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:
|
September 30, |
September 30, |
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 |
Weighted |
||||||||||
| (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. |
||||||
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.
|
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 |
- |
- |
- |
32,272 |
33,664 |
|||||||||||||||||
| Stockholders’ Equity: | ||||||||||||||||||||||
|
7.875% Series A Cumulative Redeemable Preferred |
177,088 |
177,088 |
177,088 |
177,088 |
177,088 |
|||||||||||||||||
|
7.625% Series C Cumulative Redeemable Preferred |
290,514 | 290,514 | - | - | - | |||||||||||||||||
|
7.50% Series D Cumulative Redeemable Preferred Stock: |
445,457 | - | - | - | - | |||||||||||||||||
|
Common stock, par value $.01 per share, 1,956,937,500, |
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- |
(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 |
||||||||||||||||||||||
| 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 |
(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 |
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 |
||||||||||||
| 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 |
(317,118 |
) |
(126,189 |
) |
||||||||
| Other comprehensive income (loss) | 1,060,619 | 1,908,846 | ||||||||||
| Comprehensive income (loss) | $ | 2,096,024 | $ | 1,807,745 | ||||||||
|
|
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|
(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. |
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