NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net
income for the quarter ended September 30, 2012 of $224.8 million or
$0.22 per average common share as compared to GAAP net loss of $921.8
million or $0.98 per average common share for the quarter ended
September 30, 2011, 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 and net loss
on extinguishment of 4% Convertible Senior Notes Due 2015 (the “4%
Convertible Notes”), net income for the quarter ended September 30,
2012, was $449.8 million or $0.45 per average common share as compared
to $622.8 million or $0.65 per average common share for the quarter
ended September 30, 2011, and $546.2 million or $0.55 per average common
share for the quarter ended June 30, 2012.
During the quarter ended September 30, 2012, the Company disposed of
$7.3 billion of investments, resulting in a realized gain of $142.2
million. During the quarter ended September 30, 2011, the Company
disposed of $3.9 billion of investments, resulting in a realized gain of
$91.7 million. During the quarter ended June 30, 2012, the Company
disposed of $6.4 billion of investments, resulting in a realized gain of
$94.8 million.
Common dividends declared for the quarters ended September 30, 2012,
September 30, 2011, and June 30, 2012 were $0.50, $0.60, 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 September 30, 2012, based on the September 30, 2012,
closing price of $16.84, was 11.88%, as compared to 14.43% for the
quarter ended September 30, 2011, and 13.11% for the quarter ended June
30, 2012.
During the quarter ended September 30, 2012, the Company issued 18.4
million shares of 7.50% Series D Cumulative Redeemable Preferred Stock
for net proceeds of $445.5 million.
During the quarter ended September 30, 2012, the Company repurchased
approximately $280.7 million of the outstanding $600.0 million of its
4.00% Convertible Senior Notes for $357.2 million. The 4% Convertible
Senior Notes are convertible into shares of common stock at a conversion
rate that increases as the Company pays dividends. As a result, this
repurchase will reduce future dilution to common shareholders.
On a GAAP basis, the Company produced an annualized return on average
equity for the quarter ended September 30, 2012 of 5.39% and an
annualized loss on average equity for the quarters ended September 30,
2011 and June 30, 2012 of 24.65% and 2.26%, respectively. Without the
effect of the unrealized gains or losses on interest rate swaps and
Agency interest-only mortgage-backed securities and net loss on
extinguishment of 4% Convertible Senior Notes, the Company provided an
annualized return on average equity for the quarters ended September 30,
2012, September 30, 2011, and June 30, 2012, of 10.78%, 16.66% and
13.56%, respectively.
Wellington Denahan-Norris, Chief Executive Officer of Annaly, commented
on the Company’s results. “The active involvement of policymakers in the
mortgage market, particularly the Federal Reserve’s latest, open-ended,
large scale asset purchase program, has introduced unique challenges for
all investors. These policy decisions will have consequences in a wide
range of markets, not just Agency mortgage-backed securities. We
continue to pursue a conservative stance in these conditions, as we
assess relative value opportunities across asset classes, on both sides
of our balance sheet and throughout our business.”
For the quarter ended September 30, 2012, the annualized yield on
average interest-earning assets was 2.54% and the annualized cost of
funds on average interest-bearing liabilities, including the net
interest payments on interest rate swaps, was 1.52%, which resulted in
an average interest rate spread of 1.02%. This was a 106 basis point
decrease from the 2.08% annualized interest rate spread for the quarter
ended September 30, 2011, and a 52 basis point decrease from the 1.54%
average interest rate spread for the quarter ended June 30, 2012. At
September 30, 2012, the weighted average yield on investment securities
was 2.79% and the weighted average cost of funds on borrowings,
including the net interest payments on interest rate swaps, was 1.55%,
which resulted in an interest rate spread of 1.24%. Leverage at
September 30, 2012, September 30, 2011, and June 30, 2012 was 6.0:1,
5.5:1 and 6.0:1, respectively.
Fixed-rate Agency mortgage-backed securities and debentures comprised
93% of the Company’s portfolio at September 30, 2012. Adjustable-rate
Agency mortgage-backed securities and debentures comprised 7% of the
Company’s portfolio. At September 30, 2012, the Company had entered into
interest rate swaps with a notional amount of $46.7 billion, or 38% 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 September 30, 2012, the swap portfolio
had a weighted average pay rate of 2.23%, a weighted average receive
rate of 0.27% and weighted average years to maturity of 4.93 years. As
of September 30, 2012, 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:
|
|
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September 30,
2012
|
|
|
September 30,
2011
|
|
|
June 30, 2012
|
|
|
Leverage at period-end
|
|
|
|
6.0:1
|
|
|
5.5:1
|
|
|
6.0:1
|
|
|
Fixed-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
|
|
|
93%
|
|
|
90%
|
|
|
92%
|
|
|
Adjustable-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
|
|
|
7%
|
|
|
9%
|
|
|
7%
|
|
|
Floating-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
|
|
|
-
|
|
|
1%
|
|
|
1%
|
|
|
Notional amount of interest rate swaps as a percentage of
Investment Securities
|
|
|
|
38%
|
|
|
40%
|
|
|
41%
|
|
|
Annualized yield on average interest-earning assets during
the quarter
|
|
|
|
2.54%
|
|
|
3.71%
|
|
|
3.04%
|
|
|
Annualized cost of funds on average interest-bearing
liabilities during the quarter
|
|
|
|
1.52%
|
|
|
1.63%
|
|
|
1.50%
|
|
|
Annualized interest rate spread during the quarter
|
|
|
|
1.02%
|
|
|
2.08%
|
|
|
1.54%
|
|
|
Weighted average yield on investment securities at
period-end
|
|
|
|
2.79%
|
|
|
3.58%
|
|
|
3.17%
|
|
|
Weighted average cost of funds on interest-bearing liabilities at
period-end
|
|
|
|
1.55%
|
|
|
1.62%
|
|
|
1.58%
|
|
|
Interest rate spread at period-end
|
|
|
|
1.24%
|
|
|
1.96%
|
|
|
1.59%
|
|
|
Weighted average days to maturity on interest-bearing liabilities
at
period-end
|
|
|
|
220
|
|
|
130
|
|
|
216
|
|
|
Weighted average receive rate on interest rate swaps at period-end
|
|
|
|
0.27%
|
|
|
0.25%
|
|
|
0.30%
|
|
|
Weighted average pay rate on interest rate swaps at period-end
|
|
|
|
2.23%
|
|
|
2.57%
|
|
|
2.29%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table summarizes certain characteristics of the Company’s
interest rate swaps as of September 30, 2012:
|
Maturity
|
|
|
|
|
Current Notional
|
|
|
Weighted Average
Pay Rate
|
|
|
Weighted
Average
Receive Rate
|
|
|
Weighted Average Years
to Maturity
|
|
|
|
|
|
|
|
(dollars in thousands)
|
|
|
0 - 3 years
|
|
|
|
|
$17,758,800
|
|
|
2.26%
|
|
|
0.28%
|
|
|
1.97
|
|
|
3 - 6 years
|
|
|
|
|
20,273,660
|
|
|
1.85%
|
|
|
0.26%
|
|
|
3.95
|
|
|
6 - 10 years
|
|
|
|
|
4,650,000
|
|
|
2.80%
|
|
|
0.29%
|
|
|
7.71
|
|
|
Greater than 10 years
|
|
|
|
|
4,064,250
|
|
|
3.37%
|
|
|
0.26%
|
|
|
19.59
|
|
|
Total / Weighted Average
|
|
|
|
|
$46,746,710
|
|
|
2.23%
|
|
|
0.27%
|
|
|
4.93
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents the maturities of repurchase agreements at
September 30, 2012:
|
Maturity
|
|
|
|
|
Principal
Balance
|
|
|
|
Weighted
Average Rate
|
|
|
|
|
(dollars in thousands)
|
|
|
|
|
Within 30 days
|
|
|
|
|
$30,820,191
|
|
|
|
0.43%
|
|
|
|
|
30 to 59 days
|
|
|
|
|
18,726,669
|
|
|
|
0.43%
|
|
|
|
|
60 to 89 days
|
|
|
|
|
4,795,439
|
|
|
|
0.41%
|
|
|
|
|
90 to 119 days
|
|
|
|
|
11,309,846
|
|
|
|
0.49%
|
|
|
|
|
Over 120 days(1)
|
|
|
|
|
35,381,001
|
|
|
|
0.93%
|
|
|
|
|
Total
|
|
|
|
|
$101,033,146
|
|
|
|
0.61%
|
|
|
|
|
|
|
|
|
(1)
|
|
|
Of the total repurchase agreements, approximately 11% have a
remaining maturity over 1 year.
|
|
|
|
|
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|
The Constant Prepayment Rate for the quarters ended September 30, 2012,
September 30, 2011, and June 30, 2012 was 20%, 18% and 19%,
respectively. The weighted average purchase price of the Company’s
Agency mortgage-backed securities and debentures at September 30, 2012,
September 30, 2011 and June 30, 2012 was 103.7%, 102.3% and 103.2%,
respectively. The net amortization of premiums and accretion of
discounts on Agency mortgage-backed securities and debentures for the
quarters ended September 30, 2012, September 30, 2011, and June 30, 2012
was $455.8 million, $201.0 million, and $302.8 million, respectively.
The total net premium and discount balance at September 30, 2012,
September 30, 2011, and June 30, 2012, was $5.4 billion, $3.4 billion,
and $4.5 billion, respectively.
General and administrative expenses as a percentage of average assets
was 0.19%, 0.24% and 0.21% for the quarters ended September 30, 2012,
September 30, 2011, and June 30, 2012, respectively. At September 30,
2012, September 30, 2011, and June 30, 2012, the Company had a common
stock book value per share of $16.60, $16.22 and $16.23, respectively.
At September 30, 2012, September 30, 2011, and June 30, 2012, the
Company’s wholly-owned registered investment advisors had under
management approximately $12.8 billion, $12.2 billion and $12.4 billion
in net assets, respectively, and $20.0 billion, $21.8 billion and $20.5
billion in gross assets, respectively. For the quarters ended September
30, 2012, September 30, 2011, and June 30, 2012, investment advisory and
other fee income was $21.0 million, $20.8 million and $21.9 million,
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 will hold the 2012 third quarter earnings conference call on
November 6, 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 5452041. The replay number is 877-344-7529 for
domestic calls and 412-317-0088 for international calls and the
conference passcode is 10019907. 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.
|
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|
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30,
2012
(Unaudited)
|
|
June 30,
2012
(Unaudited)
|
|
March 31,
2012
(Unaudited)
|
|
December 31,
2011(1)
|
|
September 30,
2011
(Unaudited)
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
|
$
|
2,264,854
|
|
|
$
|
924,374
|
|
|
$
|
932,761
|
|
|
$
|
994,198
|
|
|
$
|
3,473,866
|
|
|
|
Reverse repurchase agreements
|
|
|
|
1,612,384
|
|
|
|
2,025,471
|
|
|
|
2,540,601
|
|
|
|
860,866
|
|
|
|
360,315
|
|
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities
|
|
|
|
2,242,039
|
|
|
|
1,998,363
|
|
|
|
2,622,714
|
|
|
|
928,547
|
|
|
|
172,892
|
|
|
|
Securities borrowed
|
|
|
|
1,602,692
|
|
|
|
1,465,327
|
|
|
|
1,122,453
|
|
|
|
928,732
|
|
|
|
1,052,810
|
|
|
|
Agency mortgage-backed securities
|
|
|
|
129,597,714
|
|
|
|
118,500,649
|
|
|
|
110,291,712
|
|
|
|
104,251,055
|
|
|
|
106,588,710
|
|
|
|
Agency debentures
|
|
|
|
2,935,538
|
|
|
|
1,250,506
|
|
|
|
1,499,127
|
|
|
|
889,580
|
|
|
|
824,092
|
|
|
|
Investments in affiliates
|
|
|
|
224,899
|
|
|
|
203,057
|
|
|
|
225,818
|
|
|
|
211,970
|
|
|
|
209,374
|
|
|
|
Equity securities
|
|
|
|
-
|
|
|
|
-
|
|
|
|
4,470
|
|
|
|
3,891
|
|
|
|
3,929
|
|
|
|
Corporate debt, held for investment
|
|
|
|
64,928
|
|
|
|
60,638
|
|
|
|
50,806
|
|
|
|
52,073
|
|
|
|
27,988
|
|
|
|
Receivable for investments sold
|
|
|
|
470,266
|
|
|
|
1,320,996
|
|
|
|
454,278
|
|
|
|
-
|
|
|
|
402,817
|
|
|
|
Accrued interest and dividends receivable
|
|
|
|
434,026
|
|
|
|
420,390
|
|
|
|
418,489
|
|
|
|
409,023
|
|
|
|
410,862
|
|
|
|
Receivable from Prime Broker
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
3,272
|
|
|
|
Receivable for advisory and service fees
|
|
|
|
20,271
|
|
|
|
20,743
|
|
|
|
19,608
|
|
|
|
19,550
|
|
|
|
19,656
|
|
|
|
Intangible for customer relationships
|
|
|
|
9,146
|
|
|
|
9,714
|
|
|
|
10,281
|
|
|
|
10,807
|
|
|
|
11,531
|
|
|
|
Goodwill
|
|
|
|
55,417
|
|
|
|
55,417
|
|
|
|
55,417
|
|
|
|
42,030
|
|
|
|
42,030
|
|
|
|
Other derivative contracts, at fair value
|
|
|
|
559
|
|
|
|
3,717
|
|
|
|
321
|
|
|
|
113
|
|
|
|
1,450
|
|
|
|
Other assets
|
|
|
|
38,595
|
|
|
|
41,937
|
|
|
|
29,412
|
|
|
|
24,295
|
|
|
|
26,112
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
|
$
|
141,576,600
|
|
|
$
|
128,304,571
|
|
|
$
|
120,281,540
|
|
|
$
|
109,630,002
|
|
|
$
|
113,631,706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Securities sold, not yet purchased, at fair value
|
|
|
$
|
1,418,750
|
|
|
$
|
1,884,922
|
|
|
$
|
2,577,905
|
|
|
$
|
826,912
|
|
|
$
|
549,505
|
|
|
|
Repurchase agreements
|
|
|
|
101,033,146
|
|
|
|
96,760,797
|
|
|
|
91,720,865
|
|
|
|
84,097,885
|
|
|
|
86,495,905
|
|
|
|
Securities loaned, at fair value
|
|
|
|
1,248,968
|
|
|
|
1,113,107
|
|
|
|
876,849
|
|
|
|
804,901
|
|
|
|
907,061
|
|
|
|
Payable for investments purchased
|
|
|
|
16,107,038
|
|
|
|
7,387,410
|
|
|
|
5,708,412
|
|
|
|
4,315,796
|
|
|
|
5,852,986
|
|
|
|
Convertible Senior Notes
|
|
|
|
999,749
|
|
|
|
1,245,915
|
|
|
|
524,420
|
|
|
|
539,913
|
|
|
|
557,045
|
|
|
|
Accrued interest payable
|
|
|
|
181,502
|
|
|
|
174,819
|
|
|
|
129,108
|
|
|
|
138,965
|
|
|
|
128,371
|
|
|
|
Dividends payable
|
|
|
|
487,237
|
|
|
|
535,898
|
|
|
|
534,401
|
|
|
|
552,806
|
|
|
|
581,752
|
|
|
|
Interest rate swaps, at fair value
|
|
|
|
2,926,461
|
|
|
|
2,822,264
|
|
|
|
2,211,048
|
|
|
|
2,552,687
|
|
|
|
2,540,558
|
|
|
|
Accounts payable and other liabilities
|
|
|
|
83,086
|
|
|
|
94,853
|
|
|
|
57,927
|
|
|
|
7,223
|
|
|
|
74,837
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
|
124,485,937
|
|
|
|
112,019,985
|
|
|
|
104,340,935
|
|
|
|
93,837,088
|
|
|
|
97,688,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000
shares
authorized, 0, 0, 0, 1,331,849, and 1,389,249, shares issued
and
outstanding, respectively
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
32,272
|
|
|
|
33,664
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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, 12,650,000, 0, 0, and 0 authorized, respectively,
12,000,000,
12,000,000, 0, 0, and 0 issued and outstanding,
respectively
|
|
|
|
290,514
|
|
|
|
290,514
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
7.50% Series D Cumulative Redeemable Preferred Stock:
18,400,000,
0, 0, 0, and 0 authorized, issued and outstanding,
respectively
|
|
|
|
445,457
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
Common stock, par value $.01 per share, 1,956,937,500,
1,975,337,500,
1,956,937,500, 1,987,987,500, and 1,987,987,500
authorized,
respectively, 974,799,779, 974,684,401, 974,325,338,
970,161,647,
and 969,913,060 issued and outstanding, respectively
|
|
|
|
9,748
|
|
|
|
9,747
|
|
|
|
9,743
|
|
|
|
9,702
|
|
|
|
9,699
|
|
|
|
Additional paid-in capital
|
|
|
|
15,144,200
|
|
|
|
15,168,020
|
|
|
|
15,127,882
|
|
|
|
15,068,870
|
|
|
|
15,042,361
|
|
|
|
Accumulated other comprehensive income
|
|
|
|
4,069,607
|
|
|
|
3,413,320
|
|
|
|
2,766,430
|
|
|
|
3,008,988
|
|
|
|
3,073,488
|
|
|
|
Accumulated deficit
|
|
|
|
(3,045,951
|
)
|
|
|
(2,774,103
|
)
|
|
|
(2,140,538
|
)
|
|
|
(2,504,006
|
)
|
|
|
(2,392,614
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
|
17,090,663
|
|
|
|
16,284,586
|
|
|
|
15,940,605
|
|
|
|
15,760,642
|
|
|
|
15,910,022
|
|
|
|
Total liabilities, Series B Cumulative Convertible Preferred Stock
and
stockholders’ equity
|
|
|
$
|
141,576,600
|
|
|
$
|
128,304,571
|
|
|
$
|
120,281,540
|
|
|
$
|
109,630,002
|
|
|
$
|
113,631,706
|
|
|
|
|
|
|
|
|
|
(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
|
|
|
|
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
|
|
|
|
2012
|
|
2012
|
|
|
2012
|
|
|
2011
|
|
2011
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
$
|
754,096
|
|
|
$
|
876,229
|
|
|
$
|
850,959
|
|
|
$
|
844,874
|
|
|
$
|
926,558
|
|
|
|
U.S. Treasury Securities
|
|
|
|
4,588
|
|
|
|
7,397
|
|
|
|
1,418
|
|
|
|
1,082
|
|
|
|
2,302
|
|
|
|
Securities loaned
|
|
|
|
2,581
|
|
|
|
2,698
|
|
|
|
2,518
|
|
|
|
1,744
|
|
|
|
1,942
|
|
|
|
Total interest income
|
|
|
|
761,265
|
|
|
|
886,324
|
|
|
|
854,895
|
|
|
|
847,700
|
|
|
|
930,802
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
|
158,150
|
|
|
|
139,579
|
|
|
|
113,914
|
|
|
|
114,989
|
|
|
|
109,014
|
|
|
|
Convertible Senior Notes
|
|
|
|
18,026
|
|
|
|
18,965
|
|
|
|
14,727
|
|
|
|
12,552
|
|
|
|
8,798
|
|
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
|
|
3,739
|
|
|
|
5,801
|
|
|
|
2,644
|
|
|
|
1,214
|
|
|
|
2,109
|
|
|
|
Securities borrowed
|
|
|
|
1,978
|
|
|
|
2,098
|
|
|
|
2,060
|
|
|
|
1,378
|
|
|
|
1,496
|
|
|
|
Total interest expense
|
|
|
|
181,893
|
|
|
|
166,443
|
|
|
|
133,345
|
|
|
|
130,133
|
|
|
|
121,417
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
|
|
579,372
|
|
|
|
719,881
|
|
|
|
721,550
|
|
|
|
717,567
|
|
|
|
809,385
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory and other fee income
|
|
|
|
21,034
|
|
|
|
21,929
|
|
|
|
20,766
|
|
|
|
20,460
|
|
|
|
20,828
|
|
|
|
Net gains (losses) on disposal of investments
|
|
|
|
142,172
|
|
|
|
94,837
|
|
|
|
80,299
|
|
|
|
80,657
|
|
|
|
91,668
|
|
|
|
Net loss on extinguishment of Convertible Senior Notes
|
|
|
|
(87,328
|
)
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
Dividend income from affiliates
|
|
|
|
7,097
|
|
|
|
6,621
|
|
|
|
7,521
|
|
|
|
8,283
|
|
|
|
8,706
|
|
|
|
Net gains (losses) on trading assets
|
|
|
|
1,368
|
|
|
|
1,105
|
|
|
|
5,256
|
|
|
|
6,356
|
|
|
|
1,942
|
|
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed
securities
|
|
|
|
(33,563
|
)
|
|
|
(26,103
|
)
|
|
|
30,877
|
|
|
|
(67,612
|
)
|
|
|
(39,321
|
)
|
|
|
Income from underwriting
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
19
|
|
|
|
2,772
|
|
|
|
Subtotal
|
|
|
|
50,780
|
|
|
|
98,389
|
|
|
|
144,719
|
|
|
|
48,163
|
|
|
|
86,595
|
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
|
(224,272
|
)
|
|
|
(222,002
|
)
|
|
|
(219,340
|
)
|
|
|
(227,638
|
)
|
|
|
(231,849
|
)
|
|
|
Realized gain (loss) on termination of interest rate swaps
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(2,385
|
)
|
|
|
-
|
|
|
|
-
|
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
|
(104,197
|
)
|
|
|
(611,215
|
)
|
|
|
341,639
|
|
|
|
(12,139
|
)
|
|
|
(1,505,333
|
)
|
|
|
Subtotal
|
|
|
|
(328,469
|
)
|
|
|
(833,217
|
)
|
|
|
119,914
|
|
|
|
(239,777
|
)
|
|
|
(1,737,182
|
)
|
|
|
Total other income (loss)
|
|
|
|
(277,689
|
)
|
|
|
(734,828
|
)
|
|
|
264,633
|
|
|
|
(191,614
|
)
|
|
|
(1,650,587
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation expense
|
|
|
|
52,310
|
|
|
|
53,536
|
|
|
|
59,014
|
|
|
|
54,340
|
|
|
|
57,629
|
|
|
|
Other general and administrative expenses
|
|
|
|
10,694
|
|
|
|
11,020
|
|
|
|
8,901
|
|
|
|
8,754
|
|
|
|
7,565
|
|
|
|
Total general and administrative expenses
|
|
|
|
63,004
|
|
|
|
64,556
|
|
|
|
67,915
|
|
|
|
63,094
|
|
|
|
65,194
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income before income taxes
|
|
|
|
238,679
|
|
|
|
(79,503
|
)
|
|
|
918,268
|
|
|
|
462,859
|
|
|
|
(906,396
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
|
(13,921
|
)
|
|
|
(11,656
|
)
|
|
|
(16,462
|
)
|
|
|
(17,297
|
)
|
|
|
(15,417
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
224,758
|
|
|
|
(91,159
|
)
|
|
|
901,806
|
|
|
|
445,562
|
|
|
|
(921,813
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
|
9,367
|
|
|
|
6,508
|
|
|
|
3,938
|
|
|
|
4,148
|
|
|
|
4,172
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
$
|
215,391
|
|
|
|
($97,667
|
)
|
|
$
|
897,868
|
|
|
$
|
441,414
|
|
|
|
($925,985
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
$
|
0.22
|
|
|
|
($0.10
|
)
|
|
$
|
0.92
|
|
|
$
|
0.46
|
|
|
|
($0.98
|
)
|
|
|
Diluted
|
|
|
$
|
0.22
|
|
|
|
($0.10
|
)
|
|
$
|
0.89
|
|
|
$
|
0.44
|
|
|
|
($0.98
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
974,729,078
|
|
|
|
974,555,392
|
|
|
|
971,727,701
|
|
|
|
970,056,491
|
|
|
|
948,545,975
|
|
|
|
Diluted
|
|
|
|
997,007,829
|
|
|
|
974,555,392
|
|
|
|
1,010,588,609
|
|
|
|
1,011,495,682
|
|
|
|
948,545,975
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
$
|
224,758
|
|
|
|
($91,159
|
)
|
|
$
|
901,806
|
|
|
$
|
445,562
|
|
|
|
($921,813
|
)
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
|
798,269
|
|
|
|
741,727
|
|
|
|
(162,259
|
)
|
|
|
16,157
|
|
|
|
1,115,325
|
|
|
|
Reclassification adjustment for net (gains) losses included in net
income
(loss)
|
|
|
|
(141,982
|
)
|
|
|
(94,837
|
)
|
|
|
(80,299
|
)
|
|
|
(80,657
|
)
|
|
|
(91,668
|
)
|
|
|
Other comprehensive income (loss)
|
|
|
|
656,287
|
|
|
|
646,890
|
|
|
|
(242,558
|
)
|
|
|
(64,500
|
)
|
|
|
1,023,657
|
|
|
|
Comprehensive income (loss)
|
|
|
$
|
881,045
|
|
|
$
|
555,731
|
|
|
$
|
659,248
|
|
|
$
|
381,062
|
|
|
$
|
101,844
|
|
|
|
|
|
|
(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 nine months ended
|
|
|
|
|
|
|
September 30, 2012
|
|
|
September 30, 2011
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
Investments
|
|
|
|
$
|
2,481,284
|
|
|
|
$
|
2,713,141
|
|
|
|
U.S. Treasury Securities
|
|
|
|
|
13,403
|
|
|
|
|
13,624
|
|
|
|
Securities loaned
|
|
|
|
|
7,797
|
|
|
|
|
5,153
|
|
|
|
Total interest income
|
|
|
|
|
2,502,484
|
|
|
|
|
2,731,918
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
|
|
411,643
|
|
|
|
|
311,780
|
|
|
|
Convertible Senior Notes
|
|
|
|
|
51,718
|
|
|
|
|
22,465
|
|
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
|
|
|
12,184
|
|
|
|
|
11,867
|
|
|
|
Securities borrowed
|
|
|
|
|
6,136
|
|
|
|
|
4,081
|
|
|
|
Total interest expense
|
|
|
|
|
481,681
|
|
|
|
|
350,193
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
|
|
|
2,020,803
|
|
|
|
|
2,381,725
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
Investment advisory and other fee income
|
|
|
|
|
63,729
|
|
|
|
|
58,745
|
|
|
|
Net gains (losses) on disposal of investments
|
|
|
|
|
317,308
|
|
|
|
|
126,189
|
|
|
|
Net loss on extinguishment of Convertible Senior Notes
|
|
|
|
|
(87,328
|
)
|
|
|
|
-
|
|
|
|
Dividend income from affiliates
|
|
|
|
|
21,239
|
|
|
|
|
23,233
|
|
|
|
Net gains (losses) on trading assets
|
|
|
|
|
7,729
|
|
|
|
|
15,042
|
|
|
|
Net unrealized gains (losses) on interest-only Agency mortgage-
backed securities
|
|
|
|
|
(28,789
|
)
|
|
|
|
(39,045
|
)
|
|
|
Income from underwriting
|
|
|
|
|
-
|
|
|
|
|
5,599
|
|
|
|
Subtotal
|
|
|
|
|
293,888
|
|
|
|
|
189,763
|
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
|
|
(665,614
|
)
|
|
|
|
(654,757
|
)
|
|
|
Realized gain (loss) on termination of interest rate swaps
|
|
|
|
|
(2,385
|
)
|
|
|
|
-
|
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
|
|
(373,773
|
)
|
|
|
|
(1,802,968
|
)
|
|
|
Subtotal
|
|
|
|
|
(1,041,772
|
)
|
|
|
|
(2,457,725
|
)
|
|
|
Total other income (loss)
|
|
|
|
|
(747,884
|
)
|
|
|
|
(2,267,962
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
Compensation expense
|
|
|
|
|
164,860
|
|
|
|
|
151,911
|
|
|
|
Other general and administrative expenses
|
|
|
|
|
30,615
|
|
|
|
|
22,339
|
|
|
|
Total general and administrative expenses
|
|
|
|
|
195,475
|
|
|
|
|
174,250
|
|
|
|
Income before income taxes and income from equity
method
investment in affiliate
|
|
|
|
|
1,077,444
|
|
|
|
|
(60,487
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
|
|
(42,039
|
)
|
|
|
|
(41,754
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from equity method investment in affiliate
|
|
|
|
|
-
|
|
|
|
|
1,140
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
|
1,035,405
|
|
|
|
|
(101,101
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
|
|
19,813
|
|
|
|
|
12,706
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
|
|
$
|
1,015,592
|
|
|
|
|
($113,807
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
$
|
1.04
|
|
|
|
|
($0.14
|
)
|
|
|
Diluted
|
|
|
|
$
|
1.00
|
|
|
|
|
($0.14
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
|
|
973,674,586
|
|
|
|
|
841,912,810
|
|
|
|
Diluted
|
|
|
|
|
1,035,365,251
|
|
|
|
|
841,912,810
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
|
$
|
1,035,405
|
|
|
|
|
($101,101
|
)
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
|
|
1,377,737
|
|
|
|
|
2,020,737
|
|
|
|
Unrealized losses on interest rate swaps
|
|
|
|
|
-
|
|
|
|
|
14,298
|
|
|
|
Reclassification adjustment for net (gains) losses included in net
income
(loss)
|
|
|
|
|
(317,118
|
)
|
|
|
|
(126,189
|
)
|
|
|
Other comprehensive income (loss)
|
|
|
|
|
1,060,619
|
|
|
|
|
1,908,846
|
|
|
|
Comprehensive income (loss)
|
|
|
|
$
|
2,096,024
|
|
|
|
$
|
1,807,745
|
|
|
|
|
|
|
(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.