-
GAAP net loss of $476.5 million, $0.52 loss per common share
-
Core earnings of $254.1 million, $0.25 earnings per common share
-
Common stock book value of $12.88, leverage of 4.8:1, economic
leverage of 5.7:1
-
Diversification strategy advancing – commercial asset growth of 15%,
now representing 13% of equity
-
Repositioned Agency portfolio into TBA contracts, shorter maturity
securities and initiated investment in GSE Credit Risk Transfer bonds
NEW YORK--(BUSINESS WIRE)--
Annaly Capital Management, Inc. (NYSE:NLY) today announced its financial
results for the quarter ended March 31, 2015.
Financial Performance
The Company reported a GAAP net loss for the quarter ended March 31,
2015 of $476.5 million, or $0.52 loss per average common share, compared
to a GAAP net loss of $658.3 million, or $0.71 loss per average common
share, for the quarter ended December 31, 2014, and a GAAP net loss of
$203.4 million, or $0.23 loss per average common share, for the quarter
ended March 31, 2014. The smaller loss for the quarter ended March 31,
2015 compared to the quarter ended December 31, 2014 was due to changes
in realized and unrealized losses on our interest rate swaps. The larger
loss for the quarter ended March 31, 2015 compared to the quarter ended
March 31, 2014 was primarily attributable to realized losses on
termination of interest rate swaps in the current quarter.
Core earnings for the quarter ended March 31, 2015 was $254.1 million,
or $0.25 per average common share, compared to $298.9 million, or $0.30
per average common share, for the quarter ended December 31, 2014, and
$239.7 million, or $0.23 per average common share, for the quarter ended
March 31, 2014. Core earnings declined during the quarter ended March
31, 2015 due to higher amortization expense on Investment Securities, a
result of lower interest rates and faster model prepayment expectations.
Core earnings were also impacted by portfolio actions that included the
disposal of $14.9 billion of Investment Securities which resulted in
lower coupon income. The sales generated $62.3 million of realized gains
which, as noted below, are excluded from core earnings. "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 gains and
losses on trading assets, impairment losses, net income (loss)
attributable to noncontrolling interest, and certain other non-recurring
gains or losses, and inclusive of dollar roll income (a component of Net
gains (losses) on trading assets).
As part of a series of portfolio actions executed during the quarter,
and further described below, the Company entered into to-be-announced
(“TBA”) dollar roll transactions that generate dollar roll income.
Dollar roll, or “drop”, income is defined as the difference in price
between two TBA contracts with the same terms but different settlement
dates. Dollar roll income represents the equivalent of interest income
on the underlying security less an implied cost of financing.
Net interest margin, inclusive of TBA dollar rolls, for the quarters
ended March 31, 2015, December 31, 2014 and March 31, 2014 was 1.26%,
1.56% and 1.32%, respectively. Net interest margin represents the sum of
the Company’s annualized economic net interest income, inclusive of
interest expense on interest rate swaps, plus TBA dollar roll income
divided by the sum of its average interest-earning assets plus average
outstanding TBA contract balances. For the quarter ended March 31, 2015,
the average yield on interest earning assets was 2.47% and the average
cost of interest bearing liabilities, including interest expense on
interest rate swaps, was 1.64%, which resulted in a net interest spread
of 0.83%. Our average yield on interest earning assets declined for
quarter ended March 31, 2015 when compared to the quarters ended
December 31, 2014 and March 31, 2014 as a result of higher amortization
expense in the current quarter resulting from faster prepayment speeds.
Our average cost of interest bearing liabilities decreased for the
quarter ended March 31, 2015 when compared to the quarter ended December
31, 2014 due to lower interest rate swap and repo balances. Our average
cost of interest bearing liabilities decreased for the quarter ended
March 31, 2015 when compared to the quarter ended March 31, 2014 due to
significantly lower interest rate swap and swaption notional balances as
a percentage of repurchase agreements.
Wellington J. Denahan, Chairman and Chief Executive Officer of Annaly,
commented on the Company’s results. “We, along with the rest of the
markets, are patiently waiting for the Federal Reserve to adjust policy
accommodation sometime this year. We fully expect increases in
volatility and look forward to the opportunities it will bring. We are
proud of our ability to continue to deliver attractive relative returns
in this zero-interest rate bound world.”
Kevin Keyes, President of Annaly, added “We remain prepared to be
opportunistic during this time of heightened volatility. Influenced by
our history and demonstrated performance over the longer term, our
disposition toward risk management and capital allocation is to maintain
a consistent, thoughtful approach through market cycles focusing on the
production of stable and durable earnings over time.”
Asset Portfolio
During the quarter ended March 31, 2015, the Company executed a series
of portfolio actions based upon a view of relative value given
macro-environmental conditions. The actions included (i) the disposal of
Investment Securities, which included the rotation out of certain types
of Agency mortgage-backed securities while adding to other shorter
maturity Agency mortgage-backed securities, (ii) commencement of
purchases of Agency Credit-Risk Transfer (“CRT”) securities and (iii)
execution of TBA dollar roll transactions. The Company disposals were
comprised primarily of 30 year Agency mortgage-backed securities while
adding to its holdings of 15 year Agency mortgage-backed securities. The
Company purchased $108.3 million of Agency CRT securities. Investment
Securities, which are comprised of Agency mortgage-backed securities,
Agency debentures and Agency CRT securities were $70.5 billion at March
31, 2015, compared to $82.9 billion at December 31, 2014 and $77.8
billion at March 31, 2014.
The Company’s Investment Securities portfolio at March 31, 2015 was
comprised of 94% fixed-rate assets with the remainder constituting
adjustable- or floating-rate investments. During the quarter ended March
31, 2015, the Company disposed of $14.9 billion of Investment
Securities, resulting in a realized gain of $62.3 million. During the
quarter ended December 31, 2014, the Company disposed of $7.3 billion of
Investment Securities, resulting in a realized gain of $3.2 million.
During the quarter ended March 31, 2014, the Company disposed of $5.0
billion of Investment Securities, resulting in a realized gain of $80.7
million.
At March 31, 2015 the Company had outstanding $13.8 billion in notional
balances of TBA derivative positions. Realized and unrealized losses on
TBA derivatives are recorded in Net gains (losses) on trading assets in
the Company’s Consolidated Statements of Comprehensive Income (Loss).
The following table summarizes certain characteristics of the Company’s
TBA derivatives at March 31, 2015:
|
| | |
| |
| |
| |
| | | | | | | |
|
| Purchase and sale contracts for
derivative TBAs | Notional |
| Implied Cost Basis |
| Implied Market Value |
| Net Carrying Value |
| | (dollars in thousands) |
|
Purchase contracts
|
$
|
13,750,000
| |
$
|
14,279,766
| |
$
|
14,392,695
| |
$
|
112,929
|
|
Sale contracts
|
|
-
| |
|
-
| |
|
-
| |
|
-
|
|
Net TBA derivatives
|
$
|
13,750,000
|
|
$
|
14,279,766
|
|
$
|
14,392,695
|
|
$
|
112,929
|
| | | | | | | |
|
The weighted average experienced constant prepayment rate on our Agency
mortgage-backed securities for the quarters ended March 31, 2015,
December 31, 2014, and March 31, 2014, was 9%, 8% and 6%, respectively.
The Company uses a third-party model to project prepayment speeds for
purposes of determining amortization of related premiums and discounts
on Investment Securities. Changes to model assumptions, including
interest rates and other market data, as well as periodic revisions to
the model may cause changes in the results. The net amortization of
premiums and accretion of discounts on Investment Securities for the
quarters ended March 31, 2015, December 31, 2014, and March 31, 2014,
was $284.8 million, $198.0 million, and $119.0 million, respectively.
The total net premium balance on Investment Securities at March 31,
2015, December 31, 2014, and March 31, 2014, was $4.7 billion, $5.3
billion, and $5.1 billion, respectively. The weighted average amortized
cost basis of the Company’s non-interest-only Investment Securities at
March 31, 2015, December 31, 2014, and March 31, 2014, was 105.1%,
105.3%, and 105.3%, respectively. The weighted average amortized cost
basis of the Company’s interest-only Investment Securities at March 31,
2015, December 31, 2014, and March 31, 2014, was 15.7%, 15.4%, and
14.7%, respectively.
The Company’s commercial investment portfolio consists of commercial
real estate investments and corporate debt. Commercial real estate debt
and preferred equity, including securitized loans of consolidated
variable interest entities (“VIEs”), as further described below, totaled
$3.0 billion and investments in commercial real estate totaled $207.2
million at March 31, 2015. Commercial real estate debt and preferred
equity, including securitized loans of consolidated VIEs, totaled $1.5
billion and investments in commercial real estate totaled $210.0 million
at December 31, 2014. The commercial investment portfolio, net of
financing, represented 13% and 11% of stockholders’ equity at March 31,
2015 and December 31, 2014, respectively. The weighted average yield on
commercial real estate debt and preferred equity as of March 31, 2015,
December 31, 2014, and March 31, 2014, was 8.75%, 9.00% and 9.13%,
respectively. The weighted average levered equity yield on investments
in commercial real estate, excluding real estate held-for-sale, as of
March 31, 2015, December 31, 2014, and March 31, 2014, was 13.09%,
13.95% and 10.80%, respectively.
During the quarter, the Company acquired the junior most tranche
totaling $102 million issued by the Freddie Mac K-Series and the Company
was required to consolidate $1.4 billion of assets and $1.3 billion of
liabilities of the issuing trust as of March 31, 2015. The Company also
acquired AAA rated commercial mortgage-backed securities totaling $145.0
million during the quarter. During the quarter, the Company acquired
$63.0 million of corporate debt, increasing the size of its portfolio to
$227.8 million at March 31, 2014, compared to $166.4 million at December
31, 2014. At March 31, 2015, the commercial investment portfolio, net of
financing, represented 13% of total equity.
Capital and Funding
At March 31, 2015, total stockholders’ equity was $13.1 billion.
Leverage at March 31, 2015, December 31, 2014, and March 31, 2014, was
4.8:1, 5.4:1 and 5:2:1, respectively. For purposes of calculating the
Company’s leverage ratio, debt consists of repurchase agreements,
Convertible Senior Notes, securitized debt, loan participation and
mortgages payable. Securitized debt, loan participation and mortgages
payable are non-recourse to the Company. Economic leverage, which also
considers other forms of financing, was 5.7:1 at March 31, 2015.
Economic leverage is computed as the sum of debt, TBA derivative
notional outstanding and net forward purchases of Investment Securities
divided by total equity. At March 31, 2015, December 31, 2014, and March
31, 2014, the Company’s capital ratio, which represents the ratio of
stockholders’ equity to total assets (inclusive of total market value of
TBA derivatives), was 14.1%, 15.1%, and 15.2%, respectively. On a GAAP
basis, the Company produced an annualized return (loss) on average
equity for the quarters ended March 31, 2015, December 31, 2014, and
March 31, 2014 of (14.41%), (19.91%), and (6.52%), respectively. On a
core earnings basis, the Company provided an annualized return on
average equity for the quarters ended March 31, 2015, December 31, 2014,
and March 31, 2014, of 7.68%, 9.04%, and 7.68%, respectively.
At March 31, 2015, December 31, 2014, and March 31, 2014 the Company had
outstanding $60.5 billion, $71.4 billion, and $64.5 billion of
repurchase agreements, respectively, with weighted average remaining
maturities of 149 days, 141 days, and 187 days, respectively, and with
weighted average borrowing rates of 1.74%, 1.62%, and 2.43%,
respectively, after giving effect to the Company’s interest rate swaps.
At March 31, 2015, December 31, 2014, and March 31, 2014, the Company
had a common stock book value per share of $12.88, $13.10 and $12.30,
respectively.
The following table presents the principal balance and weighted average
rate of repurchase agreements by maturity at March 31, 2015:
|
| |
| |
| |
| Maturity |
| Principal Balance |
| Weighted Average Rate |
| (dollars in thousands) |
|
Within 30 days
| |
$
|
23,738,473
| |
0.47%
|
|
30 to 59 days
| | |
7,326,177
| |
0.40%
|
|
60 to 89 days
| | |
9,534,614
| |
0.40%
|
|
90 to 119 days
| | |
4,677,222
| |
0.50%
|
|
Over 120 days(1) | |
|
15,200,892
|
|
1.45%
|
|
Total
| |
$
|
60,477,378
|
|
0.70%
|
| | | | |
|
|
|
(1) Approximately 18% of the total repurchase agreements have a
remaining maturity over 1 year.
|
|
|
Hedge Portfolio
At March 31, 2015, the Company had outstanding interest rate swaps with
a net notional amount of $28.1 billion and interest rate swaptions with
a net notional amount of $1.0 billion, representing 48% of the Company’s
repurchase agreements. Interest rate swaps and swaptions represented 47%
of the Company’s repurchase agreements at December 31, 2014 and 94% of
the Company’s repurchase agreements at March 31, 2014. 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 generally 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 March 31, 2015, the swap portfolio,
excluding forward starting swaps, had a weighted average pay rate of
2.37%, a weighted average receive rate of 0.35% and weighted average
maturity of 8.09 years.
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 March 31,
2015, the long swaption portfolio had a weighted average pay rate of
2.61% and weighted average expiration of 2.15 months. As of March 31,
2015, there were no short swaption positions.
The following table summarizes certain characteristics of the Company’s
interest rate swaps at March 31, 2015:
|
| |
| |
| |
| |
| |
| Maturity |
| Current Notional (1) |
| Weighted
Average Pay
Rate (2)
(3) |
| Weighted
Average Receive
Rate (2) |
| Weighted
Average Years
to Maturity (2) |
| (dollars in thousands) | | | | | | | | |
|
0 - 3 years
| |
$
|
2,852,488
| |
1.78%
| |
0.18%
| |
2.45
|
|
3 - 6 years
| | |
10,463,000
| |
1.85%
| |
0.41%
| |
4.99
|
|
6 - 10 years
| | |
11,110,100
| |
2.60%
| |
0.37%
| |
8.64
|
|
Greater than 10 years
| |
|
3,634,400
|
|
3.70%
|
|
0.22%
|
|
20.12
|
|
Total / Weighted Average
| |
$
|
28,059,988
|
|
2.37%
|
|
0.35%
|
|
8.09
|
| | | | | | | | |
|
|
|
(1)
|
|
Notional amount includes $3.0 billion in forward starting pay fixed
swaps.
|
|
(2)
| |
Excludes forward starting swaps.
|
|
(3)
| |
Weighted average fixed rate on forward starting pay fixed swaps was
1.88%.
|
| | |
|
The following table summarizes certain characteristics of the Company’s
interest rate swaptions at March 31, 2015:
|
| | |
| |
| |
| |
| |
| | 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) |
|
Long
|
$
|
1,000,000
| |
2.61
|
%
| |
3M LIBOR
| |
8.19
| |
2.15
|
| | | | | | | | | |
|
The Company enters into U.S. Treasury and Eurodollar futures contracts
to hedge a portion of its interest rate risk. The following table
summarizes outstanding futures positions as of March 31, 2015:
|
| |
| |
| |
| |
| | | Notional - Long
Positions |
| Notional - Short
Positions |
| Weighted Average
Years to Maturity |
| | | (dollars in thousands) | | | | |
|
2-year swap equivalent Eurodollar contracts
| |
$
|
-
| |
$
|
(3,000,000)
| |
2.00
|
|
U.S. Treasury futures - 5 year
| | |
-
| | |
(2,000,000)
| |
4.36
|
|
U.S. Treasury futures - 10 year and greater
| |
|
-
|
|
|
(1,800,000)
|
|
7.43
|
|
Total
| |
$
|
-
|
|
$
|
(6,800,000)
|
|
4.13
|
| | | | | | |
|
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 March 31, 2015, December 31, 2014, and March 31, 2014:
|
| |
|
| |
| |
| |
| | | | | | | |
|
| | | | | | | |
|
| | | | March 31, 2015 |
| December 31, 2014 |
| March 31, 2014 |
| Portfolio Related Metrics: | | | | | | | |
|
Fixed-rate Investment Securities as a percentage of total
Investment
Securities
| | |
94%
| |
95%
| |
93%
|
|
Adjustable-rate and floating-rate Investment Securities as a
percentage of
total Investment Securities
| | |
6%
| |
5%
| |
7%
|
|
Weighted average yield on commercial real estate debt and preferred
equity
at period-end
| | |
8.75%
| |
9.00%
| |
9.13%
|
|
Weighted average net equity yield on investments in commercial real
estate
at period-end (1) | | |
13.09%
|
|
13.95%
|
|
10.80%
|
| | | | | | | |
|
| Liabilities and Hedging Metrics: | | | | | | | |
|
Weighted average days to maturity on repurchase agreements
outstanding
at period-end
| | |
149
| |
141
| |
187
|
|
Notional amount of interest rate swaps and swaptions as a
percentage of
repurchase agreements
| | |
48%
| |
47%
| |
94%
|
|
Weighted average pay rate on interest rate swaps at period-end
(2) | | |
2.37%
| |
2.49%
| |
2.16%
|
|
Weighted average receive rate on interest rate swaps at period-end
(2) | | |
0.35%
| |
0.22%
| |
0.19%
|
|
Weighted average net rate on interest rate swaps at period-end
(2) | | |
2.02%
| |
2.27%
| |
1.97%
|
|
Leverage at period-end (3) | | |
4.8:1
| |
5.4:1
| |
5.2:1
|
|
Economic leverage at period-end (4) | | |
5.7:1
| |
5.4:1
| |
5.2:1
|
|
Capital ratio at period end
| | |
14.1%
|
|
15.1%
|
|
15.2%
|
| | | | | | | |
|
| Performance Related Metrics: | | | | | | | |
|
Net interest margin (5) | | |
1.26%
| |
1.56%
| |
1.32%
|
|
Average yield on interest earning assets (6) | | |
2.47%
| |
2.98%
| |
3.21%
|
|
Average cost of interest bearing liabilities (7) | | |
1.64%
| |
1.69%
| |
2.31%
|
|
Net interest spread
| | |
0.83%
| |
1.29%
| |
0.90%
|
|
Annualized return (loss) on average equity
| | |
(14.41%)
| |
(19.91%)
| |
(6.52%)
|
|
Annualized Core return on average equity
| | |
7.68%
| |
9.04%
| |
7.68%
|
|
Common dividend declared during the quarter
| | | $0.30 | | $0.30 | | $0.30 |
|
Book value per common share
| | | $12.88 |
| $13.10 |
| $12.30 |
| | | | | | | |
|
|
|
(1)
|
|
Excludes real estate held-for-sale.
|
|
(2)
| |
Excludes forward starting swaps.
|
|
(3)
| |
Debt consists of repurchase agreements, Convertible Senior Notes,
securitized debt, loan participation and mortgages payable.
Securitized debt, loan participation and mortgages payable are
non-recourse to the Company.
|
|
(4)
| |
Computed as the sum of debt, TBA derivative notional outstanding and
net forward purchases of Investment Securities divided by total
equity.
|
|
(5)
| |
Represents the sum of the Company’s annualized economic net interest
income, inclusive of interest expense on interest rate swaps, plus
dollar roll income divided by the sum of its average
interest-earning assets plus average outstanding TBA derivative
balances.
|
|
(6)
| |
Average interest earning assets reflects the average amortized cost
of our investments during the period.
|
|
(7)
| |
Includes interest expense on interest rate swaps.
|
| | |
|
The following table presents a reconciliation between GAAP net income
and Core earnings for the quarters ended March 31, 2015, December 31,
2014, and March 31, 2014:
|
| |
|
| |
| |
| | | | For the quarters ended |
| | | | March 31, 2015 |
| December 31, 2014 |
| March 31, 2014 |
| | | | (dollars in thousands) |
|
GAAP net income (loss)
| | |
$
|
(476,499
|
)
|
|
$
|
(658,272
|
)
| |
$
|
(203,351
|
)
|
|
Less:
| | | | | | | |
|
Realized (gains) losses on termination of interest rate swaps
| | | |
226,462
| | | |
-
| | | |
6,842
| |
|
Unrealized (gains) losses on interest rate swaps
| | | |
466,202
| | | |
873,468
| | | |
348,942
| |
|
Net (gains) losses on disposal of investments
| | | |
(62,356
|
)
| | |
(3,420
|
)
| | |
(79,710
|
)
|
|
Net (gains) losses on trading assets
| | | |
6,906
| | | |
57,454
| | | |
146,228
| |
|
Net unrealized (gains) losses on interest-only Agency
mortgage-backed securities
| | | |
33,546
| | | |
29,520
| | | |
20,793
| |
|
GAAP net (income) loss attributable to noncontrolling interest
| | | |
90
| | | |
196
| | | |
-
| |
|
Plus:
| | | | | | | |
|
TBA dollar roll income (1) | | |
|
59,731
|
|
|
|
-
|
|
|
|
-
|
|
|
Core earnings
| | |
$
|
254,082
|
|
|
$
|
298,946
|
|
|
$
|
239,744
|
|
| | | | | | | |
|
|
GAAP net income (loss) per average common share
| | |
$
|
(0.52
|
)
|
|
$
|
(0.71
|
)
|
|
$
|
(0.23
|
)
|
|
Core earnings per average common share
| | |
$
|
0.25
|
|
|
$
|
0.30
|
|
|
$
|
0.23
|
|
| | | | | | | |
|
|
|
(1) Represents a component of Net gains (losses) on trading assets.
|
|
|
The following table presents the components of the Company’s interest
income and interest expense for the quarters ended March 31, 2015,
December 31, 2014, and March 31, 2014:
|
| |
|
| |
| |
| | | | For the quarters ended |
| | | | March 31, |
| December 31, | | March 31, |
| | | | 2015 |
| 2014 |
| 2014 |
| | | | (dollars in thousands) |
| | | | | | | |
|
| Interest income: | | | | | | | |
|
Investment Securities
| | |
$
|
478,239
| |
$
|
606,746
| |
$
|
614,419
|
|
Commercial investment portfolio(1) | | | |
40,336
| | |
40,913
| | |
39,486
|
|
U.S. Treasury securities
| | | |
-
| | |
-
| | |
1,329
|
|
Securities loaned
| | | |
-
| | |
-
| | |
114
|
|
Reverse repurchase agreements
| | | |
539
| | |
429
| | |
500
|
|
Other
| | |
|
58
|
|
|
56
|
|
|
53
|
|
Total interest income
| | |
|
519,172
|
|
|
648,144
|
|
|
655,901
|
| Interest expense: | | | | | | | |
|
Repurchase agreements
| | | |
102,748
| | |
107,540
| | |
103,131
|
|
Convertible Senior Notes
| | | |
23,627
| | |
25,701
| | |
18,897
|
|
U.S. Treasury securities sold, not yet purchased
| | | |
-
| | |
-
| | |
1,076
|
|
Securities borrowed
| | | |
-
| | |
-
| | |
95
|
|
Securitized debt of consolidated VIEs
| | | |
2,882
| | |
1,106
| | |
1,611
|
|
Participation sold
| | | |
159
| | |
165
| | |
161
|
|
Other
| | |
|
4
|
|
|
-
|
|
|
-
|
|
Total interest expense
| | |
|
129,420
|
|
|
134,512
|
|
|
124,971
|
| Net interest income | | |
$
|
389,752
|
|
$
|
513,632
|
|
$
|
530,930
|
| | | | | | | |
|
|
|
(1) Consists of commercial real estate debt and preferred equity and
corporate debt.
|
|
|
Dividend Declarations
Common dividends declared for the quarters ended March 31, 2015,
December 31, 2014, and March 31, 2014 were $0.30, $0.30, and $0.30 per
common share, respectively. The annualized dividend yield on the
Company’s common stock for the quarter ended March 31, 2015, based on
the March 31, 2015 closing price of $10.40, was 11.54%, compared to
11.10% for the quarter ended December 31, 2014, and 10.94% for the
quarter ended March 31, 2014.
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 first quarter 2015 earnings conference call on
May 7, 2015 at 10:00 a.m. Eastern Time. The number to call is
888-317-6003 for domestic calls and 412-317-6061 for international
calls. The conference passcode is 6656065. There will also be an audio
webcast of the call on www.annaly.com.
The replay of the call is available for one week following the
conference call. The replay number is 877-344-7529 for domestic calls
and 412-317-0088 for international calls and the conference passcode is
10064724. 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 which are
based on various assumptions (some of which are beyond our control) and
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 financings; changes in the market value of our assets; changes in
business conditions and the general economy; our ability to grow the
commercial mortgage business; credit risks related to our investments in
commercial real estate assets and corporate debt; 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; risks associated with the businesses of our
subsidiaries, including the investment advisory business of a
wholly-owned subsidiary and the broker-dealer business of a wholly-owned
subsidiary. 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 per share data) |
| | | | | | | | | |
|
| | March 31, | | December 31, | | September 30, | | June 30, | | March 31, |
| | | 2015 | | | 2014(1) | | | 2014 | | | | 2014 | | | | 2014 | |
| | (Unaudited) |
|
|
| (Unaudited) |
| (Unaudited) |
| (Unaudited) |
| ASSETS | | | | | | | | | |
| | | | | | | | | |
|
|
Cash and cash equivalents
|
$
|
1,920,326
| | |
$
|
1,741,244
| | |
$
|
1,178,621
| | |
$
|
1,320,666
| | |
$
|
924,197
| |
|
Reverse repurchase agreements
| |
100,000
| | | |
100,000
| | | |
-
| | | |
-
| | | |
444,375
| |
|
Securities borrowed
| |
-
| | | |
-
| | | |
-
| | | |
-
| | | |
513,500
| |
|
Investments, at fair value:
| | | | | | | | | |
|
Agency mortgage-backed securities
| |
69,388,001
| | | |
81,565,256
| | | |
81,462,387
| | | |
81,055,337
| | | |
75,350,388
| |
|
Agency debentures
| |
995,408
| | | |
1,368,350
| | | |
1,334,181
| | | |
1,348,727
| | | |
2,408,259
| |
|
Agency CRT securities
| |
108,337
| | | |
-
| | | |
-
| | | |
-
| | | |
-
| |
|
Commercial real estate debt investments (2) | |
1,515,903
| | | |
-
| | | |
-
| | | |
-
| | | |
-
| |
|
Investment in affiliate
| |
141,246
| | | |
143,045
| | | |
136,748
| | | |
143,495
| | | |
137,647
| |
|
Commercial real estate debt and preferred equity, held for
investment (3) | |
1,498,406
| | | |
1,518,165
| | | |
1,554,958
| | | |
1,586,169
| | | |
1,640,206
| |
|
Investments in commercial real estate
| |
207,209
| | | |
210,032
| | | |
73,827
| | | |
74,355
| | | |
40,313
| |
|
Corporate debt, held for investment
| |
227,830
| | | |
166,464
| | | |
144,451
| | | |
151,344
| | | |
145,394
| |
|
Receivable for investments sold
| |
2,009,937
| | | |
1,010,094
| | | |
855,161
| | | |
856,983
| | | |
19,116
| |
|
Accrued interest and dividends receivable
| |
247,801
| | | |
278,489
| | | |
287,231
| | | |
283,423
| | | |
276,007
| |
|
Receivable for investment advisory income
| |
10,268
| | | |
10,402
| | | |
8,369
| | | |
6,380
| | | |
6,498
| |
|
Goodwill
| |
94,781
| | | |
94,781
| | | |
94,781
| | | |
94,781
| | | |
94,781
| |
|
Interest rate swaps, at fair value
| |
25,908
| | | |
75,225
| | | |
198,066
| | | |
170,604
| | | |
340,890
| |
|
Other derivatives, at fair value
| |
113,503
| | | |
5,499
| | | |
19,407
| | | |
7,938
| | | |
40,105
| |
|
Other assets
|
|
70,813
|
|
|
|
68,321
|
|
|
|
39,798
|
|
|
|
50,743
|
|
|
|
33,101
|
|
| | | | | | | | | |
|
|
Total assets
|
$
|
78,675,677
|
|
|
$
|
88,355,367
|
|
|
$
|
87,387,986
|
|
|
$
|
87,150,945
|
|
|
$
|
82,414,777
|
|
| | | | | | | | | |
|
| LIABILITIES AND STOCKHOLDERS’ EQUITY | | | | | | | | | |
| | | | | | | | | |
|
|
Liabilities:
| | | | | | | | | |
|
Repurchase agreements
|
$
|
60,477,378
| | |
$
|
71,361,926
| | |
$
|
69,610,722
| | |
$
|
70,372,218
| | |
$
|
64,543,949
| |
|
Securities loaned
| |
-
| | | |
-
| | | |
7
| | | |
7
| | | |
513,510
| |
|
Payable for investments purchased
| |
5,205
| | | |
264,984
| | | |
2,153,789
| | | |
781,227
| | | |
1,898,507
| |
|
Convertible Senior Notes
| |
749,512
| | | |
845,295
| | | |
836,625
| | | |
831,167
| | | |
827,486
| |
|
Securitized debt of consolidated VIEs (4) | |
1,491,829
| | | |
260,700
| | | |
260,700
| | | |
260,700
| | | |
260,700
| |
|
Mortgages payable
| |
146,470
| | | |
146,553
| | | |
42,635
| | | |
30,316
| | | |
19,317
| |
|
Participation sold
| |
13,589
| | | |
13,693
| | | |
13,768
| | | |
13,866
| | | |
13,963
| |
|
Accrued interest payable
| |
155,072
| | | |
180,501
| | | |
180,345
| | | |
157,782
| | | |
170,644
| |
|
Dividends payable
| |
284,310
| | | |
284,293
| | | |
284,278
| | | |
284,261
| | | |
284,247
| |
|
Interest rate swaps, at fair value
| |
2,025,170
| | | |
1,608,286
| | | |
857,658
| | | |
928,789
| | | |
1,272,616
| |
|
Other derivatives, at fair value
| |
61,778
| | | |
8,027
| | | |
-
| | | |
6,533
| | | |
6,045
| |
|
Accounts payable and other liabilities
|
|
140,774
|
|
|
|
47,328
|
|
|
|
36,511
|
|
|
|
35,160
|
|
|
|
39,081
|
|
| | | | | | | | | |
|
|
Total liabilities
|
|
65,551,087
|
|
|
|
75,021,586
|
|
|
|
74,277,038
|
|
|
|
73,702,026
|
|
|
|
69,850,065
|
|
| | | | | | | | | |
|
|
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
| |
445,457
| | | |
445,457
| | | |
445,457
| | | |
445,457
| | | |
445,457
| |
|
Common stock, par value $0.01 per share, 1,956,937,500 authorized,
947,698,431,
947,643,079, 947,591,766, 947,540,823 and 947,488,945
issued
and outstanding, respectively
| |
9,477
| | | |
9,476
| | | |
9,476
| | | |
9,475
| | | |
9,475
| |
|
Additional paid-in capital
| |
14,787,117
| | | |
14,786,509
| | | |
14,781,308
| | | |
14,776,302
| | | |
14,770,553
| |
|
Accumulated other comprehensive income (loss)
| |
773,999
| | | |
204,883
| | | |
(967,820
|
)
| | |
(572,256
|
)
| | |
(2,088,479
|
)
|
|
Accumulated deficit
|
|
(3,364,147
|
)
|
|
|
(2,585,436
|
)
|
|
|
(1,625,075
|
)
|
|
|
(1,677,661
|
)
|
|
|
(1,039,896
|
)
|
| | | | | | | | | |
|
|
Total stockholders’ equity
| |
13,119,505
| | | |
13,328,491
| | | |
13,110,948
| | | |
13,448,919
| | | |
12,564,712
| |
| | | | | | | | | |
|
|
Noncontrolling interest
|
|
5,085
|
|
|
|
5,290
|
|
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
| | | | | | | | | |
|
|
Total equity
|
|
13,124,590
|
|
|
|
13,333,781
|
|
|
|
13,110,948
|
|
|
|
13,448,919
|
|
|
|
12,564,712
|
|
| | | | | | | | | |
|
|
Total liabilities and equity
|
$
|
78,675,677
|
|
|
$
|
88,355,367
|
|
|
$
|
87,387,986
|
|
|
$
|
87,150,945
|
|
|
$
|
82,414,777
|
|
|
|
(1)
|
|
Derived from the audited consolidated financial statements at
December 31, 2014.
|
|
(2)
| |
Includes senior securitized commercial mortgage loans of
consolidated VIE with a carrying value of $1.4 billion at March 31,
2015.
|
|
(3)
| |
Includes senior securitized commercial mortgage loans of
consolidated VIE with a carrying value of $361.2 million, $398.6
million, $398.4 million, $398.3 million and $398.1 million,
respectively.
|
|
(4)
| |
Includes securitized debt of a consolidated VIE carried at fair
value of $1.3 billion at March 31, 2015.
|
| | |
|
|
|
(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 (Loss).
|
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
Source: Annaly Capital Management, Inc.