-
GAAP net income of $192.5 million, $0.18 earnings per common share
-
Core earnings of $282.3 million, $0.28 earnings per common share
-
Strong capital position with capital ratio of 13.9%, net capital ratio
of 14.8% and leverage of 5.4:1
-
Commercial investment portfolio up 28%, now representing 11% of
stockholders’ equity
-
Book value of $12.70
NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE:NLY) today announced financial
results for the quarter ended September 30, 2013.
Financial Performance
GAAP net income for the quarter ended September 30, 2013 was $192.5
million or $0.18 per average common share as compared to GAAP net income
of $1.6 billion or $1.71 per average common share for the quarter ended
June 30, 2013, and GAAP net income of $224.8 million or $0.22 per
average common share for the quarter ended September 30, 2012. The
decline from the prior period was largely attributable to lower
unrealized gains on interest rate swaps. Core earnings for the quarter
ended September 30, 2013 was $282.3 million or $0.28 per average common
share as compared to $294.2 million or $0.29 per average common share
for the quarter ended June 30, 2013, and $306.3 million or $0.30 per
average common share for the quarter ended September 30, 2012. "Core
earnings" represents a non-GAAP measure and is defined as net income
(loss) excluding gains or losses on disposals of investments and
termination of interest rate swaps, unrealized gains or losses on
interest rate swaps and Agency interest-only mortgage-backed securities,
net loss on extinguishment of the 4% Convertible Senior Notes due 2015,
net gains and losses on trading assets, impairment losses and loss on
previously held equity interest in CreXus Investment Corp.
For the quarter ended September 30, 2013, the annualized yield on
average interest-earning assets was 2.82% and the annualized cost of
funds on average interest-bearing liabilities, including the net
interest payments on interest rate swaps, was 1.81%, which resulted in
an average interest rate spread of 1.01%. This was a 3 basis point
increase from the 0.98% average interest rate spread for the quarter
ended June 30, 2013, and a 1 basis point decrease from the 1.02% average
interest rate spread for the quarter ended September 30, 2012. Our
annualized yield on average interest-earning assets increased for the
quarter ended September 30, 2013 when compared to the quarter ended June
30, 2013 due to lower amortization expense on our Investment Securities,
primarily driven by lower prepayment speeds experienced during the
current quarter. Our annualized cost of funds on average
interest-bearing liabilities increased for the quarter ended September
30, 2013 when compared to the quarter ended June 30, 2013 in large part
due to lower repurchase agreements balances coupled with higher interest
rate swap notional amounts during the current quarter and, to a lesser
extent, due to higher interest rate swap expenses.
Wellington J. Denahan, Chairman and Chief Executive Officer of Annaly,
commented on the Company’s results. “Given the ongoing monetary policy
impacts on the mortgage market and the uncertainty surrounding the
future path of policy, we remain measured in our investment strategy.
Our diversification into commercial assets is building momentum, with
commercial investments up approximately 30% and now representing 11% of
our capital. Our conservative stance with low leverage permits us to be
opportunistic with capital deployment.”
Asset Portfolio
Investment Securities, which is comprised of Agency mortgage-backed
securities, Agency debentures and corporate debt, were $83.1 billion at
September 30, 2013, compared to $95.9 billion for the prior quarter. As
of September 30, 2013, substantially all of the Company’s Investment
Securities were Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed
securities and debentures. Fixed-rate Agency mortgage-backed securities
and debentures comprised 91% of the Company’s Investment Securities
portfolio at September 30, 2013. Adjustable-rate Agency mortgage-backed
securities and debentures comprised 9% of the Company’s Investment
Securities portfolio. During the quarter ended September 30, 2013, the
Company disposed of $13.0 billion of Investment Securities, resulting in
a realized gain of $43.6 million. 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
September 30, 2012, the Company disposed of $7.3 billion of Investment
Securities, resulting in a realized gain of $142.2 million.
The Constant Prepayment Rate for the quarters ended September 30, 2013,
June 30, 2013, and September 30, 2012, was 13%, 16% and 20%,
respectively. The net amortization of premiums and accretion of
discounts on Agency mortgage-backed securities and debentures for the
quarters ended September 30, 2013, June 30, 2013, and September 30,
2012, was $201.9 million, $320.2 million, and $455.8 million,
respectively. The total net premium and discount balance on Agency
mortgage-backed securities and debentures at September 30, 2013, June
30, 2013, and September 30, 2012, was $4.7 billion, $5.3 billion, and
$5.4 billion, respectively.
The Company’s commercial investment portfolio consists of commercial
real estate investments and corporate debt. At September 30, 2013, the
Company’s commercial investment portfolio represented 11% of
stockholders’ equity compared to 8% at June 30, 2013. Commercial real
estate debt and preferred equity totaled $1.2 billion and investments in
commercial real estate totaled $60.4 million at September 30, 2013.
Total commercial real estate investments increased from $1.0 billion at
June 30, 2013 to $1.3 billion at September 30, 2013.
Capital and Funding
At September 30, 2013 total stockholders’ equity was $12.9 billion.
Leverage at September 30, 2013, June 30, 2013, and September 30, 2012,
was 5.4:1, 6.2:1 and 6.0:1, respectively. Leverage includes non-recourse
loan participations and mortgages payable. At September 30, 2013, June
30, 2013, and September 30, 2012, the Company’s capital ratio, which
represents the ratio of stockholders’ equity to total assets, was 13.9%,
12.9%, and 12.1%, respectively. At September 30, 2013, June 30, 2013,
and September 30, 2012, the Company’s net capital ratio was 14.8%,
13.3%, and 12.4%, respectively. The Company’s net capital ratio takes
into account the net balances of its U.S Treasury securities and U.S
Treasury securities sold, not yet purchased, reverse repurchase
agreements and repurchase agreements, and securities borrowed and
securities loaned. On a GAAP basis, the Company produced an annualized
return on average equity for the quarters ended September 30, 2013, June
30, 2013, and September 30, 2012 of 5.87%, 45.87%, and 5.39%,
respectively. On a Core earnings basis, the Company provided an
annualized return on average equity for the quarters ended September 30,
2013, June 30, 2013, and September 30, 2012, of 8.62%, 8.24%, and 8.07%,
respectively.
At September 30, 2013, June 30, 2013, and September 30, 2012 the Company
had outstanding $69.2 billion, $81.4 billion, and $101.0 billion of
repurchase agreements, respectively, with weighted average borrowing
rates of 2.02%, 1.72%, and 1.52%, respectively, after giving effect to
the Company’s interest rate swaps, and weighted average remaining
maturities of 200 days, 191 days, and 213 days, respectively.
At September 30, 2013, June 30, 2013, and September 30, 2012, the
Company had a common stock book value per share of $12.70, $13.03 and
$16.60, respectively.
The following table presents the maturities of repurchase agreements at
September 30, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
Principal Balance
|
|
|
|
|
Weighted
Average Rate
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
|
Within 30 days
|
|
|
|
|
$23,998,951
|
|
|
|
|
0.35%
|
|
|
|
|
|
30 to 59 days
|
|
|
|
|
13,302,830
|
|
|
|
|
0.42%
|
|
|
|
|
|
60 to 89 days
|
|
|
|
|
5,722,493
|
|
|
|
|
0.43%
|
|
|
|
|
|
90 to 119 days
|
|
|
|
|
8,030,625
|
|
|
|
|
0.27%
|
|
|
|
|
|
Over 120 days(1)
|
|
|
|
|
18,156,410
|
|
|
|
|
1.36%
|
|
|
|
|
|
Total
|
|
|
|
|
$69,211,309
|
|
|
|
|
0.63%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
|
Approximately 14% of the total repurchase agreements have a
remaining maturity over 1 year.
|
Hedge Portfolio
At September 30, 2013, the Company had entered into interest rate swaps
with a notional amount of $52.2 billion and interest rate swaptions with
a notional amount of $6.8 billion, or 74% of the Company’s Agency
mortgage-backed securities and debentures compared to 56% of the
Company’s Agency mortgage-backed securities and debentures at June 30,
2013. Changes in the unrealized gains or losses on the interest rate
swaps are reflected in the Company’s consolidated statements of
comprehensive income (loss). 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 pays a fixed rate and receives a
floating rate on the notional amount of the swaps, the intended effect
of the swaps is to lock in a cost of financing. As of September 30,
2013, the swap portfolio had a weighted average pay rate of 2.06%, a
weighted average receive rate of 0.21% and weighted average maturity of
5.17 years.
At September 30, 2013, the Company had entered into interest rate
swaptions with a notional amount of $6.8 billion. Changes in the
unrealized gains or losses on the interest rate swaptions are reflected
in the Company’s consolidated statements of comprehensive income (loss).
The interest rate swaptions provide the Company with the option to enter
into an interest rate swap agreement for a specified notional amount,
duration, and pay and receive rates. As of September 30, 2013, the
swaption portfolio had a weighted average pay rate of 3.02% and weighted
average maturity of 3.42 months.
The following table summarizes certain characteristics of the Company’s
interest rate swaps at September 30, 2013:
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maturity
|
|
|
|
|
Current Notional
|
|
|
|
|
Weighted Average
Pay Rate
|
|
|
|
|
Weighted
Average Receive
Rate
|
|
|
|
|
Weighted Average Years
to Maturity
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
0 - 3 years
|
|
|
|
|
$24,208,000
|
|
|
|
|
1.83%
|
|
|
|
|
0.20%
|
|
|
|
|
2.19
|
|
|
|
|
|
3 - 6 years
|
|
|
|
|
11,427,340
|
|
|
|
|
1.84%
|
|
|
|
|
0.21%
|
|
|
|
|
4.30
|
|
|
|
|
|
6 - 10 years
|
|
|
|
|
13,327,250
|
|
|
|
|
2.31%
|
|
|
|
|
0.25%
|
|
|
|
|
7.54
|
|
|
|
|
|
Greater than 10 years
|
|
|
|
|
3,190,000
|
|
|
|
|
3.66%
|
|
|
|
|
0.20%
|
|
|
|
|
21.03
|
|
|
|
|
|
Total / Weighted Average
|
|
|
|
|
$52,152,590
|
|
|
|
|
2.06%
|
|
|
|
|
0.21%
|
|
|
|
|
5.17
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes certain characteristics of the Company’s
interest rate swaptions at September 30, 2013:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Underlying Notional
|
|
|
|
|
Weighted Average
Underlying
Pay Rate
|
|
|
|
|
Weighted Average
Underlying
Receive Rate
|
|
|
|
|
Weighted Average
Underlying
Years to Maturity
|
|
|
|
|
Weighted Average
Months to Expiration
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
$6,800,000
|
|
|
|
|
3.02%
|
|
|
|
|
3M LIBOR
|
|
|
|
|
9.02
|
|
|
|
|
3.42
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Key Metrics
The following table presents key metrics of the Company’s portfolio,
liabilities and hedging positions, and performance as of and for the
quarters ended September 30, 2013, June 30, 2013, and September 30, 2012:
|
|
|
|
|
September 30, 2013
|
|
|
|
June 30, 2013
|
|
|
|
September 30, 2012
|
|
|
|
|
Portfolio Related Metrics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed-rate Agency mortgage-backed securities and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
debentures as a percentage of portfolio
|
|
|
|
91%
|
|
|
|
92%
|
|
|
|
93%
|
|
|
|
|
Adjustable-rate Agency mortgage-backed securities and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
debentures as a percentage of portfolio
|
|
|
|
9%
|
|
|
|
8%
|
|
|
|
7%
|
|
|
|
|
Weighted average yield on commercial real estate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
debt and preferred equity at period-end
|
|
|
|
9.70%
|
|
|
|
9.90%
|
|
|
|
N/A
|
|
|
|
|
Weighted average net equity yield on investments in
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
commercial real estate at period-end (1)
|
|
|
|
14.13%
|
|
|
|
14.13%
|
|
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities and Hedging Metrics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average days to maturity on debt outstanding at period-end
|
|
|
|
204
|
|
|
|
196
|
|
|
|
220
|
|
|
|
|
Notional amount of interest rate swaps and swaptions as a
percentage of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities
|
|
|
|
74%
|
|
|
|
56%
|
|
|
|
38%
|
|
|
|
|
Weighted average receive rate on interest rate swaps at period-end
|
|
|
|
0.21%
|
|
|
|
0.22%
|
|
|
|
0.27%
|
|
|
|
|
Weighted average pay rate on interest rate swaps at period-end
|
|
|
|
2.06%
|
|
|
|
2.05%
|
|
|
|
2.23%
|
|
|
|
|
Weighted average net rate on interest rate swaps at period-end
|
|
|
|
1.85%
|
|
|
|
1.83%
|
|
|
|
1.96%
|
|
|
|
|
Leverage at period-end (2)
|
|
|
|
5.4:1
|
|
|
|
6.2:1
|
|
|
|
6.0:1
|
|
|
|
|
Capital ratio at period end
|
|
|
|
13.9%
|
|
|
|
12.9%
|
|
|
|
12.1%
|
|
|
|
|
Net capital ratio at period end
|
|
|
|
14.8%
|
|
|
|
13.3%
|
|
|
|
12.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Performance Related Metrics:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Annualized yield on average interest-earning assets during
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
the quarter
|
|
|
|
2.82%
|
|
|
|
2.51%
|
|
|
|
2.54%
|
|
|
|
|
Annualized cost of funds on average interest-bearing
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
liabilities during the quarter
|
|
|
|
1.81%
|
|
|
|
1.53%
|
|
|
|
1.52%
|
|
|
|
|
Annualized interest rate spread during the quarter
|
|
|
|
1.01%
|
|
|
|
0.98%
|
|
|
|
1.02%
|
|
|
|
|
Annualized return on average equity
|
|
|
|
5.87%
|
|
|
|
45.87%
|
|
|
|
5.39%
|
|
|
|
|
Annualized Core return on average equity
|
|
|
|
8.62%
|
|
|
|
8.24%
|
|
|
|
8.07%
|
|
|
|
|
Common dividend declared during the quarter
|
|
|
|
$0.35
|
|
|
|
$0.40
|
|
|
|
$0.50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Excludes real estate held-for-sale.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(2) Includes non-recourse loan participations and mortgages payable.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents a reconciliation between GAAP net income
and Core earnings for the quarters ended September 30, 2013, June 30,
2013, and September 30, 2012:
|
|
|
|
|
|
For the quarters ended
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
|
|
June 30, 2013
|
|
|
|
|
September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
|
GAAP net income
|
|
|
|
|
$192,458
|
|
|
|
|
$1,638,213
|
|
|
|
|
$224,758
|
|
|
|
|
|
Net (gains) losses on disposal of investments
|
|
|
|
|
(43,602)
|
|
|
|
|
(147,998)
|
|
|
|
|
(142,172)
|
|
|
|
|
|
Net loss on extinguishment of 4% Convertible Senior Notes
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
87,328
|
|
|
|
|
|
Net (gains) losses on trading assets
|
|
|
|
|
96,022
|
|
|
|
|
(54,046)
|
|
|
|
|
(1,368)
|
|
|
|
|
|
Net unrealized (gains) losses on interest-only Agency
mortgage-backed securities
|
|
|
|
|
7,099
|
|
|
|
|
(111,521)
|
|
|
|
|
33,563
|
|
|
|
|
|
Impairment of goodwill
|
|
|
|
|
-
|
|
|
|
|
23,987
|
|
|
|
|
-
|
|
|
|
|
|
Loss on previously held equity interest in CreXus
|
|
|
|
|
-
|
|
|
|
|
18,896
|
|
|
|
|
-
|
|
|
|
|
|
Realized (gains) losses on termination of interest rate swaps
|
|
|
|
|
36,658
|
|
|
|
|
35,649
|
|
|
|
|
-
|
|
|
|
|
|
Unrealized (gains) losses on interest rate swaps
|
|
|
|
|
(6,343)
|
|
|
|
|
(1,109,022)
|
|
|
|
|
104,197
|
|
|
|
|
|
Core earnings
|
|
|
|
|
$282,292
|
|
|
|
|
$294,158
|
|
|
|
|
$306,306
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GAAP net income per average common share
|
|
|
|
|
$0.18
|
|
|
|
|
$1.71
|
|
|
|
|
$0.22
|
|
|
|
|
|
Core earnings per average common share
|
|
|
|
|
$0.28
|
|
|
|
|
$0.29
|
|
|
|
|
$0.30
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividend Declarations
Common dividends declared for the quarters ended September 30, 2013,
June 30, 2013, and September 30, 2012 were $0.35, $0.40, and $0.50 per
common share, respectively. The Company distributes dividends based on
its current estimate of taxable earnings per common share, not GAAP net
income. Taxable earnings and GAAP net income 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
September 30, 2013, based on the September 30, 2013 closing price of
$11.58, was 12.09%, as compared to 12.73% for the quarter ended June 30,
2013, and 11.88% for the quarter ended September 30, 2012.
Other Information
Annaly’s principal business objective is to generate net income for
distribution to its shareholders from its investments. Annaly is a
Maryland corporation that has elected to be taxed as a real estate
investment trust (“REIT”). Annaly is managed and advised by Annaly
Management Company LLC.
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”.
Conference Call
The Company will hold the 2013 third quarter earnings conference call on
November 7, 2013 at 10:00 a.m. EST. The number to call is 888-317-6003
for domestic calls and 412-317-6061 for international calls. The
conference passcode is 1606800. The replay number is 877-344-7529 for
domestic calls and 412-317-0088 for international calls and the
conference passcode is 10035689. 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 and grow 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, risks associated with
the broker-dealer business of our subsidiary, and risks associated with
the investment advisory business of our subsidiary, including the
removal by clients of assets it manages, its 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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
2013
(Unaudited)
|
|
June 30,
2013
(Unaudited)
|
|
March 31,
2013
(Unaudited)
|
|
December 31,
2012(1)
|
|
September 30,
2012
(Unaudited)
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
|
|
$
|
|
1,122,722
|
|
|
$
|
|
725,537
|
|
|
$
|
|
1,862,550
|
|
|
$
|
|
615,789
|
|
|
$
|
|
2,264,854
|
|
|
|
Reverse repurchase agreements
|
|
|
|
|
|
31,074
|
|
|
|
|
171,234
|
|
|
|
|
4,933,465
|
|
|
|
|
1,811,095
|
|
|
|
|
1,612,384
|
|
|
|
Securities borrowed
|
|
|
|
|
|
3,439,954
|
|
|
|
|
2,425,024
|
|
|
|
|
2,688,485
|
|
|
|
|
2,160,942
|
|
|
|
|
1,602,692
|
|
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities
|
|
|
|
|
|
2,459,617
|
|
|
|
|
-
|
|
|
|
|
1,645,930
|
|
|
|
|
752,076
|
|
|
|
|
2,242,039
|
|
|
|
Agency mortgage-backed securities
|
|
|
|
|
|
79,902,834
|
|
|
|
|
92,487,318
|
|
|
|
|
108,256,671
|
|
|
|
|
123,963,207
|
|
|
|
|
129,597,714
|
|
|
|
Agency debentures
|
|
|
|
|
|
3,128,853
|
|
|
|
|
3,306,473
|
|
|
|
|
3,970,279
|
|
|
|
|
3,009,568
|
|
|
|
|
2,935,538
|
|
|
|
Investments in affiliates
|
|
|
|
|
|
136,748
|
|
|
|
|
134,948
|
|
|
|
|
267,547
|
|
|
|
|
234,120
|
|
|
|
|
224,899
|
|
|
|
Commercial real estate debt and preferred equity
|
|
|
|
|
|
1,227,182
|
|
|
|
|
938,357
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Investments in commercial real estate
|
|
|
|
|
|
60,424
|
|
|
|
|
67,203
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Corporate debt, held for investment
|
|
|
|
|
|
75,988
|
|
|
|
|
61,682
|
|
|
|
|
66,539
|
|
|
|
|
63,944
|
|
|
|
|
64,928
|
|
|
|
Receivable for investments sold
|
|
|
|
|
|
934,964
|
|
|
|
|
1,499,140
|
|
|
|
|
1,292,478
|
|
|
|
|
290,722
|
|
|
|
|
470,266
|
|
|
|
Accrued interest and dividends receivable
|
|
|
|
|
|
297,161
|
|
|
|
|
340,671
|
|
|
|
|
388,665
|
|
|
|
|
419,259
|
|
|
|
|
434,026
|
|
|
|
Receivable from Prime Broker
|
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
3,272
|
|
|
|
Receivable for investment advisory income
|
|
|
|
|
|
10,055
|
|
|
|
|
10,374
|
|
|
|
|
12,817
|
|
|
|
|
17,730
|
|
|
|
|
20,271
|
|
|
|
Intangible for customer relationships
|
|
|
|
|
|
4,572
|
|
|
|
|
6,474
|
|
|
|
|
6,731
|
|
|
|
|
6,989
|
|
|
|
|
9,146
|
|
|
|
Goodwill
|
|
|
|
|
|
103,245
|
|
|
|
|
102,783
|
|
|
|
|
55,417
|
|
|
|
|
55,417
|
|
|
|
|
55,417
|
|
|
|
Interest rate swaps, at fair value
|
|
|
|
|
|
360,373
|
|
|
|
|
38,950
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Other derivatives, at fair value
|
|
|
|
|
|
85,180
|
|
|
|
|
91,270
|
|
|
|
|
-
|
|
|
|
|
9,830
|
|
|
|
|
559
|
|
|
|
Other assets
|
|
|
|
|
|
52,211
|
|
|
|
|
61,146
|
|
|
|
|
54,282
|
|
|
|
|
41,607
|
|
|
|
|
38,595
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
|
$
|
|
93,433,157
|
|
|
$
|
|
102,468,584
|
|
|
$
|
|
125,501,856
|
|
|
$
|
|
133,452,295
|
|
|
$
|
|
141,576,600
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities sold, not yet purchased, at fair value
|
|
|
|
$
|
|
2,403,524
|
|
|
$
|
|
-
|
|
|
$
|
|
611,167
|
|
|
$
|
|
495,437
|
|
|
$
|
|
1,418,750
|
|
|
|
Repurchase agreements
|
|
|
|
|
|
69,211,309
|
|
|
|
|
81,397,335
|
|
|
|
|
100,322,942
|
|
|
|
|
102,785,697
|
|
|
|
|
101,033,146
|
|
|
|
Securities loaned
|
|
|
|
|
|
3,299,090
|
|
|
|
|
2,284,245
|
|
|
|
|
2,330,060
|
|
|
|
|
1,808,315
|
|
|
|
|
1,248,968
|
|
|
|
Payable for investments purchased
|
|
|
|
|
|
2,546,467
|
|
|
|
|
2,833,214
|
|
|
|
|
3,203,461
|
|
|
|
|
8,256,957
|
|
|
|
|
16,107,038
|
|
|
|
Payable for share buyback program
|
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
141,149
|
|
|
|
|
-
|
|
|
|
Convertible Senior Notes
|
|
|
|
|
|
824,512
|
|
|
|
|
824,229
|
|
|
|
|
824,902
|
|
|
|
|
825,541
|
|
|
|
|
999,749
|
|
|
|
Mortgages payable
|
|
|
|
|
|
19,346
|
|
|
|
|
19,361
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Participation sold
|
|
|
|
|
|
14,164
|
|
|
|
|
14,324
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Accrued interest payable
|
|
|
|
|
|
162,755
|
|
|
|
|
164,190
|
|
|
|
|
175,749
|
|
|
|
|
186,896
|
|
|
|
|
181,502
|
|
|
|
Dividends payable
|
|
|
|
|
|
331,557
|
|
|
|
|
396,888
|
|
|
|
|
426,173
|
|
|
|
|
432,154
|
|
|
|
|
487,237
|
|
|
|
Interest rate swaps, at fair value
|
|
|
|
|
|
1,504,258
|
|
|
|
|
1,189,178
|
|
|
|
|
2,259,173
|
|
|
|
|
2,584,907
|
|
|
|
|
2,926,461
|
|
|
|
Other derivatives, at fair value
|
|
|
|
|
|
125,468
|
|
|
|
|
-
|
|
|
|
|
4,812
|
|
|
|
|
-
|
|
|
|
|
-
|
|
|
|
Accounts payable and other liabilities
|
|
|
|
|
|
44,983
|
|
|
|
|
82,316
|
|
|
|
|
37,048
|
|
|
|
|
10,798
|
|
|
|
|
83,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
|
|
|
80,487,433
|
|
|
|
|
89,205,280
|
|
|
|
|
110,195,487
|
|
|
|
|
117,527,851
|
|
|
|
|
124,485,937
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stockholders’ Equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7.875% Series A Cumulative Redeemable Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stock: 7,412,500 authorized, issued and outstanding
|
|
|
|
|
|
177,088
|
|
|
|
|
177,088
|
|
|
|
|
177,088
|
|
|
|
|
177,088
|
|
|
|
|
177,088
|
|
|
|
7.625% Series C Cumulative Redeemable Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stock: 12,650,000 authorized, 12,000,000 issued and outstanding
|
|
|
|
|
|
290,514
|
|
|
|
|
290,514
|
|
|
|
|
290,514
|
|
|
|
|
290,514
|
|
|
|
|
290,514
|
|
|
|
7.50% Series D Cumulative Redeemable Preferred Stock:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,400,000 authorized, issued and outstanding, respectively
|
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
|
445,457
|
|
|
|
Common stock, par value $0.01 per share, 1,956,937,500 authorized,
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
947,304,761, 947,483,487, 947,293,099, 947,213,204, and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
974,799,779, issued and outstanding, respectively
|
|
|
|
|
|
9,473
|
|
|
|
|
9,475
|
|
|
|
|
9,473
|
|
|
|
|
9,472
|
|
|
|
|
9,748
|
|
|
|
Additional paid-in capital
|
|
|
|
|
|
14,759,738
|
|
|
|
|
14,754,681
|
|
|
|
|
14,746,579
|
|
|
|
|
14,740,774
|
|
|
|
|
15,144,200
|
|
|
|
Accumulated other comprehensive income (loss)
|
|
|
|
|
|
(1,454,790
|
)
|
|
|
|
(1,289,246
|
)
|
|
|
|
2,003,248
|
|
|
|
|
3,053,242
|
|
|
|
|
4,069,607
|
|
|
|
Accumulated deficit
|
|
|
|
|
|
(1,281,756
|
)
|
|
|
|
(1,124,665
|
)
|
|
|
|
(2,365,990
|
)
|
|
|
|
(2,792,103
|
)
|
|
|
|
(3,045,951
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
|
|
|
12,945,724
|
|
|
|
|
13,263,304
|
|
|
|
|
15,306,369
|
|
|
|
|
15,924,444
|
|
|
|
|
17,090,663
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and stockholders’ equity
|
|
|
|
$
|
|
93,433,157
|
|
|
$
|
|
102,468,584
|
|
|
$
|
|
125,501,856
|
|
|
$
|
|
133,452,295
|
|
|
$
|
|
141,576,600
|
|
|
|
|
|
|
(1)
|
|
Derived from the audited consolidated financial statements at
December 31, 2012.
|
|
|
|
|
|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|
|
|
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|
|
|
(UNAUDITED)
|
|
|
|
(Dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the quarters ended
|
|
|
|
|
|
|
September 30,
|
|
|
June 30,
|
|
|
March 31,
|
|
|
December 31,
|
|
|
September 30,
|
|
|
|
|
|
|
2013
|
|
|
2013
|
|
|
2013
|
|
|
2012
|
|
|
2012
|
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities
|
|
|
$659,058
|
|
|
$686,577
|
|
|
$724,820
|
|
|
$748,122
|
|
|
$751,739
|
|
|
|
U.S. Treasury securities
|
|
|
7,718
|
|
|
7,242
|
|
|
5,996
|
|
|
3,819
|
|
|
4,588
|
|
|
|
Securities loaned
|
|
|
1,787
|
|
|
2,302
|
|
|
2,612
|
|
|
2,106
|
|
|
2,581
|
|
|
|
Commercial real estate debt and preferred equity
|
|
|
26,066
|
|
|
13,906
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
|
Reverse repurchase agreements
|
|
|
2,461
|
|
|
2,775
|
|
|
3,636
|
|
|
2,449
|
|
|
2,225
|
|
|
|
Other
|
|
|
70
|
|
|
134
|
|
|
153
|
|
|
165
|
|
|
132
|
|
|
|
Total interest income
|
|
|
697,160
|
|
|
712,936
|
|
|
737,217
|
|
|
756,661
|
|
|
761,265
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
120,123
|
|
|
141,945
|
|
|
157,064
|
|
|
165,600
|
|
|
158,150
|
|
|
|
Convertible Senior Notes
|
|
|
17,092
|
|
|
16,364
|
|
|
15,813
|
|
|
15,503
|
|
|
18,026
|
|
|
|
U.S. Treasury securities sold, not yet purchased
|
|
|
6,688
|
|
|
4,075
|
|
|
2,788
|
|
|
2,930
|
|
|
3,739
|
|
|
|
Securities borrowed
|
|
|
1,405
|
|
|
1,737
|
|
|
1,925
|
|
|
1,458
|
|
|
1,978
|
|
|
|
Participation sold
|
|
|
168
|
|
|
134
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
|
Total interest expense
|
|
|
145,476
|
|
|
164,255
|
|
|
177,590
|
|
|
185,491
|
|
|
181,893
|
|
|
|
Net interest income
|
|
|
551,684
|
|
|
548,681
|
|
|
559,627
|
|
|
571,170
|
|
|
579,372
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory income
|
|
|
9,558
|
|
|
12,187
|
|
|
13,408
|
|
|
18,773
|
|
|
20,915
|
|
|
|
Net gains (losses) on disposal of investments
|
|
|
43,602
|
|
|
147,998
|
|
|
182,843
|
|
|
114,831
|
|
|
142,172
|
|
|
|
Net loss on extinguishment of 4% Convertible Senior Notes
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
(75,012)
|
|
|
(87,328)
|
|
|
|
Dividend income from affiliates
|
|
|
4,048
|
|
|
4,048
|
|
|
6,431
|
|
|
7,097
|
|
|
7,097
|
|
|
|
Net gains (losses) on trading assets
|
|
|
(96,022)
|
|
|
54,046
|
|
|
1,549
|
|
|
15,181
|
|
|
1,368
|
|
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed securities
|
|
|
(7,099)
|
|
|
111,521
|
|
|
80,127
|
|
|
(31,148)
|
|
|
(33,563)
|
|
|
|
Impairment of goodwill
|
|
|
-
|
|
|
(23,987)
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
|
Loss on previously held equity interest in CreXus
|
|
|
-
|
|
|
(18,896)
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
|
Other income (loss)
|
|
|
4,212
|
|
|
7,192
|
|
|
132
|
|
|
161
|
|
|
119
|
|
|
|
Subtotal
|
|
|
(41,701)
|
|
|
294,109
|
|
|
284,490
|
|
|
49,883
|
|
|
50,780
|
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
(227,909)
|
|
|
(212,727)
|
|
|
(225,476)
|
|
|
(228,155)
|
|
|
(224,272)
|
|
|
|
Realized gains (losses) on termination of interest rate swaps
|
|
|
(36,658)
|
|
|
(35,649)
|
|
|
(16,378)
|
|
|
-
|
|
|
-
|
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
6,343
|
|
|
1,109,022
|
|
|
325,734
|
|
|
341,554
|
|
|
(104,197)
|
|
|
|
Subtotal
|
|
|
(258,224)
|
|
|
860,646
|
|
|
83,880
|
|
|
113,399
|
|
|
(328,469)
|
|
|
|
Total other income (loss)
|
|
|
(299,925)
|
|
|
1,154,755
|
|
|
368,370
|
|
|
163,282
|
|
|
(277,689)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General and administrative expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and management fee
|
|
|
41,774
|
|
|
43,764
|
|
|
38,443
|
|
|
25,842
|
|
|
52,310
|
|
|
|
Other general and administrative expenses
|
|
|
16,970
|
|
|
21,367
|
|
|
13,469
|
|
|
14,242
|
|
|
10,694
|
|
|
|
Total general and administrative expenses
|
|
|
58,744
|
|
|
65,131
|
|
|
51,912
|
|
|
40,084
|
|
|
63,004
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes
|
|
|
193,015
|
|
|
1,638,305
|
|
|
876,085
|
|
|
694,368
|
|
|
238,679
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
557
|
|
|
92
|
|
|
5,807
|
|
|
(6,127)
|
|
|
13,921
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
192,458
|
|
|
1,638,213
|
|
|
870,278
|
|
|
700,495
|
|
|
224,758
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
17,992
|
|
|
17,992
|
|
|
17,992
|
|
|
19,717
|
|
|
9,367
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
$174,466
|
|
|
$1,620,221
|
|
|
$852,286
|
|
|
$680,778
|
|
|
$215,391
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
$0.18
|
|
|
$1.71
|
|
|
$0.90
|
|
|
$0.70
|
|
|
$0.22
|
|
|
|
Diluted
|
|
|
$0.18
|
|
|
$1.64
|
|
|
$0.87
|
|
|
$0.68
|
|
|
$0.22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
947,303,205
|
|
|
947,411,380
|
|
|
947,249,901
|
|
|
970,602,863
|
|
|
974,729,078
|
|
|
|
Diluted
|
|
|
955,690,471
|
|
|
995,229,637
|
|
|
994,815,169
|
|
|
1,017,925,849
|
|
|
997,007,829
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
$192,458
|
|
|
$1,638,213
|
|
|
$870,278
|
|
|
$700,495
|
|
|
$224,758
|
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
(121,942)
|
|
|
(3,144,496)
|
|
|
(867,151)
|
|
|
(894,972)
|
|
|
798,269
|
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
|
(43,602)
|
|
|
(147,998)
|
|
|
(182,843)
|
|
|
(121,393)
|
|
|
(141,982)
|
|
|
|
Other comprehensive income (loss)
|
|
|
(165,544)
|
|
|
(3,292,494)
|
|
|
(1,049,994)
|
|
|
(1,016,365)
|
|
|
656,287
|
|
|
|
Comprehensive income (loss)
|
|
|
$26,914
|
|
|
($1,654,281)
|
|
|
($179,716)
|
|
|
($315,870)
|
|
|
$881,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
|
Interest expense related to the Company’s interest rate swaps is
recorded in Realized gains (losses) on interest rate swaps on the
Consolidated Statements of Comprehensive Income.
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|
|
|
|
|
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
|
|
|
|
|
|
(UNAUDITED)
|
|
|
|
|
|
(Dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the nine months ended
|
|
|
|
|
|
|
|
|
|
|
September 30, 2013
|
|
|
|
|
September 30, 2012
|
|
|
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Securities
|
|
|
|
|
$2,070,455
|
|
|
|
|
$2,477,147
|
|
|
|
|
|
U.S. Treasury securities
|
|
|
|
|
20,956
|
|
|
|
|
13,403
|
|
|
|
|
|
Securities loaned
|
|
|
|
|
6,701
|
|
|
|
|
7,797
|
|
|
|
|
|
Commercial real estate debt and preferred equity
|
|
|
|
|
39,972
|
|
|
|
|
-
|
|
|
|
|
|
Reverse repurchase agreements
|
|
|
|
|
8,872
|
|
|
|
|
3,769
|
|
|
|
|
|
Other
|
|
|
|
|
357
|
|
|
|
|
368
|
|
|
|
|
|
Total interest income
|
|
|
|
|
2,147,313
|
|
|
|
|
2,502,484
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
|
|
419,132
|
|
|
|
|
411,643
|
|
|
|
|
|
Convertible Senior Notes
|
|
|
|
|
49,269
|
|
|
|
|
51,718
|
|
|
|
|
|
U.S. Treasury securities sold, not yet purchased
|
|
|
|
|
13,551
|
|
|
|
|
12,184
|
|
|
|
|
|
Securities borrowed
|
|
|
|
|
5,067
|
|
|
|
|
6,136
|
|
|
|
|
|
Participation sold
|
|
|
|
|
302
|
|
|
|
|
-
|
|
|
|
|
|
Total interest expense
|
|
|
|
|
487,321
|
|
|
|
|
481,681
|
|
|
|
|
|
Net interest income
|
|
|
|
|
1,659,992
|
|
|
|
|
2,020,803
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory income
|
|
|
|
|
35,153
|
|
|
|
|
63,365
|
|
|
|
|
|
Net gains (losses) on disposal of investments
|
|
|
|
|
374,443
|
|
|
|
|
317,308
|
|
|
|
|
|
Net loss on extinguishment of Convertible Senior Notes
|
|
|
|
|
-
|
|
|
|
|
(87,328)
|
|
|
|
|
|
Dividend income from affiliates
|
|
|
|
|
14,527
|
|
|
|
|
21,239
|
|
|
|
|
|
Net gains (losses) on trading assets
|
|
|
|
|
(40,427)
|
|
|
|
|
7,729
|
|
|
|
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed securities
|
|
|
|
|
184,549
|
|
|
|
|
(28,789)
|
|
|
|
|
|
Impairment of goodwill
|
|
|
|
|
(23,987)
|
|
|
|
|
-
|
|
|
|
|
|
Loss on previously held equity interest in CreXus
|
|
|
|
|
(18,896)
|
|
|
|
|
-
|
|
|
|
|
|
Other income (loss)
|
|
|
|
|
11,536
|
|
|
|
|
364
|
|
|
|
|
|
Subtotal
|
|
|
|
|
536,898
|
|
|
|
|
293,888
|
|
|
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
|
|
(666,112)
|
|
|
|
|
(665,614)
|
|
|
|
|
|
Realized gains (losses) on termination of interest rate swaps
|
|
|
|
|
(88,685)
|
|
|
|
|
(2,385)
|
|
|
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
|
|
1,441,099
|
|
|
|
|
(373,773)
|
|
|
|
|
|
Subtotal
|
|
|
|
|
686,302
|
|
|
|
|
(1,041,772)
|
|
|
|
|
|
Total other income (loss)
|
|
|
|
|
1,223,200
|
|
|
|
|
(747,884)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General and administrative expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and management fee
|
|
|
|
|
123,981
|
|
|
|
|
164,860
|
|
|
|
|
|
Other general and administrative expenses
|
|
|
|
|
51,806
|
|
|
|
|
30,615
|
|
|
|
|
|
Total general and administrative expenses
|
|
|
|
|
175,787
|
|
|
|
|
195,475
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) before income taxes
|
|
|
|
|
2,707,405
|
|
|
|
|
1,077,444
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
|
|
6,456
|
|
|
|
|
42,039
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
|
2,700,949
|
|
|
|
|
1,035,405
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
|
|
53,976
|
|
|
|
|
19,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
|
|
$2,646,973
|
|
|
|
|
$1,015,592
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
|
$2.79
|
|
|
|
|
$1.04
|
|
|
|
|
|
Diluted
|
|
|
|
|
$2.69
|
|
|
|
|
$1.00
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
|
947,321,691
|
|
|
|
|
973,674,586
|
|
|
|
|
|
Diluted
|
|
|
|
|
995,319,670
|
|
|
|
|
1,035,365,251
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
|
$2,700,949
|
|
|
|
|
$1,035,405
|
|
|
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
|
|
(4,133,589)
|
|
|
|
|
1,377,737
|
|
|
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
|
|
|
(374,443)
|
|
|
|
|
(317,118)
|
|
|
|
|
|
Other comprehensive income (loss)
|
|
|
|
|
(4,508,032)
|
|
|
|
|
1,060,619
|
|
|
|
|
|
Comprehensive income (loss)
|
|
|
|
|
($1,807,083)
|
|
|
|
|
$2,096,024
|
|
|
|
|
|
(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.