rate swaps, was 1.58%, which resulted in an
interest rate spread of 1.59%. Beginning with the quarter ended June 30,
2011, net interest payments on interest rate swaps, reflected in the
consolidated statements of comprehensive income 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 June 30, 2012, June 30, 2011, and
March 31, 2012 was 6.0:1, 5.7:1 and 5.8:1, respectively.
Fixed-rate mortgage-backed securities and Agency debentures comprised
92% of the Company’s portfolio at June 30, 2012. The balance of the
mortgage-backed securities and Agency debentures was comprised of 7%
adjustable-rate mortgage-backed securities and Agency debentures and 1%
LIBOR floating-rate collateralized mortgage obligations. At June 30,
2012, the Company had entered into interest rate swaps with a notional
amount of $46.2 billion, or 41% of the Company’s 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 comprehensive income. 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 June 30, 2012,
the swap portfolio had a weighted average pay rate of 2.29%, a weighted
average receive rate of 0.30% and weighted average years to maturity of
4.91 years. As of June 30, 2012, substantially all of the Company’s
Investment Securities were Fannie Mae, Freddie Mac and Ginnie Mae
mortgage-backed securities and debentures.
“Market conditions continue to warrant a conservative approach to our
portfolio,” said Wellington Denahan-Norris, Annaly’s Vice Chairman,
Chief Investment Officer and Chief Operating Officer. “We continue to
strengthen and extend the tenor of our liabilities while maintaining
leverage at a relatively low level. 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, 7% adjustable-rate
and 51% fixed-rate assets.”
The following table summarizes portfolio information for the Company:
|
|
June 30, 2012
|
|
June 30, 2011
|
|
March 31, 2012
|
|
Leverage at period-end
|
6.0:1
|
|
5.7:1
|
|
5.8:1
|
|
Fixed-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
92%
|
|
89%
|
|
91%
|
|
Adjustable-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
7%
|
|
10%
|
|
8%
|
|
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%
|
|
38%
|
|
40%
|
|
Annualized yield on average interest-earning assets during
the quarter
|
3.04%
|
|
4.04%
|
|
3.23%
|
|
Annualized cost of funds on average interest-bearing
liabilities during the quarter
|
1.50%
|
|
1.59%
|
|
1.52%
|
|
Annualized interest rate spread during the quarter
|
1.54%
|
|
2.45%
|
|
1.71%
|
|
Weighted average yield on investment securities at
period-end
|
3.17%
|
|
3.73%
|
|
3.21%
|
|
Weighted average cost of funds on interest-bearing liabilities at
period-end
|
1.58%
|
|
1.69%
|
|
1.51%
|
|
Interest rate spread at period-end
|
1.59%
|
|
2.07%
|
|
1.70%
|
|
Weighted average days to maturity on interest-bearing liabilities at
period-end
|
216
|
|
130
|
|
127
|
|
Weighted average receive rate on interest rate swaps at period-end
|
0.30%
|
|
0.21%
|
|
0.31%
|
|
Weighted average pay rate on interest rate swaps at period-end
|
2.29%
|
|
2.79%
|
|
2.42%
|
|
|
|
|
|
|
|
The following table summarizes certain characteristics of the Company’s
interest rate swaps as of June 30, 2012:
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Weighted Average
|
|
Average
|
|
Weighted Average Years
|
|
Maturity
|
|
Current Notional
|
|
Pay Rate
|
|
Receive Rate
|
|
to Maturity
|
|
|
|
(dollars in thousands)
|
|
0 - 3 years
|
|
$14,628,700
|
|
2.43%
|
|
0.31%
|
|
1.74
|
|
3 - 6 years
|
|
23,088,120
|
|
1.89%
|
|
0.29%
|
|
3.91
|
|
6 - 10 years
|
|
4,450,000
|
|
2.90%
|
|
0.32%
|
|
7.55
|
|
Greater than 10 years
|
|
4,038,250
|
|
3.36%
|
|
0.30%
|
|
19.16
|
|
Total / Weighted Average
|
|
$46,205,070
|
|
2.29%
|
|
0.30%
|
|
4.91
|
|
|
|
|
|
|
|
|
|
|
The following table presents the maturities of repurchase agreements at
June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
Weighted Average
|
|
|
Maturity
|
|
|
|
|
|
|
|
|
|
Balance
|
|
|
|
|
|
Rate
|
|
|
(dollars in thousands)
|
|
|
Within 30 days
|
|
|
|
|
|
|
|
|
|
$32,549,648
|
|
|
|
|
|
0.40%
|
|
|
30 to 59 days
|
|
|
|
|
|
|
|
|
|
22,134,932
|
|
|
|
|
|
0.40%
|
|
|
60 to 89 days
|
|
|
|
|
|
|
|
|
|
5,302,260
|
|
|
|
|
|
0.55%
|
|
|
90 to 119 days
|
|
|
|
|
|
|
|
|
|
11,125,373
|
|
|
|
|
|
0.37%
|
|
|
Over 120 days(1)
|
|
|
|
|
|
|
|
|
|
25,648,584
|
|
|
|
|
|
1.10%
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
$96,760,797
|
|
|
|
|
|
0.59%
|
|
|
(1) Of the total repurchase agreements, approximately
11% have a remaining maturity over 1 year.
|
The Constant Prepayment Rate for the quarters ended June 30, 2012, June
30, 2011, and March 31, 2012 was 19%, 11% and 19%, respectively. The
weighted average purchase price of the Company’s Agency mortgage-backed
securities and debentures at June 30, 2012, June 30, 2011 and March 31,
2012 was 103.2%, 102.1% and 102.9%, respectively. The net amortization
of premiums and accretion of discounts on Agency mortgage-backed
securities and debentures for the quarters ended June 30, 2012, June 30,
2011, and March 31, 2012 was $302.8 million, $126.5 million, and $280.3
million, respectively. The total net premium and discount balance at
June 30, 2012, June 30, 2011, and March 31, 2012, was $4.5 billion, $3.0
billion, and $3.8 billion, respectively.
General and administrative expenses as a percentage of average assets
was 0.21%, 0.23% and 0.24% for the quarters ended June 30, 2012, June
30, 2011, and March 31, 2012, respectively. At June 30, 2012, June 30,
2011, and March 31, 2012, the Company had a common stock book value per
share of $16.23, $16.55 and $16.18, respectively.
At June 30, 2012, June 30, 2011, and March 31, 2012, the Company’s
wholly-owned registered investment advisors had under management
approximately $12.4 billion, $13.1 billion and $12.4 billion in net
assets, respectively, and $20.5 billion, $23.0 billion and $20.0 billion
in gross assets, respectively. For the quarters ended June 30, 2012,
June 30, 2011, and March 31, 2012, investment advisory and other fee
income was $21.9 million, $20.7 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 2012 second quarter earnings conference call
on Thursday August 2, 2012 at 9:00 a.m. EDT. The number to call is
877-883-0383 for domestic calls and 412-902-6506 for international
calls. The conference passcode is 7769917. The replay number is
877-344-7529 for domestic calls and 412-317-0088 for international calls
and the conference passcode is 10016746. 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, our ability to consummate any contemplated investment
opportunities, 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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
|
|
March 31,
|
|
|
|
September 30,
|
|
June 30,
|
|
|
|
2012
|
|
2012
|
|
December 31,
|
|
2011
|
|
2011
|
|
|
|
(Unaudited)
|
|
(Unaudited)
|
|
2011(1)
|
|
(Unaudited)
|
|
(Unaudited)
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
$
|
924,374
|
|
|
$
|
932,761
|
|
|
$
|
994,198
|
|
|
$
|
3,473,866
|
|
|
$
|
401,844
|
|
|
Reverse repurchase agreements
|
|
|
2,025,471
|
|
|
|
2,540,601
|
|
|
|
860,866
|
|
|
|
360,315
|
|
|
|
593,865
|
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities
|
|
|
1,998,363
|
|
|
|
2,622,714
|
|
|
|
928,547
|
|
|
|
172,892
|
|
|
|
748,118
|
|
|
Securities borrowed
|
|
|
1,465,327
|
|
|
|
1,122,453
|
|
|
|
928,732
|
|
|
|
1,052,810
|
|
|
|
519,929
|
|
|
Agency mortgage-backed securities
|
|
|
118,500,649
|
|
|
|
110,291,712
|
|
|
|
104,251,055
|
|
|
|
106,588,710
|
|
|
|
96,773,448
|
|
|
Agency debentures
|
|
|
1,250,506
|
|
|
|
1,499,127
|
|
|
|
889,580
|
|
|
|
824,092
|
|
|
|
703,093
|
|
|
Investments in affiliates
|
|
|
203,057
|
|
|
|
225,818
|
|
|
|
211,970
|
|
|
|
209,374
|
|
|
|
261,659
|
|
|
Equity securities
|
|
|
-
|
|
|
|
4,470
|
|
|
|
3,891
|
|
|
|
3,929
|
|
|
|
-
|
|
|
Corporate debt, held for investment
|
|
|
60,638
|
|
|
|
50,806
|
|
|
|
52,073
|
|
|
|
27,988
|
|
|
|
27,982
|
|
|
Receivable for investments sold
|
|
|
1,320,996
|
|
|
|
454,278
|
|
|
|
-
|
|
|
|
402,817
|
|
|
|
40,751
|
|
|
Accrued interest and dividends receivable
|
|
|
420,390
|
|
|
|
418,489
|
|
|
|
409,023
|
|
|
|
410,862
|
|
|
|
386,160
|
|
|
Receivable from Prime Broker
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
Receivable for advisory and service fees
|
|
|
20,743
|
|
|
|
19,608
|
|
|
|
19,550
|
|
|
|
19,656
|
|
|
|
19,666
|
|
|
Intangible for customer relationships
|
|
|
9,714
|
|
|
|
10,281
|
|
|
|
10,807
|
|
|
|
11,531
|
|
|
|
12,141
|
|
|
Goodwill
|
|
|
55,417
|
|
|
|
55,417
|
|
|
|
42,030
|
|
|
|
42,030
|
|
|
|
42,030
|
|
|
Other derivative contracts, at fair value
|
|
|
3,717
|
|
|
|
321
|
|
|
|
113
|
|
|
|
1,450
|
|
|
|
767
|
|
|
Other assets
|
|
|
41,937
|
|
|
|
29,412
|
|
|
|
24,295
|
|
|
|
26,112
|
|
|
|
22,282
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
128,304,571
|
|
|
$
|
120,281,540
|
|
|
$
|
109,630,002
|
|
|
$
|
113,631,706
|
|
|
$
|
100,557,007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities sold, not yet purchased, at fair value
|
|
$
|
1,884,922
|
|
|
$
|
2,577,905
|
|
|
$
|
826,912
|
|
|
$
|
549,505
|
|
|
$
|
491,740
|
|
|
Repurchase agreements
|
|
|
96,760,797
|
|
|
|
91,720,865
|
|
|
|
84,097,885
|
|
|
|
86,495,905
|
|
|
|
78,447,165
|
|
|
Securities loaned, at fair value
|
|
|
1,113,107
|
|
|
|
876,849
|
|
|
|
804,901
|
|
|
|
907,061
|
|
|
|
447,330
|
|
|
Payable for investments purchased
|
|
|
7,387,410
|
|
|
|
5,708,412
|
|
|
|
4,315,796
|
|
|
|
5,852,986
|
|
|
|
4,824,618
|
|
|
Convertible Senior Notes
|
|
|
1,245,915
|
|
|
|
524,420
|
|
|
|
539,913
|
|
|
|
557,045
|
|
|
|
600,000
|
|
|
Accrued interest payable
|
|
|
174,819
|
|
|
|
129,108
|
|
|
|
138,965
|
|
|
|
128,371
|
|
|
|
122,753
|
|
|
Dividends payable
|
|
|
535,898
|
|
|
|
534,401
|
|
|
|
552,806
|
|
|
|
581,752
|
|
|
|
539,970
|
|
|
Interest rate swaps, at fair value
|
|
|
2,822,264
|
|
|
|
2,211,048
|
|
|
|
2,552,687
|
|
|
|
2,540,558
|
|
|
|
1,035,215
|
|
|
Accounts payable and other liabilities
|
|
|
94,853
|
|
|
|
57,927
|
|
|
|
7,223
|
|
|
|
74,837
|
|
|
|
78,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
112,019,985
|
|
|
|
104,340,935
|
|
|
|
93,837,088
|
|
|
|
97,688,020
|
|
|
|
86,587,686
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000
shares authorized, 0, 0, 1,331,849, 1,389,249, and 1,649,047
shares issued and outstanding, respectively
|
|
|
-
|
|
|
|
-
|
|
|
|
32,272
|
|
|
|
33,664
|
|
|
|
39,959
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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,
0, 0, 0, and 0 authorized, respectively, 12,000,000, 0, 0, 0, and
0 issued and outstanding, respectively
|
|
|
290,514
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
Common stock, par value $.01 per share, 1,975,337,500,
1,987,987,500, 1,987,987,500, 1,987,987,500, and 1,987,987,500
authorized, respectively, 974,684,401, 974,325,338, 970,161,647,
969,913,060 and 831,047,443 issued and outstanding, respectively
|
|
|
9,747
|
|
|
|
9,743
|
|
|
|
9,702
|
|
|
|
9,699
|
|
|
|
8,310
|
|
|
Additional paid-in capital
|
|
|
15,168,020
|
|
|
|
15,127,882
|
|
|
|
15,068,870
|
|
|
|
15,042,361
|
|
|
|
12,579,012
|
|
|
Accumulated other comprehensive income
|
|
|
3,413,320
|
|
|
|
2,766,430
|
|
|
|
3,008,988
|
|
|
|
3,073,488
|
|
|
|
2,049,831
|
|
|
Accumulated deficit
|
|
|
(2,774,103
|
)
|
|
|
(2,140,538
|
)
|
|
|
(2,504,006
|
)
|
|
|
(2,392,614
|
)
|
|
|
(884,879
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
16,284,586
|
|
|
|
15,940,605
|
|
|
|
15,760,642
|
|
|
|
15,910,022
|
|
|
|
13,929,362
|
|
|
Total liabilities, Series B Cumulative Convertible Preferred Stock
and stockholders’ equity
|
|
$
|
128,304,571
|
|
|
$
|
120,281,540
|
|
|
$
|
109,630,002
|
|
|
$
|
113,631,706
|
|
|
$
|
100,557,007
|
|
|
(1) Derived from the audited consolidated financial statements at
December 31, 2011.
|
|
|
|
|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
|
|
(UNAUDITED)
|
|
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
For the quarters ended
|
|
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
|
|
2012
|
|
2012
|
|
2011
|
|
2011
|
|
2011
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
$876,229
|
|
$850,959
|
|
$844,874
|
|
$926,558
|
|
$948,703
|
|
U.S. Treasury Securities
|
|
7,397
|
|
1,418
|
|
1,082
|
|
2,302
|
|
6,497
|
|
Securities loaned
|
|
2,698
|
|
2,518
|
|
1,744
|
|
1,942
|
|
1,868
|
|
Total interest income
|
|
886,324
|
|
854,895
|
|
847,700
|
|
930,802
|
|
957,068
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
139,579
|
|
113,914
|
|
114,989
|
|
109,014
|
|
100,164
|
|
Convertible Senior Notes
|
|
18,965
|
|
14,727
|
|
12,552
|
|
8,798
|
|
6,900
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
5,801
|
|
2,644
|
|
1,214
|
|
2,109
|
|
4,772
|
|
Securities borrowed
|
|
2,098
|
|
2,060
|
|
1,378
|
|
1,496
|
|
1,484
|
|
Total interest expense
|
|
166,443
|
|
133,345
|
|
130,133
|
|
121,417
|
|
113,320
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
719,881
|
|
721,550
|
|
717,567
|
|
809,385
|
|
843,748
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory and other fee income
|
|
21,929
|
|
20,766
|
|
20,460
|
|
20,828
|
|
20,710
|
|
Net gains (losses) on sales of Agency mortgage-backed securities
and debentures
|
|
94,837
|
|
80,299
|
|
80,657
|
|
91,668
|
|
7,336
|
|
Dividend income from affiliates
|
|
6,621
|
|
7,521
|
|
8,283
|
|
8,706
|
|
8,230
|
|
Net gains (losses) on trading assets
|
|
1,105
|
|
5,256
|
|
6,356
|
|
1,942
|
|
(5,712)
|
|
Net unrealized gains (losses) on interest-only Agency
mortgage-backed securities
|
|
(26,103)
|
|
30,877
|
|
(67,612)
|
|
(39,321)
|
|
276
|
|
Income (expense) from underwriting
|
|
(8)
|
|
(8)
|
|
19
|
|
2,772
|
|
(77)
|
|
Subtotal
|
|
98,381
|
|
144,711
|
|
48,163
|
|
86,595
|
|
30,763
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
(222,002)
|
|
(219,340)
|
|
(227,638)
|
|
(231,849)
|
|
(216,760)
|
|
Realized gain (loss) on termination of interest rate swaps
|
|
-
|
|
(2,385)
|
|
-
|
|
-
|
|
-
|
|
Unrealized gains (losses) on interest rate swaps
|
|
(611,215)
|
|
341,639
|
|
(12,139)
|
|
(1,505,333)
|
|
(466,943)
|
|
Subtotal
|
|
(833,217)
|
|
119,914
|
|
(239,777)
|
|
(1,737,182)
|
|
(683,703)
|
|
Total other income (loss)
|
|
(734,836)
|
|
264,625
|
|
(191,614)
|
|
(1,650,587)
|
|
(652,940)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
Compensation expense
|
|
53,536
|
|
59,014
|
|
54,340
|
|
57,629
|
|
49,752
|
|
Other general and administrative expenses
|
|
11,012
|
|
8,893
|
|
8,754
|
|
7,565
|
|
7,477
|
|
Total general and administrative expenses
|
|
64,548
|
|
67,907
|
|
63,094
|
|
65,194
|
|
57,229
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income before income taxes
|
|
(79,503)
|
|
918,268
|
|
462,859
|
|
(906,396)
|
|
133,579
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
(11,656)
|
|
(16,462)
|
|
(17,297)
|
|
(15,417)
|
|
(12,762)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
(91,159)
|
|
901,806
|
|
445,562
|
|
(921,813)
|
|
120,817
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
6,508
|
|
3,938
|
|
4,148
|
|
4,172
|
|
4,267
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
($97,667)
|
|
$897,868
|
|
$441,414
|
|
($925,985)
|
|
$116,550
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
($0.10)
|
|
$0.92
|
|
$0.46
|
|
($0.98)
|
|
$0.14
|
|
Diluted
|
|
($0.10)
|
|
$0.89
|
|
$0.44
|
|
($0.98)
|
|
$0.14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
974,555,392
|
|
971,727,701
|
|
970,056,491
|
|
948,545,975
|
|
822,623,370
|
|
Diluted
|
|
974,555,392
|
|
1,010,588,609
|
|
1,011,495,682
|
|
948,545,975
|
|
827,754,731
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
($91,159)
|
|
$901,806
|
|
$445,562
|
|
($921,813)
|
|
$120,817
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
741,727
|
|
(162,259)
|
|
16,157
|
|
1,115,325
|
|
1,047,639
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
(94,837)
|
|
(80,299)
|
|
(80,657)
|
|
(91,668)
|
|
(7,336)
|
|
Other comprehensive income (loss)
|
|
646,890
|
|
(242,558)
|
|
(64,500)
|
|
1,023,657
|
|
1,040,303
|
|
Comprehensive income (loss)
|
|
$555,731
|
|
$659,248
|
|
$381,062
|
|
$101,844
|
|
$1,161,120
|
|
|
|
(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
|
|
(UNAUDITED)
|
|
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
For the six months ended
|
|
|
|
June 30, 2012
|
|
June 30, 2011
|
|
Interest income:
|
|
|
|
|
|
Investments
|
|
$1,727,188
|
|
$1,786,583
|
|
U.S. Treasury Securities
|
|
8,815
|
|
11,322
|
|
Securities loaned
|
|
5,216
|
|
3,211
|
|
Total interest income
|
|
1,741,219
|
|
1,801,116
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
Repurchase agreements
|
|
253,493
|
|
202,766
|
|
Convertible Senior Notes
|
|
33,692
|
|
13,667
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
8,445
|
|
9,758
|
|
Securities borrowed
|
|
4,158
|
|
2,585
|
|
Total interest expense
|
|
299,788
|
|
228,776
|
|
|
|
|
|
|
|
Net interest income
|
|
1,441,431
|
|
1,572,340
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
Investment advisory and other fee income
|
|
42,695
|
|
37,917
|
|
Net gains (losses) on sales of Agency mortgage-backed securities and
debentures
|
|
175,136
|
|
34,521
|
|
Dividend income from affiliates
|
|
14,142
|
|
14,527
|
|
Net gains (losses) on trading assets
|
|
6,361
|
|
13,100
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed securities
|
|
4,774
|
|
276
|
|
Income (expense) from underwriting
|
|
(16)
|
|
2,827
|
|
Subtotal
|
|
243,092
|
|
103,168
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
(441,342)
|
|
(422,908)
|
|
Realized gain (loss) on termination of interest rate swaps
|
|
(2,385)
|
|
-
|
|
Unrealized gains (losses) on interest rate swaps
|
|
(269,576)
|
|
(297,635)
|
|
Subtotal
|
|
(713,303)
|
|
(720,543)
|
|
Total other income (loss)
|
|
(470,211)
|
|
(617,375)
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
Compensation expense
|
|
112,550
|
|
94,282
|
|
Other general and administrative expenses
|
|
19,905
|
|
14,774
|
|
Total general and administrative expenses
|
|
132,455
|
|
109,056
|
|
Income before income taxes and income from equity
method investment in affiliate
|
|
838,765
|
|
845,909
|
|
|
|
|
|
|
|
Income taxes
|
|
(28,118)
|
|
(26,337)
|
|
|
|
|
|
|
|
Income (loss) from equity method investment in affiliate
|
|
-
|
|
1,140
|
|
|
|
|
|
|
|
Net income (loss)
|
|
810,647
|
|
820,712
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
10,446
|
|
8,534
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
$800,201
|
|
$812,178
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
Basic
|
|
$0.82
|
|
$1.03
|
|
Diluted
|
|
$0.78
|
|
$1.00
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
Basic
|
|
973,141,546
|
|
787,712,527
|
|
Diluted
|
|
1,052,888,301
|
|
827,622,301
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$810,647
|
|
$820,712
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
579,468
|
|
905,412
|
|
Unrealized losses on interest rate swaps
|
|
-
|
|
14,298
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
(175,136)
|
|
(34,521)
|
|
Other comprehensive income (loss)
|
|
404,332
|
|
885,189
|
|
Comprehensive income (loss)
|
|
$1,214,979
|
|
$1,705,901
|
|
|
|
(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.
Investor Relations
1-888-8Annaly
www.annaly.com
Source: Annaly Capital Management, Inc.