NEW YORK--(BUSINESS WIRE)--
Sixth graph, third sentence should read (end of quotation): We are
prepared to be opportunistic given our low leverage, strong liquidity
and sizeable capital position (sted: We are prepared to be opportunistic
given our low leverage, strong liquidity and sizeable capital
production).
The corrected release reads:
ANNALY CAPITAL MANAGEMENT, INC. REPORTS RESULTS FOR THE 2ND QUARTER
2013
Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net
income for the quarter ended June 30, 2013 of $1.6 billion or $1.71 per
average common share as compared to GAAP net income of $870.3 million or
$0.90 per average common share for the quarter ended March 31, 2013, and
GAAP net loss of $91.2 million or $0.10 per average common share for the
quarter ended June 30, 2012.
Without the effect of the unrealized gains or losses on interest rate
swaps and Agency interest-only mortgage-backed securities, net loss on
extinguishment of the 4% Convertible Senior Notes due 2015 (the “4%
Convertible Notes”), impairment of goodwill and loss on previously held
equity interest in CreXus Investment Corp. (“CreXus”), net income for
the quarter ended June 30, 2013 was $460.6 million or $0.47 per average
common share as compared to $464.4 million or $0.47 per average common
share for the quarter ended March 31, 2013, and $546.2 million or $0.55
per average common share for the quarter ended June 30, 2012.
Agency mortgage-backed securities, Agency debentures, and corporate debt
are considered Investment Securities. During the quarter ended June 30,
2013, the Company disposed of $14.8 billion of Investment Securities,
resulting in a realized gain of $148.0 million. During the quarter ended
March 31, 2013, the Company disposed of $17.2 billion of Investment
Securities, resulting in a realized gain of $182.8 million. During the
quarter ended June 30, 2012, the Company disposed of $6.4 billion of
Investment Securities, resulting in a realized gain of $94.8 million.
Common dividends declared for the quarters ended June 30, 2013, March
31, 2013, and June 30, 2012 were $0.40, $0.45, 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, 2013, based on the June 30, 2013 closing price of $12.57, was
12.73%, as compared to 11.33% for the quarter ended March 31, 2013, and
13.11% for the quarter ended June 30, 2012.
On a GAAP basis, the Company produced an annualized return on average
equity for the quarter ended June 30, 2013 of 45.87%, an annualized
return on average equity for the quarter ended March 31, 2013 of 22.29%,
and an annualized loss on average equity for the quarter ended June 30,
2012 of 2.26%. Without the effect of the unrealized gains or losses on
interest rate swaps and Agency interest-only mortgage-backed securities,
net loss on extinguishment of the 4% Convertible Notes, impairment of
goodwill and loss on previously held equity interest in CreXus, the
Company provided an annualized return on average equity for the quarters
ended June 30, 2013, March 31, 2013, and June 30, 2012, of 12.90%,
11.90%, and 13.56%, respectively. Leverage at June 30, 2013, March 31,
2013, and June 30, 2012, was 6.2:1, 6.6:1 and 6.0:1, respectively.
Leverage includes loan participations and mortgage payable which are
non-recourse to the Company.
Wellington J. Denahan, Chairman and Chief Executive Officer of Annaly,
commented on the Company’s results. “While the resulting sell-off in the
bond market put pressure on asset values during the 2nd quarter, I
believe that our focus on prudent risk management and the evolution of
our capital allocation strategy has helped protect our portfolio and
positions Annaly to take advantage of current market opportunities. We
are prepared to be opportunistic given our low leverage, strong
liquidity and sizeable capital position.”
For the quarter ended June 30, 2013, the annualized yield on average
interest-earning assets was 2.51% and the annualized cost of funds on
average interest-bearing liabilities, including the net interest
payments on interest rate swaps, was 1.53%, which resulted in an average
interest rate spread of 0.98%. This was a 7 basis point increase from
the 0.91% average interest rate spread for the quarter ended March 31,
2013, and a 56 basis point decrease from the 1.54% average interest rate
spread for the quarter ended June 30, 2012.
Fixed-rate Agency mortgage-backed securities and debentures comprised
92% of the Company’s Investment Securities portfolio at June 30, 2013.
Adjustable-rate Agency mortgage-backed securities and debentures
comprised 8% of the Company’s Investment Securities portfolio. At June
30, 2013, the Company had entered into interest rate swaps with a
notional amount of $48.5 billion, or 53% 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 cost of financing. As of June
30, 2013, the swap portfolio had a weighted average pay rate of 2.05%, a
weighted average receive rate of 0.22% and weighted average years to
maturity of 5.04. As of June 30, 2013, substantially all of the
Company’s Investment Securities were Fannie Mae, Freddie Mac and Ginnie
Mae mortgage-backed securities and debentures.
The following table summarizes portfolio information for the Company:
|
|
|
|
June 30, 2013
|
|
|
March 31, 2013
|
|
|
June 30, 2012
|
|
Leverage at period-end *
|
|
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6.2:1
|
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6.6:1
|
|
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6.0:1
|
|
Fixed-rate Agency mortgage-backed securities and debentures as a
percentage of portfolio
|
|
|
92%
|
|
|
92%
|
|
|
92%
|
|
Adjustable-rate Agency mortgage-backed securities and debentures
as a percentage of portfolio
|
|
|
8%
|
|
|
8%
|
|
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7%
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|
Floating-rate Agency mortgage-backed securities and debentures as
a percentage of portfolio
|
|
|
-
|
|
|
-
|
|
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1%
|
|
Notional amount of interest rate swaps as a percentage of
Investment Securities
|
|
|
53%
|
|
|
46%
|
|
|
41%
|
|
Annualized yield on average interest-earning assets during the
quarter
|
|
|
2.51%
|
|
|
2.37%
|
|
|
3.04%
|
|
Annualized cost of funds on average interest-bearing liabilities
during the quarter
|
|
|
1.53%
|
|
|
1.46%
|
|
|
1.50%
|
|
Annualized interest rate spread during the quarter
|
|
|
0.98%
|
|
|
0.91%
|
|
|
1.54%
|
|
Weighted average days to maturity on interest-bearing liabilities
at period-end
|
|
|
196
|
|
|
202
|
|
|
216
|
|
Weighted average receive rate on interest rate swaps at period-end
|
|
|
0.22%
|
|
|
0.23%
|
|
|
0.30%
|
|
Weighted average pay rate on interest rate swaps at period-end
|
|
|
2.05%
|
|
|
2.08%
|
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|
2.29%
|
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|
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* Includes loan participations and mortgage payable which are
non-recourse to the Company.
|
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|
The following table summarizes certain characteristics of the Company’s
interest rate swaps at June 30, 2013:
|
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|
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Current
|
|
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Weighted Average
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|
Weighted Average
|
|
|
Weighted Average Years to
|
|
Maturity
|
|
|
Notional
|
|
|
Pay Rate
|
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Receive Rate
|
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Maturity
|
|
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|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
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0 - 3 years
|
|
|
$
|
21,567,050
|
|
|
1.94
|
%
|
|
|
0.21
|
%
|
|
|
2.18
|
|
3 - 6 years
|
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|
14,738,490
|
|
|
1.69
|
%
|
|
|
0.23
|
%
|
|
|
3.99
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|
6 - 10 years
|
|
|
|
7,700,000
|
|
|
2.31
|
%
|
|
|
0.25
|
%
|
|
|
7.53
|
|
Greater than 10 years
|
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|
|
4,466,750
|
|
|
3.32
|
%
|
|
|
0.22
|
%
|
|
|
18.08
|
|
Total / Weighted Average
|
|
|
$
|
48,472,290
|
|
|
2.05
|
%
|
|
|
0.22
|
%
|
|
|
5.04
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents the maturities of repurchase agreements at
June 30, 2013:
|
Maturity
|
|
|
Principal Balance
|
|
|
Weighted Average Rate
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
Within 30 days
|
|
|
$
|
32,749,247
|
|
|
0.42
|
%
|
|
30 to 59 days
|
|
|
|
18,675,058
|
|
|
0.41
|
%
|
|
60 to 89 days
|
|
|
|
2,827,502
|
|
|
0.58
|
%
|
|
90 to 119 days
|
|
|
|
6,522,227
|
|
|
0.37
|
%
|
|
Over 120 days(1)
|
|
|
|
20,623,301
|
|
|
1.27
|
%
|
|
Total
|
|
|
$
|
81,397,335
|
|
|
0.64
|
%
|
(1) Of the total repurchase agreements, approximately 13% have a
remaining maturity over 1 year.
The Constant Prepayment Rate for the quarters ended June 30, 2013, March
31, 2013, and June 30, 2012, was 16%, 18% and 19%, respectively. The
weighted average purchase price of the Company’s Agency mortgage-backed
securities and debentures at June 30, 2013, March 31, 2013, and June 30,
2012, was 103.7%, 103.9% and 103.2%, respectively. The net amortization
of premiums and accretion of discounts on Agency mortgage-backed
securities and debentures for the quarters ended June 30, 2013, March
31, 2013, and June 30, 2012, was $320.2 million, $421.1 million, and
$302.8 million, respectively. The total net premium and discount balance
on Agency mortgage-backed securities and debentures at June 30, 2013,
March 31, 2013, and June 30, 2012, was $5.3 billion, $5.4 billion, and
$4.5 billion, respectively. At June 30, 2013, March 31, 2013, and June
30, 2012, the Company had a common stock book value per share of $13.03,
$15.19 and $16.23, respectively.
Annaly’s principal business objective is to generate net income for
distribution to its shareholders from its Investment Securities and from
dividends it receives from its subsidiaries.
The Company prepares a supplement to provide additional quarterly
information for the benefit of its shareholders. The supplement can be
found at the Company’s website in the Investor Relations section under
“Quarterly Supplemental Information”.
The Company will hold the 2013 second quarter earnings conference call
on August 8, 2013 at 10:00 a.m. EDT. The number to call is 888-317-6003
for domestic calls and 412-317-6061 for international calls. The
conference passcode is 4925037. The replay number is 877-344-7529 for
domestic calls and 412-317-0088 for international calls and the
conference passcode is 10031615. 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, our ability to integrate the commercial mortgage
business, 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.
|
|
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|
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|
|
|
|
|
|
|
|
|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30,
2013
(Unaudited)
|
|
|
March 31,
2013
(Unaudited)
|
|
|
December 31,
2012(1)
|
|
|
September 30,
2012
(Unaudited)
|
|
|
June 30,
2012
(Unaudited)
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
|
$
|
725,537
|
|
|
|
$
|
1,862,550
|
|
|
|
$
|
615,789
|
|
|
|
$
|
2,264,854
|
|
|
|
$
|
924,374
|
|
|
Reverse repurchase agreements
|
|
|
|
171,234
|
|
|
|
|
4,933,465
|
|
|
|
|
1,811,095
|
|
|
|
|
1,612,384
|
|
|
|
|
2,025,471
|
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities
|
|
|
|
-
|
|
|
|
|
1,645,930
|
|
|
|
|
752,076
|
|
|
|
|
2,242,039
|
|
|
|
|
1,998,363
|
|
|
Securities borrowed
|
|
|
|
2,425,024
|
|
|
|
|
2,688,485
|
|
|
|
|
2,160,942
|
|
|
|
|
1,602,692
|
|
|
|
|
1,465,327
|
|
|
Agency mortgage-backed securities
|
|
|
|
92,487,318
|
|
|
|
|
108,256,671
|
|
|
|
|
123,963,207
|
|
|
|
|
129,597,714
|
|
|
|
|
118,500,649
|
|
|
Agency debentures
|
|
|
|
3,306,473
|
|
|
|
|
3,970,279
|
|
|
|
|
3,009,568
|
|
|
|
|
2,935,538
|
|
|
|
|
1,250,506
|
|
|
Investments in affiliates
|
|
|
|
134,948
|
|
|
|
|
267,547
|
|
|
|
|
234,120
|
|
|
|
|
224,899
|
|
|
|
|
203,057
|
|
|
Commercial real estate investments
|
|
|
|
1,005,560
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Corporate debt, held for investment
|
|
|
|
61,682
|
|
|
|
|
66,539
|
|
|
|
|
63,944
|
|
|
|
|
64,928
|
|
|
|
|
60,638
|
|
|
Receivable for investments sold
|
|
|
|
1,499,140
|
|
|
|
|
1,292,478
|
|
|
|
|
290,722
|
|
|
|
|
470,266
|
|
|
|
|
1,320,996
|
|
|
Accrued interest and dividends receivable
|
|
|
|
340,671
|
|
|
|
|
388,665
|
|
|
|
|
419,259
|
|
|
|
|
434,026
|
|
|
|
|
420,390
|
|
|
Receivable from Prime Broker
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
3,272
|
|
|
|
|
3,272
|
|
|
Receivable for investment advisory income
|
|
|
|
10,374
|
|
|
|
|
12,817
|
|
|
|
|
17,730
|
|
|
|
|
20,271
|
|
|
|
|
20,743
|
|
|
Intangible for customer relationships
|
|
|
|
6,474
|
|
|
|
|
6,731
|
|
|
|
|
6,989
|
|
|
|
|
9,146
|
|
|
|
|
9,714
|
|
|
Goodwill
|
|
|
|
102,783
|
|
|
|
|
55,417
|
|
|
|
|
55,417
|
|
|
|
|
55,417
|
|
|
|
|
55,417
|
|
|
Interest rate swaps, at fair value
|
|
|
|
38,950
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Other derivatives
|
|
|
|
91,270
|
|
|
|
|
-
|
|
|
|
|
9,830
|
|
|
|
|
559
|
|
|
|
|
3,717
|
|
|
Other assets
|
|
|
|
61,146
|
|
|
|
|
54,282
|
|
|
|
|
41,607
|
|
|
|
|
38,595
|
|
|
|
|
41,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
$
|
102,468,584
|
|
|
|
$
|
125,501,856
|
|
|
|
$
|
133,452,295
|
|
|
|
$
|
141,576,600
|
|
|
|
$
|
128,304,571
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities sold, not yet purchased, at fair value
|
|
|
$
|
-
|
|
|
|
$
|
611,167
|
|
|
|
$
|
495,437
|
|
|
|
$
|
1,418,750
|
|
|
|
$
|
1,884,922
|
|
|
Repurchase agreements
|
|
|
|
81,397,335
|
|
|
|
|
100,322,942
|
|
|
|
|
102,785,697
|
|
|
|
|
101,033,146
|
|
|
|
|
96,760,797
|
|
|
Securities loaned, at fair value
|
|
|
|
2,284,245
|
|
|
|
|
2,330,060
|
|
|
|
|
1,808,315
|
|
|
|
|
1,248,968
|
|
|
|
|
1,113,107
|
|
|
Payable for investments purchased
|
|
|
|
2,833,214
|
|
|
|
|
3,203,461
|
|
|
|
|
8,256,957
|
|
|
|
|
16,107,038
|
|
|
|
|
7,387,410
|
|
|
Payable for share buyback program
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
141,149
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Convertible Senior Notes
|
|
|
|
824,229
|
|
|
|
|
824,902
|
|
|
|
|
825,541
|
|
|
|
|
999,749
|
|
|
|
|
1,245,915
|
|
|
Mortgage payable
|
|
|
|
19,361
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Participation sold
|
|
|
|
14,324
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Accrued interest payable
|
|
|
|
164,190
|
|
|
|
|
175,749
|
|
|
|
|
186,896
|
|
|
|
|
181,502
|
|
|
|
|
174,819
|
|
|
Dividends payable
|
|
|
|
396,888
|
|
|
|
|
426,173
|
|
|
|
|
432,154
|
|
|
|
|
487,237
|
|
|
|
|
535,898
|
|
|
Interest rate swaps, at fair value
|
|
|
|
1,189,178
|
|
|
|
|
2,259,173
|
|
|
|
|
2,584,907
|
|
|
|
|
2,926,461
|
|
|
|
|
2,822,264
|
|
|
Accounts payable and other liabilities
|
|
|
|
82,316
|
|
|
|
|
37,048
|
|
|
|
|
10,798
|
|
|
|
|
83,086
|
|
|
|
|
94,853
|
|
|
Other derivatives
|
|
|
|
-
|
|
|
|
|
4,812
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
|
89,205,280
|
|
|
|
|
110,195,487
|
|
|
|
|
117,527,851
|
|
|
|
|
124,485,937
|
|
|
|
|
112,019,985
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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,
18,400,000, 18,400,000, 18,400,000 and 0 authorized, issued and
outstanding, respectively
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
-
|
|
|
Common stock, par value $0.01 per share, 1,956,937,500,
1,956,937,500, 1,956,937,500, 1,956,937,500, and 1,975,337,500,
authorized, 947,483,487, 947,293,099, 947,213,204, 974,799,779,and
974,684,401, issued and outstanding, respectively
|
|
|
|
9,475
|
|
|
|
|
9,473
|
|
|
|
|
9,472
|
|
|
|
|
9,748
|
|
|
|
|
9,747
|
|
|
Additional paid-in capital
|
|
|
|
14,754,681
|
|
|
|
|
14,746,579
|
|
|
|
|
14,740,774
|
|
|
|
|
15,144,200
|
|
|
|
|
15,168,020
|
|
|
Accumulated other comprehensive income (loss)
|
|
|
|
(1,289,246
|
)
|
|
|
|
2,003,248
|
|
|
|
|
3,053,242
|
|
|
|
|
4,069,607
|
|
|
|
|
3,413,320
|
|
|
Accumulated deficit
|
|
|
|
(1,124,665
|
)
|
|
|
|
(2,365,990
|
)
|
|
|
|
(2,792,103
|
)
|
|
|
|
(3,045,951
|
)
|
|
|
|
(2,774,103
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
|
13,263,304
|
|
|
|
|
15,306,369
|
|
|
|
|
15,924,444
|
|
|
|
|
17,090,663
|
|
|
|
|
16,284,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and stockholders’ equity
|
|
|
$
|
102,468,584
|
|
|
|
$
|
125,501,856
|
|
|
|
$
|
133,452,295
|
|
|
|
$
|
141,576,600
|
|
|
|
$
|
128,304,571
|
|
|
|
|
(1) Derived from the audited consolidated financial statements at
December 31, 2012.
|
|
|
|
|
|
|
|
|
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,
|
|
|
|
|
|
2013
|
|
|
|
|
2013
|
|
|
|
|
2012
|
|
|
|
|
2012
|
|
|
|
|
2012
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities
|
|
|
$
|
686,577
|
|
|
|
$
|
724,820
|
|
|
|
$
|
748,122
|
|
|
|
$
|
751,739
|
|
|
|
$
|
874,984
|
|
|
U.S. Treasury securities
|
|
|
|
7,242
|
|
|
|
|
5,996
|
|
|
|
|
3,819
|
|
|
|
|
4,588
|
|
|
|
|
7,397
|
|
|
Securities loaned
|
|
|
|
2,302
|
|
|
|
|
2,612
|
|
|
|
|
2,106
|
|
|
|
|
2,581
|
|
|
|
|
2,698
|
|
|
Commercial real estate investments
|
|
|
|
13,906
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Reverse repurchase agreements
|
|
|
|
2,775
|
|
|
|
|
3,636
|
|
|
|
|
2,449
|
|
|
|
|
2,225
|
|
|
|
|
1,122
|
|
|
Other
|
|
|
|
134
|
|
|
|
|
153
|
|
|
|
|
165
|
|
|
|
|
132
|
|
|
|
|
123
|
|
|
Total interest income
|
|
|
|
712,936
|
|
|
|
|
737,217
|
|
|
|
|
756,661
|
|
|
|
|
761,265
|
|
|
|
|
886,324
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
|
141,945
|
|
|
|
|
157,064
|
|
|
|
|
165,600
|
|
|
|
|
158,150
|
|
|
|
|
139,579
|
|
|
Convertible Senior Notes
|
|
|
|
16,364
|
|
|
|
|
15,813
|
|
|
|
|
15,503
|
|
|
|
|
18,026
|
|
|
|
|
18,965
|
|
|
U.S. Treasury securities sold, not yet purchased
|
|
|
|
4,075
|
|
|
|
|
2,788
|
|
|
|
|
2,930
|
|
|
|
|
3,739
|
|
|
|
|
5,801
|
|
|
Securities borrowed
|
|
|
|
1,737
|
|
|
|
|
1,925
|
|
|
|
|
1,458
|
|
|
|
|
1,978
|
|
|
|
|
2,098
|
|
|
Participation sold
|
|
|
|
134
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Total interest expense
|
|
|
|
164,255
|
|
|
|
|
177,590
|
|
|
|
|
185,491
|
|
|
|
|
181,893
|
|
|
|
|
166,443
|
|
|
Net interest income
|
|
|
|
548,681
|
|
|
|
|
559,627
|
|
|
|
|
571,170
|
|
|
|
|
579,372
|
|
|
|
|
719,881
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory income
|
|
|
|
12,187
|
|
|
|
|
13,408
|
|
|
|
|
18,773
|
|
|
|
|
20,915
|
|
|
|
|
21,810
|
|
|
Net gains (losses) on disposal of investments
|
|
|
|
147,998
|
|
|
|
|
182,843
|
|
|
|
|
114,831
|
|
|
|
|
142,172
|
|
|
|
|
94,837
|
|
|
Net loss on extinguishment of 4% Convertible Senior Notes
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
(75,012
|
)
|
|
|
|
(87,328
|
)
|
|
|
|
-
|
|
|
Dividend income from affiliates
|
|
|
|
4,048
|
|
|
|
|
6,431
|
|
|
|
|
7,097
|
|
|
|
|
7,097
|
|
|
|
|
6,621
|
|
|
Net gains (losses) on trading assets
|
|
|
|
54,046
|
|
|
|
|
1,549
|
|
|
|
|
15,181
|
|
|
|
|
1,368
|
|
|
|
|
1,105
|
|
|
Net unrealized gains (losses) on interest-only Agency
mortgage-backed securities
|
|
|
|
111,521
|
|
|
|
|
80,127
|
|
|
|
|
(31,148
|
)
|
|
|
|
(33,563
|
)
|
|
|
|
(26,103
|
)
|
|
Impairment of goodwill
|
|
|
|
(23,987
|
)
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Loss on previously held equity interest in CreXus
|
|
|
|
(18,896
|
)
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Other income (loss)
|
|
|
|
7,192
|
|
|
|
|
132
|
|
|
|
|
161
|
|
|
|
|
119
|
|
|
|
|
119
|
|
|
Subtotal
|
|
|
|
294,109
|
|
|
|
|
284,490
|
|
|
|
|
49,883
|
|
|
|
|
50,780
|
|
|
|
|
98,389
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
|
(212,727
|
)
|
|
|
|
(225,476
|
)
|
|
|
|
(228,155
|
)
|
|
|
|
(224,272
|
)
|
|
|
|
(222,002
|
)
|
|
Realized gains (losses) on termination of interest rate swaps
|
|
|
|
(35,649
|
)
|
|
|
|
(16,378
|
)
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
|
1,109,022
|
|
|
|
|
325,734
|
|
|
|
|
341,554
|
|
|
|
|
(104,197
|
)
|
|
|
|
(611,215
|
)
|
|
Subtotal
|
|
|
|
860,646
|
|
|
|
|
83,880
|
|
|
|
|
113,399
|
|
|
|
|
(328,469
|
)
|
|
|
|
(833,217
|
)
|
|
Total other income (loss)
|
|
|
|
1,154,755
|
|
|
|
|
368,370
|
|
|
|
|
163,282
|
|
|
|
|
(277,689
|
)
|
|
|
|
(734,828
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General and administrative expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and management fee
|
|
|
|
43,764
|
|
|
|
|
38,443
|
|
|
|
|
25,842
|
|
|
|
|
52,310
|
|
|
|
|
53,536
|
|
|
Other general and administrative expenses
|
|
|
|
21,367
|
|
|
|
|
13,469
|
|
|
|
|
14,242
|
|
|
|
|
10,694
|
|
|
|
|
11,020
|
|
|
Total general and administrative expenses
|
|
|
|
65,131
|
|
|
|
|
51,912
|
|
|
|
|
40,084
|
|
|
|
|
63,004
|
|
|
|
|
64,556
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes
|
|
|
|
1,638,305
|
|
|
|
|
876,085
|
|
|
|
|
694,368
|
|
|
|
|
238,679
|
|
|
|
|
(79,503
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
|
92
|
|
|
|
|
5,807
|
|
|
|
|
(6,127
|
)
|
|
|
|
13,921
|
|
|
|
|
11,656
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
1,638,213
|
|
|
|
|
870,278
|
|
|
|
|
700,495
|
|
|
|
|
224,758
|
|
|
|
|
(91,159
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
|
17,992
|
|
|
|
|
17,992
|
|
|
|
|
19,717
|
|
|
|
|
9,367
|
|
|
|
|
6,508
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
$
|
1,620,221
|
|
|
|
$
|
852,286
|
|
|
|
$
|
680,778
|
|
|
|
$
|
215,391
|
|
|
|
|
($97,667
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
$
|
1.71
|
|
|
|
$
|
0.90
|
|
|
|
$
|
0.70
|
|
|
|
$
|
0.22
|
|
|
|
|
($0.10
|
)
|
|
Diluted
|
|
|
$
|
1.64
|
|
|
|
$
|
0.87
|
|
|
|
$
|
0.68
|
|
|
|
$
|
0.22
|
|
|
|
|
($0.10
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
947,411,380
|
|
|
|
|
947,249,901
|
|
|
|
|
970,602,863
|
|
|
|
|
974,729,078
|
|
|
|
|
974,555,392
|
|
|
Diluted
|
|
|
|
995,229,637
|
|
|
|
|
994,815,169
|
|
|
|
|
1,017,925,849
|
|
|
|
|
997,007,829
|
|
|
|
|
974,555,392
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
$
|
1,638,213
|
|
|
|
$
|
870,278
|
|
|
|
$
|
700,495
|
|
|
|
$
|
224,758
|
|
|
|
|
($91,159
|
)
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
|
(3,144,496
|
)
|
|
|
|
(867,151
|
)
|
|
|
|
(894,972
|
)
|
|
|
|
798,269
|
|
|
|
|
741,727
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
|
|
(147,998
|
)
|
|
|
|
(182,843
|
)
|
|
|
|
(121,393
|
)
|
|
|
|
(141,982
|
)
|
|
|
|
(94,837
|
)
|
|
Other comprehensive income (loss)
|
|
|
|
(3,292,494
|
)
|
|
|
|
(1,049,994
|
)
|
|
|
|
(1,016,365
|
)
|
|
|
|
656,287
|
|
|
|
|
646,890
|
|
|
Comprehensive income (loss)
|
|
|
|
($1,654,281
|
)
|
|
|
|
($179,716
|
)
|
|
|
|
($315,870
|
)
|
|
|
$
|
881,045
|
|
|
|
$
|
555,731
|
|
|
|
(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, 2013
|
|
|
June 30, 2012
|
|
Interest income:
|
|
|
|
|
|
|
|
Investment Securities
|
|
|
$
|
1,411,397
|
|
|
|
$
|
1,725,408
|
|
|
U.S. Treasury securities
|
|
|
|
13,238
|
|
|
|
|
8,815
|
|
|
Securities loaned
|
|
|
|
4,914
|
|
|
|
|
5,216
|
|
|
Commercial real estate investments
|
|
|
|
13,906
|
|
|
|
|
-
|
|
|
Reverse repurchase agreements
|
|
|
|
6,411
|
|
|
|
|
1,544
|
|
|
Other
|
|
|
|
287
|
|
|
|
|
236
|
|
|
Total interest income
|
|
|
|
1,450,153
|
|
|
|
|
1,741,219
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
|
299,009
|
|
|
|
|
253,493
|
|
|
Convertible Senior Notes
|
|
|
|
32,177
|
|
|
|
|
33,692
|
|
|
U.S. Treasury securities sold, not yet purchased
|
|
|
|
6,863
|
|
|
|
|
8,445
|
|
|
Securities borrowed
|
|
|
|
3,662
|
|
|
|
|
4,158
|
|
|
Participation sold
|
|
|
|
134
|
|
|
|
|
-
|
|
|
Total interest expense
|
|
|
|
341,845
|
|
|
|
|
299,788
|
|
|
Net interest income
|
|
|
|
1,108,308
|
|
|
|
|
1,441,431
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
Investment advisory income
|
|
|
|
25,595
|
|
|
|
|
42,450
|
|
|
Net gains (losses) on disposal of investments
|
|
|
|
330,841
|
|
|
|
|
175,136
|
|
|
Dividend income from affiliates
|
|
|
|
10,479
|
|
|
|
|
14,142
|
|
|
Net gains (losses) on trading assets
|
|
|
|
55,595
|
|
|
|
|
6,361
|
|
|
Net unrealized gains (losses) on interest-only Agency
mortgage-backed securities
|
|
|
|
191,648
|
|
|
|
|
4,774
|
|
|
Impairment of goodwill
|
|
|
|
(23,987
|
)
|
|
|
|
-
|
|
|
Loss on previously held equity interest in CreXus
|
|
|
|
(18,896
|
)
|
|
|
|
-
|
|
|
Other income (loss)
|
|
|
|
7,324
|
|
|
|
|
245
|
|
|
Subtotal
|
|
|
|
578,599
|
|
|
|
|
243,108
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
|
(438,203
|
)
|
|
|
|
(441,342
|
)
|
|
Realized gains (losses) on termination of interest rate swaps
|
|
|
|
(52,027
|
)
|
|
|
|
(2,385
|
)
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
|
1,434,756
|
|
|
|
|
(269,576
|
)
|
|
Subtotal
|
|
|
|
944,526
|
|
|
|
|
(713,303
|
)
|
|
Total other income (loss)
|
|
|
|
1,523,125
|
|
|
|
|
(470,195
|
)
|
|
|
|
|
|
|
|
|
|
General and administrative expenses:
|
|
|
|
|
|
|
|
Compensation and management fee
|
|
|
|
82,207
|
|
|
|
|
112,550
|
|
|
Other general and administrative expenses
|
|
|
|
34,836
|
|
|
|
|
19,921
|
|
|
Total general and administrative expenses
|
|
|
|
117,043
|
|
|
|
|
132,471
|
|
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes
|
|
|
|
2,514,390
|
|
|
|
|
838,765
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
|
5,899
|
|
|
|
|
28,118
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
2,508,491
|
|
|
|
|
810,647
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
|
35,984
|
|
|
|
|
10,446
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
$
|
2,472,507
|
|
|
|
$
|
800,201
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
Basic
|
|
|
$
|
2.61
|
|
|
|
$
|
0.82
|
|
|
Diluted
|
|
|
$
|
2.51
|
|
|
|
$
|
0.78
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
Basic
|
|
|
|
947,331,087
|
|
|
|
|
973,141,546
|
|
|
Diluted
|
|
|
|
995,151,942
|
|
|
|
|
1,052,888,301
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
$
|
2,508,491
|
|
|
|
$
|
810,647
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
|
(4,011,647
|
)
|
|
|
|
579,468
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
|
|
(330,841
|
)
|
|
|
|
(175,136
|
)
|
|
Other comprehensive income (loss)
|
|
|
|
(4,342,488
|
)
|
|
|
|
404,332
|
|
|
Comprehensive income (loss)
|
|
|
|
($1,833,997
|
)
|
|
|
$
|
1,214,979
|
|
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
Source: Annaly Capital Management, Inc.