NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net
income for the quarter ended December 31, 2012 of $700.5 million or
$0.70 per average common share as compared to GAAP net income of $445.6
million or $0.46 per average common share for the quarter ended December
31, 2011, and GAAP net income of $224.8 million or $0.22 per average
common share for the quarter ended September 30, 2012.
GAAP net income was $1.7 billion or $1.74 per average common share and
$344.5 million or $0.37 per average common share for the years ended
December 31, 2012 and 2011, 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 due 2015 (the “4%
Convertible Notes”), net income for the quarter ended December 31, 2012,
was $465.1 million or $0.46 per average common share as compared to
$525.3 million or $0.54 per average common share for the quarter ended
December 31, 2011, and $449.8 million or $0.45 per average common share
for the quarter ended September 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 Notes, net income for the years
ended December 31, 2012 and 2011, was $2.0 billion or $2.01 per average
common share and $2.3 billion or $2.57 per average common share,
respectively.
Agency mortgage-backed securities, Agency debentures, and corporate debt
are considered Investment Securities. During the quarter ended December
31, 2012, the Company disposed of $13.2 billion of Investment
Securities, resulting in a realized gain of $122.4 million. During the
quarter ended December 31, 2011, the Company disposed of $10.3 billion
of Investment Securities, resulting in a realized gain of $80.7 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.
During the year ended December 31, 2012, the Company disposed of $32.3
billion of Investment Securities, resulting in a realized gain of $439.7
million. During the year ended December 31, 2011, the Company disposed
of $20.1 billion of Investment Securities, resulting in a realized gain
of $206.8 million.
Common dividends declared for the quarters ended December 31, 2012,
December 31, 2011, and September 30, 2012 were $0.45, $0.57, and $0.50
per common share, respectively. Common dividends declared for the years
ended December 31, 2012 and 2011 were $2.05 and $2.44 per common share,
respectively. The Company distributes dividends based on its current
estimate of taxable earnings per common share, not GAAP earnings.
Taxable and GAAP earnings will typically differ due to items such as
non-taxable unrealized and realized gains and losses, differences in
premium amortization and discount accretion, and non-deductible general
and administrative expenses.
The annualized dividend yield on the Company’s common stock for the
quarter ended December 31, 2012, based on the December 31, 2012, closing
price of $14.04, was 12.82%, as compared to 14.29% for the quarter ended
December 31, 2011, and 11.88% for the quarter ended September 30, 2012.
The dividend yield on the Company’s common stock for the year ended
December 31, 2012, based on the December 31, 2012 closing price of
$14.04 was 14.60%, as compared to 15.29% for the year ended December 31,
2011.
During the quarter and year ended December 31, 2012, the Company
repurchased approximately $211.8 million and $492.5 million of the
outstanding 4% Convertible Notes for $260.3 million and $617.5 million,
respectively. The 4% Convertible Notes are convertible into shares of
common stock at a conversion rate that increases as the Company pays
dividends. As a result, these repurchases will reduce future dilution to
common shareholders.
During the quarter and year ended December 31, 2012, the Company
repurchased approximately 27.8 million shares of its outstanding common
stock for $397.1 million.
On a GAAP basis, the Company produced an annualized return on average
equity for the quarters ended December 31, 2012, December 31, 2011, and
September 30, 2012 of 16.97%, 11.23% and 5.39%, 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 Notes, the Company provided an
annualized return on average equity for the quarters ended December 31,
2012, December 31, 2011, and September 30, 2012, of 11.27%, 13.24% and
10.78%, respectively. On a GAAP basis, the Company provided a return on
average equity for the years ended December 31, 2012 and 2011 of 10.71%
and 2.51%, 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 Notes, the
Company provided a return on average equity for the years ended December
31, 2012 and 2011 of 12.28% and 16.54%, respectively.
Wellington J. Denahan, Chairman and Chief Executive Officer of Annaly,
commented on the Company’s results. “In our market, indeed every market,
decisions made by policymakers continue to have exceptional influence on
pricing and behavior. Nevertheless, as our results demonstrate, we
continue to navigate through these uncertain waters to identify
attractive relative value opportunities on both sides of our balance
sheet. These market conditions are likely to persist, however, as
structural imbalances here and abroad continue to affect economic
activity. In this environment, we believe that remaining conservative in
our management approach is in the best long-term interests of
shareholders.”
For the quarter ended December 31, 2012, the annualized yield on average
interest-earning assets was 2.45% and the annualized cost of funds on
average interest-bearing liabilities, including the net interest
payments on interest rate swaps, was 1.50%, which resulted in an average
interest rate spread of 0.95%. This was a 76 basis point decrease from
the 1.71% annualized interest rate spread for the quarter ended December
31, 2011, and a 7 basis point decrease from the 1.02% average interest
rate spread for the quarter ended September 30, 2012. At December 31,
2012, the weighted average yield on investment securities was 2.75% 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 1.20%. Leverage at December 31, 2012,
December 31, 2011, and September 30, 2012 was 6.5:1, 5.4:1 and 6.0:1,
respectively.
Fixed-rate Agency mortgage-backed securities and debentures comprised
93% of the Company’s portfolio at December 31, 2012. Adjustable-rate
Agency mortgage-backed securities and debentures comprised 7% of the
Company’s portfolio. At December 31, 2012, the Company had entered into
interest rate swaps with a notional amount of $46.9 billion, or 40% 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 December 31, 2012, the swap portfolio
had a weighted average pay rate of 2.21%, a weighted average receive
rate of 0.24% and weighted average years to maturity of 4.77 years. As
of December 31, 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:
|
|
December 31, 2012
|
|
December 31, 2011
|
|
September 30, 2012
|
|
Leverage at period-end
|
6.5:1
|
|
5.4:1
|
|
6.0:1
|
|
Fixed-rate Agency mortgage-backed securities and
debentures as a percentage of portfolio
|
93%
|
|
90%
|
|
93%
|
|
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%
|
|
-
|
|
Notional amount of interest rate swaps as a percentage of
Investment Securities
|
40%
|
|
41%
|
|
38%
|
|
Annualized yield on average interest-earning assets during
the quarter
|
2.45%
|
|
3.31%
|
|
2.54%
|
|
Annualized cost of funds on average interest-bearing
liabilities during the quarter
|
1.50%
|
|
1.60%
|
|
1.52%
|
|
Annualized interest rate spread during the quarter
|
0.95%
|
|
1.71%
|
|
1.02%
|
|
Weighted average yield on investment securities at
period-end
|
2.75%
|
|
3.22%
|
|
2.79%
|
|
Weighted average cost of funds on interest-bearing liabilities at
period-end
|
1.55%
|
|
1.60%
|
|
1.55%
|
|
Interest rate spread at period-end
|
1.20%
|
|
1.62%
|
|
1.24%
|
|
Weighted average days to maturity on interest-bearing liabilities at
period-end
|
197
|
|
110
|
|
220
|
|
Weighted average receive rate on interest rate swaps at period-end
|
0.24%
|
|
0.33%
|
|
0.27%
|
|
Weighted average pay rate on interest rate swaps at period-end
|
2.21%
|
|
2.55%
|
|
2.23%
|
|
|
|
|
|
|
|
The following table summarizes certain characteristics of the Company’s
interest rate swaps at December 31, 2012:
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
|
Weighted Average
|
|
Average Receive
|
|
Weighted Average Years to
|
|
Maturity
|
|
|
Current Notional
|
|
Pay Rate
|
|
Rate
|
|
Maturity
|
|
|
|
|
(dollars in thousands)
|
|
0 - 3 years
|
|
|
$18,165,800
|
|
2.23%
|
|
0.24%
|
|
1.80
|
|
3 - 6 years
|
|
|
19,609,500
|
|
1.84%
|
|
0.23%
|
|
3.74
|
|
6 - 10 years
|
|
|
5,300,000
|
|
2.66%
|
|
0.25%
|
|
7.76
|
|
Greater than 10 years
|
|
|
3,836,500
|
|
3.45%
|
|
0.24%
|
|
19.90
|
|
Total / Weighted Average
|
|
|
$46,911,800
|
|
2.21%
|
|
0.24%
|
|
4.77
|
|
|
|
|
|
|
|
|
|
|
|
The following table presents the maturities of repurchase agreements at
December 31, 2012:
|
|
|
|
|
|
Weighted Average
|
|
Maturity
|
|
|
Principal Balance
|
|
Rate
|
|
(dollars in thousands)
|
|
Within 30 days
|
|
|
$33,191,448
|
|
0.50%
|
|
30 to 59 days
|
|
|
28,383,851
|
|
0.45%
|
|
60 to 89 days
|
|
|
8,602,680
|
|
0.42%
|
|
90 to 119 days
|
|
|
4,804,671
|
|
0.57%
|
|
Over 120 days(1)
|
|
|
27,803,047
|
|
1.03%
|
|
Total
|
|
|
$102,785,697
|
|
0.63%
|
|
|
(1)
|
|
Of the total repurchase agreements, approximately 11% have a
remaining maturity over 1 year.
|
|
|
|
|
|
The Constant Prepayment Rate for the quarters ended December 31, 2012,
December 31, 2011, and September 30, 2012 was 19%, 22% and 20%,
respectively. The weighted average purchase price of the Company’s
Agency mortgage-backed securities and debentures at December 31, 2012,
December 31, 2011 and September 30, 2012 was 103.8%, 102.7% and 103.7%,
respectively. The net amortization of premiums and accretion of
discounts on Agency mortgage-backed securities and debentures for the
quarters ended December 31, 2012, December 31, 2011 and September 30,
2012 was $433.3 million, $292.1 million, and $455.8 million,
respectively. The total net premium and discount balance at December 31,
2012, December 31, 2011, and September 30, 2012, was $5.8 billion, $3.3
billion, and $5.4 billion, respectively.
General and administrative expenses as a percentage of average assets
was 0.12%, 0.23% and 0.19% for the quarters ended December 31, 2012,
December 31, 2011, and September 30, 2012, respectively. General and
administrative expenses declined in the fourth quarter of 2012 due to
Management’s recommendation and our compensation committee’s
determination to award total compensation levels for 2012 below the
target amounts for certain of our executive officers. In addition, for
the quarter ended December 31, 2012, the Company had an income tax
benefit relating to the change in reporting officers under IRC section
162(m). At December 31, 2012, December 31, 2011, and September 30, 2012,
the Company had a common stock book value per share of $15.85, $16.06
and $16.60, respectively.
At December 31, 2012, December 31, 2011, and September 30, 2012, the
Company’s wholly-owned registered investment advisors had under
management approximately $11.9 billion, $12.2 billion and $12.8 billion
in net assets, respectively, and $18.8 billion, $19.9 billion and $20.0
billion in gross assets, respectively. For the quarters ended December
31, 2012, December 31, 2011, and September 30, 2012, investment advisory
and other fee income was $18.9 million, $20.5 million and $21.0 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 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 2012 fourth quarter earnings conference call
on February 7, 2013 at 9:00 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 4628173. The replay number is 877-344-7529 for
domestic calls and 412-317-0088 for international calls and the
conference passcode is 10024273. 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.
|
|
|
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
|
|
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
|
(dollars in thousands, except share and per share data)
|
|
|
|
|
|
|
|
|
|
|
|
December 31,
|
September 30,
|
June 30,
|
March 31,
|
|
|
|
|
|
2012
|
|
|
2012
|
|
|
2012
|
|
|
2012
|
|
December 31,
|
|
|
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
(Unaudited)
|
2011(1)
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
$
|
615,789
|
|
$
|
2,264,854
|
|
$
|
924,374
|
|
$
|
932,761
|
|
$
|
994,198
|
|
|
Reverse repurchase agreements
|
|
|
1,811,095
|
|
|
1,612,384
|
|
|
2,025,471
|
|
|
2,540,601
|
|
|
860,866
|
|
|
Investments, at fair value:
|
|
|
|
|
|
|
|
U.S. Treasury Securities
|
|
|
752,076
|
|
|
2,242,039
|
|
|
1,998,363
|
|
|
2,622,714
|
|
|
928,547
|
|
|
Securities borrowed
|
|
|
2,160,942
|
|
|
1,602,692
|
|
|
1,465,327
|
|
|
1,122,453
|
|
|
928,732
|
|
|
Agency mortgage-backed securities
|
|
|
123,963,207
|
|
|
129,597,714
|
|
|
118,500,649
|
|
|
110,291,712
|
|
|
104,251,055
|
|
|
Agency debentures
|
|
|
3,009,568
|
|
|
2,935,538
|
|
|
1,250,506
|
|
|
1,499,127
|
|
|
889,580
|
|
|
Investments in affiliates
|
|
|
234,120
|
|
|
224,899
|
|
|
203,057
|
|
|
225,818
|
|
|
211,970
|
|
|
Equity securities
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
4,470
|
|
|
3,891
|
|
|
Corporate debt, held for investment
|
|
|
63,944
|
|
|
64,928
|
|
|
60,638
|
|
|
50,806
|
|
|
52,073
|
|
|
Receivable for investments sold
|
|
|
290,722
|
|
|
470,266
|
|
|
1,320,996
|
|
|
454,278
|
|
|
-
|
|
|
Accrued interest and dividends receivable
|
|
|
419,259
|
|
|
434,026
|
|
|
420,390
|
|
|
418,489
|
|
|
409,023
|
|
|
Receivable from Prime Broker
|
|
|
-
|
|
|
3,272
|
|
|
3,272
|
|
|
3,272
|
|
|
3,272
|
|
|
Receivable for advisory and service fees
|
|
|
17,730
|
|
|
20,271
|
|
|
20,743
|
|
|
19,608
|
|
|
19,550
|
|
|
Intangible for customer relationships
|
|
|
6,989
|
|
|
9,146
|
|
|
9,714
|
|
|
10,281
|
|
|
10,807
|
|
|
Goodwill
|
|
|
55,417
|
|
|
55,417
|
|
|
55,417
|
|
|
55,417
|
|
|
42,030
|
|
|
Other derivative contracts, at fair value
|
|
|
9,830
|
|
|
559
|
|
|
3,717
|
|
|
321
|
|
|
113
|
|
|
Other assets
|
|
|
41,607
|
|
|
38,595
|
|
|
41,937
|
|
|
29,412
|
|
|
24,295
|
|
|
|
|
|
|
|
|
|
|
Total assets
|
|
$
|
133,452,295
|
|
$
|
141,576,600
|
|
$
|
128,304,571
|
|
$
|
120,281,540
|
|
$
|
109,630,002
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
U.S. Treasury Securities sold, not yet purchased, at fair value
|
|
$
|
495,437
|
|
$
|
1,418,750
|
|
$
|
1,884,922
|
|
$
|
2,577,905
|
|
$
|
826,912
|
|
|
Repurchase agreements
|
|
|
102,785,697
|
|
|
101,033,146
|
|
|
96,760,797
|
|
|
91,720,865
|
|
|
84,097,885
|
|
|
Securities loaned, at fair value
|
|
|
1,808,315
|
|
|
1,248,968
|
|
|
1,113,107
|
|
|
876,849
|
|
|
804,901
|
|
|
Payable for investments purchased
|
|
|
8,256,957
|
|
|
16,107,038
|
|
|
7,387,410
|
|
|
5,708,412
|
|
|
4,315,796
|
|
|
Payable for share buyback program
|
|
|
141,149
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
Convertible Senior Notes
|
|
|
825,541
|
|
|
999,749
|
|
|
1,245,915
|
|
|
524,420
|
|
|
539,913
|
|
|
Accrued interest payable
|
|
|
186,896
|
|
|
181,502
|
|
|
174,819
|
|
|
129,108
|
|
|
138,965
|
|
|
Dividends payable
|
|
|
432,154
|
|
|
487,237
|
|
|
535,898
|
|
|
534,401
|
|
|
552,806
|
|
|
Interest rate swaps, at fair value
|
|
|
2,584,907
|
|
|
2,926,461
|
|
|
2,822,264
|
|
|
2,211,048
|
|
|
2,552,687
|
|
|
Accounts payable and other liabilities
|
|
|
10,798
|
|
|
83,086
|
|
|
94,853
|
|
|
57,927
|
|
|
7,223
|
|
|
|
|
|
|
|
|
|
|
Total liabilities
|
|
|
117,527,851
|
|
|
124,485,937
|
|
|
112,019,985
|
|
|
104,340,935
|
|
|
93,837,088
|
|
|
|
|
|
|
|
|
|
|
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000
shares authorized, 0, 0, 0, 0, and 1,331,849, shares issued and
outstanding, respectively
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
32,272
|
|
|
|
|
|
|
|
|
|
|
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, 12,650,000, 0, and 0 authorized, respectively,
12,000,000, 12,000,000, 12,000,000, 0, and 0 issued and
outstanding, respectively
|
|
|
290,514
|
|
|
290,514
|
|
|
290,514
|
|
|
-
|
|
|
-
|
|
|
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000,
18,400,000, 0, 0, and 0 authorized, issued and outstanding,
respectively
|
|
|
445,457
|
|
|
445,457
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
Common stock, par value $0.01 per share, 1,956,937,500,
1,956,937,500, 1,975,337,500, 1,956,937,500, and 1,987,987,500
authorized, respectively, 947,213,204, 974,799,779, 974,684,401,
974,325,338, and 970,161,647 issued and outstanding, respectively
|
|
|
9,472
|
|
|
9,748
|
|
|
9,747
|
|
|
9,743
|
|
|
9,702
|
|
|
Additional paid-in capital
|
|
|
14,740,774
|
|
|
15,144,200
|
|
|
15,168,020
|
|
|
15,127,882
|
|
|
15,068,870
|
|
|
Accumulated other comprehensive income
|
|
|
3,053,242
|
|
|
4,069,607
|
|
|
3,413,320
|
|
|
2,766,430
|
|
|
3,008,988
|
|
|
Accumulated deficit
|
|
|
(2,792,103
|
)
|
|
(3,045,951
|
)
|
|
(2,774,103
|
)
|
|
(2,140,538
|
)
|
|
(2,504,006
|
)
|
|
|
|
|
|
|
|
|
|
Total stockholders’ equity
|
|
|
15,924,444
|
|
|
17,090,663
|
|
|
16,284,586
|
|
|
15,940,605
|
|
|
15,760,642
|
|
|
Total liabilities, Series B Cumulative Convertible Preferred Stock
and stockholders’ equity
|
|
$
|
133,452,295
|
|
$
|
141,576,600
|
|
$
|
128,304,571
|
|
$
|
120,281,540
|
|
$
|
109,630,002
|
|
|
|
|
|
(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
|
|
|
|
December 31,
|
September 30,
|
June 30,
|
March 31,
|
December 31,
|
|
|
|
|
2012
|
|
|
2012
|
|
|
2012
|
|
|
2012
|
|
|
2011
|
|
|
Interest income:
|
|
|
|
|
|
|
|
Investments
|
|
$
|
750,736
|
|
$
|
754,096
|
|
$
|
876,229
|
|
$
|
850,959
|
|
$
|
844,874
|
|
|
U.S. Treasury Securities
|
|
|
3,819
|
|
|
4,588
|
|
|
7,397
|
|
|
1,418
|
|
|
1,082
|
|
|
Securities loaned
|
|
|
2,106
|
|
|
2,581
|
|
|
2,698
|
|
|
2,518
|
|
|
1,744
|
|
|
Total interest income
|
|
|
756,661
|
|
|
761,265
|
|
|
886,324
|
|
|
854,895
|
|
|
847,700
|
|
|
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
165,600
|
|
|
158,150
|
|
|
139,579
|
|
|
113,914
|
|
|
114,989
|
|
|
Convertible Senior Notes
|
|
|
15,503
|
|
|
18,026
|
|
|
18,965
|
|
|
14,727
|
|
|
12,552
|
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
|
2,930
|
|
|
3,739
|
|
|
5,801
|
|
|
2,644
|
|
|
1,214
|
|
|
Securities borrowed
|
|
|
1,458
|
|
|
1,978
|
|
|
2,098
|
|
|
2,060
|
|
|
1,378
|
|
|
Total interest expense
|
|
|
185,491
|
|
|
181,893
|
|
|
166,443
|
|
|
133,345
|
|
|
130,133
|
|
|
|
|
|
|
|
|
|
|
Net interest income
|
|
|
571,170
|
|
|
579,372
|
|
|
719,881
|
|
|
721,550
|
|
|
717,567
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
Investment advisory and other fee income
|
|
|
18,934
|
|
|
21,034
|
|
|
21,929
|
|
|
20,766
|
|
|
20,460
|
|
|
Net gains (losses) on disposal of investments
|
|
|
114,831
|
|
|
142,172
|
|
|
94,837
|
|
|
80,299
|
|
|
80,657
|
|
|
Net loss on extinguishment of 4% Convertible Senior Notes
|
|
|
(75,012
|
)
|
|
(87,328
|
)
|
|
-
|
|
|
-
|
|
|
-
|
|
|
Dividend income from affiliates
|
|
|
7,097
|
|
|
7,097
|
|
|
6,621
|
|
|
7,521
|
|
|
8,283
|
|
|
Net gains (losses) on trading assets
|
|
|
15,181
|
|
|
1,368
|
|
|
1,105
|
|
|
5,256
|
|
|
6,356
|
|
|
Net unrealized gains (losses) on interest-only Agency
mortgage-backed securities
|
|
|
(31,148
|
)
|
|
(33,563
|
)
|
|
(26,103
|
)
|
|
30,877
|
|
|
(67,612
|
)
|
|
Income from underwriting
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
19
|
|
|
Subtotal
|
|
|
49,883
|
|
|
50,780
|
|
|
98,389
|
|
|
144,719
|
|
|
48,163
|
|
|
Realized gains (losses) on interest rate swaps(1)
|
|
|
(228,155
|
)
|
|
(224,272
|
)
|
|
(222,002
|
)
|
|
(219,340
|
)
|
|
(227,638
|
)
|
|
Realized gains (losses) on termination of interest rate swaps
|
|
|
-
|
|
|
-
|
|
|
-
|
|
|
(2,385
|
)
|
|
-
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
|
341,554
|
|
|
(104,197
|
)
|
|
(611,215
|
)
|
|
341,639
|
|
|
(12,139
|
)
|
|
Subtotal
|
|
|
113,399
|
|
|
(328,469
|
)
|
|
(833,217
|
)
|
|
119,914
|
|
|
(239,777
|
)
|
|
Total other income (loss)
|
|
|
163,282
|
|
|
(277,689
|
)
|
|
(734,828
|
)
|
|
264,633
|
|
|
(191,614
|
)
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
Compensation expense
|
|
|
25,842
|
|
|
52,310
|
|
|
53,536
|
|
|
59,014
|
|
|
54,340
|
|
|
Other general and administrative expenses
|
|
|
14,242
|
|
|
10,694
|
|
|
11,020
|
|
|
8,901
|
|
|
8,754
|
|
|
Total general and administrative expenses
|
|
|
40,084
|
|
|
63,004
|
|
|
64,556
|
|
|
67,915
|
|
|
63,094
|
|
|
|
|
|
|
|
|
|
|
Income before income taxes
|
|
|
694,368
|
|
|
238,679
|
|
|
(79,503
|
)
|
|
918,268
|
|
|
462,859
|
|
|
|
|
|
|
|
|
|
|
Income taxes
|
|
|
6,127
|
|
|
(13,921
|
)
|
|
(11,656
|
)
|
|
(16,462
|
)
|
|
(17,297
|
)
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
|
700,495
|
|
|
224,758
|
|
|
(91,159
|
)
|
|
901,806
|
|
|
445,562
|
|
|
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
|
19,717
|
|
|
9,367
|
|
|
6,508
|
|
|
3,938
|
|
|
4,148
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
|
$
|
680,778
|
|
$
|
215,391
|
|
|
($97,667
|
)
|
$
|
897,868
|
|
$
|
441,414
|
|
|
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
|
|
|
Basic
|
|
$
|
0.70
|
|
$
|
0.22
|
|
|
($0.10
|
)
|
$
|
0.92
|
|
$
|
0.46
|
|
|
Diluted
|
|
$
|
0.68
|
|
$
|
0.22
|
|
|
($0.10
|
)
|
$
|
0.89
|
|
$
|
0.44
|
|
|
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
|
|
|
Basic
|
|
|
970,602,863
|
|
|
974,729,078
|
|
|
974,555,392
|
|
|
971,727,701
|
|
|
970,056,491
|
|
|
Diluted
|
|
|
1,017,925,849
|
|
|
997,007,829
|
|
|
974,555,392
|
|
|
1,010,588,609
|
|
|
1,011,495,682
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
700,495
|
|
$
|
224,758
|
|
|
($91,159
|
)
|
$
|
901,806
|
|
$
|
445,562
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
|
|
(894,972
|
)
|
|
798,269
|
|
|
741,727
|
|
|
(162,259
|
)
|
|
16,157
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
|
(121,393
|
)
|
|
(141,982
|
)
|
|
(94,837
|
)
|
|
(80,299
|
)
|
|
(80,657
|
)
|
|
Other comprehensive income (loss)
|
|
|
(1,016,365
|
)
|
|
656,287
|
|
|
646,890
|
|
|
(242,558
|
)
|
|
(64,500
|
)
|
|
Comprehensive income (loss)
|
|
|
($315,870
|
)
|
$
|
881,045
|
|
$
|
555,731
|
|
$
|
659,248
|
|
$
|
381,062
|
|
|
|
|
|
(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 years ended
|
|
|
December 31, 2012
|
|
December 31, 2011 (1)
|
|
Interest income:
|
|
|
|
|
Investments
|
$
|
3,232,020
|
|
|
$
|
3,558,015
|
|
|
U.S. Treasury Securities
|
|
17,222
|
|
|
|
14,706
|
|
|
Securities loaned
|
|
9,903
|
|
|
|
6,897
|
|
|
Total interest income
|
|
3,259,145
|
|
|
|
3,579,618
|
|
|
|
|
|
|
|
Interest expense:
|
|
|
|
|
Repurchase agreements
|
|
577,243
|
|
|
|
426,769
|
|
|
Convertible Senior Notes
|
|
67,221
|
|
|
|
35,017
|
|
|
U.S. Treasury Securities sold, not yet purchased
|
|
15,114
|
|
|
|
13,081
|
|
|
Securities borrowed
|
|
7,594
|
|
|
|
5,459
|
|
|
Total interest expense
|
|
667,172
|
|
|
|
480,326
|
|
|
|
|
|
|
|
Net interest income
|
|
2,591,973
|
|
|
|
3,099,292
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
Investment advisory and other fee income
|
|
82,663
|
|
|
|
79,205
|
|
|
Net gains (losses) on disposal of investments
|
|
432,139
|
|
|
|
206,846
|
|
|
Net loss on extinguishment of 4% Convertible Senior Notes
|
|
(162,340
|
)
|
|
|
-
|
|
|
Dividend income from affiliates
|
|
28,336
|
|
|
|
31,516
|
|
|
Net gains (losses) on trading assets
|
|
22,910
|
|
|
|
21,398
|
|
|
Net unrealized gains (losses) on interest-only Agency
mortgage-backed securities
|
|
(59,937
|
)
|
|
|
(106,657
|
)
|
|
Income from underwriting
|
|
-
|
|
|
|
5,618
|
|
|
Subtotal
|
|
343,771
|
|
|
|
237,926
|
|
|
Realized gains (losses) on interest rate swaps(2)
|
|
(893,769
|
)
|
|
|
(882,395
|
)
|
|
Realized gain (loss) on termination of interest rate swaps
|
|
(2,385
|
)
|
|
|
-
|
|
|
Unrealized gains (losses) on interest rate swaps
|
|
(32,219
|
)
|
|
|
(1,815,107
|
)
|
|
Subtotal
|
|
(928,373
|
)
|
|
|
(2,697,502
|
)
|
|
Total other income (loss)
|
|
(584,602
|
)
|
|
|
(2,459,576
|
)
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
Compensation expense
|
|
190,702
|
|
|
|
206,251
|
|
|
Other general and administrative expenses
|
|
44,857
|
|
|
|
31,093
|
|
|
Total general and administrative expenses
|
|
235,559
|
|
|
|
237,344
|
|
|
Income before income taxes and income from equity
method investment in affiliate
|
|
1,771,812
|
|
|
|
402,372
|
|
|
|
|
|
|
|
Income taxes
|
|
(35,912
|
)
|
|
|
(59,051
|
)
|
|
|
|
|
|
|
Income (loss) from equity method investment in affiliate
|
|
-
|
|
|
|
1,140
|
|
|
|
|
|
|
|
Net income (loss)
|
|
1,735,900
|
|
|
|
344,461
|
|
|
|
|
|
|
|
Dividends on preferred stock
|
|
39,530
|
|
|
|
16,854
|
|
|
|
|
|
|
|
Net income (loss) available (related) to common shareholders
|
$
|
1,696,370
|
|
|
$
|
327,607
|
|
|
|
|
|
|
|
Net income (loss) per share available (related) to common
shareholders:
|
|
|
|
|
Basic
|
$
|
1.74
|
|
|
$
|
0.37
|
|
|
Diluted
|
$
|
1.71
|
|
|
$
|
0.37
|
|
|
|
|
|
|
|
Weighted average number of common shares outstanding:
|
|
|
|
|
Basic
|
|
972,902,459
|
|
|
|
874,212,039
|
|
|
Diluted
|
|
1,005,755,057
|
|
|
|
874,518,938
|
|
|
|
|
|
|
|
Net income (loss)
|
$
|
1,735,900
|
|
|
$
|
344,461
|
|
|
Other comprehensive income (loss):
|
|
|
|
|
Unrealized gains (losses) on available-for-sale securities
|
$
|
482,765
|
|
|
$
|
2,036,894
|
|
|
Unrealized losses on interest rate swaps
|
|
-
|
|
|
|
14,298
|
|
|
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
|
(438,511
|
)
|
|
|
(206,846
|
)
|
|
Other comprehensive income (loss)
|
|
44,254
|
|
|
|
1,844,346
|
|
|
Comprehensive income (loss)
|
$
|
1,780,154
|
|
|
$
|
2,188,807
|
|
|
|
|
(1)
|
|
Derived from the audited consolidated financial statements at
December 31, 2011.
|
|
(2)
|
|
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.