Financial Highlights
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Business Highlights
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Financial Performance
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September 30, 2021
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June 30, 2021
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September 30, 2020
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Book value per common share | $ | 8.39 | $ | 8.37 | $ | 8.70 |
GAAP leverage at period-end (1)
| 4.4:1 | 4.7:1 | 5.1:1 | |||
GAAP net income (loss) per average common share (2)
| $ | 0.34 | $ | (0.23) | $ | 0.70 |
Annualized GAAP return (loss) on average equity | 15.25 | % | (8.51 | %) | 29.02 | % |
Net interest margin (3)
| 2.01 | % | 1.66 | % | 2.15 | % |
Average yield on interest earning assets (4)
| 2.29 | % | 1.97 | % | 2.70 | % |
Average GAAP cost of interest bearing liabilities (5)
| 0.32 | % | 0.35 | % | 0.60 | % |
Net interest spread | 1.97 | % | 1.62 | % | 2.10 | % |
Non-GAAP metrics * | ||||||
Earnings available for distribution per average common share (2)
| $ | 0.28 | $ | 0.30 | $ | 0.32 |
Annualized EAD return on average equity | 12.81 | % | 13.05 | % | 13.79 | % |
Economic leverage at period-end (1)
| 5.8:1 | 5.8:1 | 6.2:1 | |||
Net interest margin (excluding PAA) (3)
| 2.04 | % | 2.09 | % | 2.05 | % |
Average yield on interest earning assets (excluding PAA) (4)
| 2.63 | % | 2.76 | % | 2.86 | % |
Average economic cost of interest bearing liabilities (5)
| 0.66 | % | 0.83 | % | 0.93 | % |
Net interest spread (excluding PAA) | 1.97 | % | 1.93 | % | 1.93 | % |
* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information.
(1) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage.
(2) Net of dividends on preferred stock.
(3) Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average Interest Earning Assets plus average outstanding TBA contract and CMBX balances. PAA represents the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company's Agency mortgage-backed securities.
(4) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).
(5) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps.
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Updates to Financial Disclosures |
Other Information
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Conference Call
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Financial Statements
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September 30, 2021 |
June 30, 2021 |
March 31, 2021 |
December 31, 2020 (1)
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September 30, 2020 | ||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | |||||||
Assets | ||||||||||
Cash and cash equivalents | $ | 1,046,300 | $ | 1,380,456 | $ | 1,122,793 | $ | 1,243,703 | $ | 1,239,982 |
Securities | 65,622,352 | 69,032,335 | 71,849,437 | 75,652,396 | 76,098,985 | |||||
Loans, net | 3,580,521 | 3,563,008 | 2,603,343 | 3,083,821 | 2,788,341 | |||||
Mortgage servicing rights | 572,259 | 202,616 | 113,080 | 100,895 | 207,985 | |||||
Interests in MSR | 57,530 | 49,035 | - | - | - | |||||
Assets transferred or pledged to securitization vehicles | 4,738,481 | 4,073,156 | 3,768,922 | 6,910,020 | 7,269,402 | |||||
Real estate, net | - | - | - | 656,314 | 790,597 | |||||
Assets of disposal group held for sale | 238,042 | 3,302,001 | 4,400,723 | - | - | |||||
Derivative assets | 331,395 | 181,889 | 891,474 | 171,134 | 103,245 | |||||
Receivable for unsettled trades | 42,482 | 14,336 | 144,918 | 15,912 | 54,200 | |||||
Principal and interest receivable | 234,810 | 250,210 | 259,655 | 268,073 | 281,009 | |||||
Goodwill and intangible assets, net | 25,371 | 26,502 | 37,337 | 127,341 | 136,900 | |||||
Other assets | 172,890 | 300,761 | 177,907 | 225,494 | 221,765 | |||||
Total assets | $ | 76,662,433 | $ | 82,376,305 | $ | 85,369,589 | $ | 88,455,103 | $ | 89,192,411 |
Liabilities and stockholders' equity | ||||||||||
Liabilities | ||||||||||
Repurchase agreements | $ | 55,475,420 | $ | 60,221,067 | $ | 61,202,477 | $ | 64,825,239 | $ | 64,633,447 |
Other secured financing | 729,555 | 909,655 | 922,605 | 917,876 | 861,373 | |||||
Debt issued by securitization vehicles | 3,935,410 | 3,315,087 | 3,044,725 | 5,652,982 | 6,027,576 | |||||
Participations issued | 641,006 | 315,810 | 180,527 | 39,198 | - | |||||
Mortgages payable | - | - | - | 426,256 | 507,934 | |||||
Liabilities of disposal group held for sale | 159,508 | 2,362,690 | 3,319,414 | - | - | |||||
Derivative liabilities | 912,134 | 900,259 | 939,622 | 1,033,345 | 1,182,681 | |||||
Payable for unsettled trades | 571,540 | 154,405 | 1,070,080 | 884,069 | 1,176,001 | |||||
Interest payable | 109,586 | 173,721 | 100,949 | 191,116 | 155,338 | |||||
Dividends payable | 318,986 | 317,714 | 307,671 | 307,613 | 308,644 | |||||
Other liabilities | 91,421 | 66,721 | 213,924 | 155,613 | 144,745 | |||||
Total liabilities | 62,944,566 | 68,737,129 | 71,301,994 | 74,433,307 | 74,997,739 | |||||
Stockholders' equity | ||||||||||
Preferred stock, par value $0.01 per share (2)
| 1,536,569 | 1,536,569 | 1,536,569 | 1,536,569 | 1,982,026 | |||||
Common stock, par value $0.01 per share (3)
| 14,499 | 14,442 | 13,985 | 13,982 | 14,029 | |||||
Additional paid-in capital | 20,228,366 | 20,178,692 | 19,754,826 | 19,750,818 | 19,798,032 | |||||
Accumulated other comprehensive income (loss) | 1,638,638 | 1,780,275 | 2,002,231 | 3,374,335 | 3,589,056 | |||||
Accumulated deficit | (9,720,270) | (9,892,863) | (9,251,804) | (10,667,388) | (11,200,937) | |||||
Total stockholders' equity | 13,697,802 | 13,617,115 | 14,055,807 | 14,008,316 | 14,182,206 | |||||
Noncontrolling interests | 20,065 | 22,061 | 11,788 | 13,480 | 12,466 | |||||
Total equity | 13,717,867 | 13,639,176 | 14,067,595 | 14,021,796 | 14,194,672 | |||||
Total liabilities and equity | $ | 76,662,433 | $ | 82,376,305 | $ | 85,369,589 | $ | 88,455,103 | $ | 89,192,411 |
(1) Derived from the audited consolidated financial statements at December 31, 2020.
(2) 7.50% Series D Cumulative Redeemable Preferred Stock - Includes 0 shares authorized, issued and outstanding at September 30, 2021, June 30, 2021 and March 31, 2021. Includes 18,400,000 shares authorized and 0 shares issued and outstanding at December 31, 2020. Includes 18,400,000 shares authorized, issued and outstanding at September 30, 2020. 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding at September 30, 2021, June 30, 2021 and March 31, 2021. Includes 19,550,000 shares authorized and 17,000,000 shares issued and outstanding at December 31, 2020 and September 30, 2020. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding at September 30, 2021, June 30, 2021 and March 31, 2021. Includes 18,400,000 shares authorized and 17,700,000 issued and outstanding at December 31, 2020 and September 30, 2020.
(3) Includes 2,936,500,000 shares authorized at September 30, 2021, June 30, 2021 and March 31, 2021; 2,914,850,000 shares authorized at December 31, 2020 and September 30, 2020. Includes 1,449,935,017 shares issued and outstanding at September 30, 2021; 1,444,156,029 shares issued and outstanding at June 30, 2021; 1,398,502,906 shares issued and outstanding at March 31, 2021; 1,398,240,618 shares issued and outstanding at December 31, 2020; 1,402,928,317 shares issued and outstanding at September 30, 2020.
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) | ||||||||||
For the quarters ended | ||||||||||
September 30, 2021 |
June 30, 2021 |
March 31, 2021 |
December 31, 2020 |
September 30, 2020 | ||||||
Net interest income | ||||||||||
Interest income | $ | 412,972 | $ | 383,906 | $ | 763,378 | $ | 527,344 | $ | 562,443 |
Interest expense | 50,438 | 61,047 | 75,973 | 94,481 | 115,126 | |||||
Net interest income | 362,534 | 322,859 | 687,405 | 432,863 | 447,317 | |||||
Realized and unrealized gains (losses) | ||||||||||
Net interest component of interest rate swaps | (54,411) | (83,087) | (79,747) | (66,807) | (62,529) | |||||
Realized gains (losses) on termination or maturity of interest rate swaps | (1,196,417) | - | - | 2,092 | (427) | |||||
Unrealized gains (losses) on interest rate swaps | 1,380,946 | (141,067) | 772,262 | 258,236 | 170,327 | |||||
Subtotal | 130,118 | (224,154) | 692,515 | 193,521 | 107,371 | |||||
Net gains (losses) on disposal of investments and other | 12,002 | 16,223 | (65,786) | 9,363 | 198,888 | |||||
Net gains (losses) on other derivatives and financial instruments
| (45,168) | (357,808) | 476,868 | 209,647 | 169,316 | |||||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 90,817 | 3,984 | 104,191 | 51,109 | 121,255 | |||||
Loan loss (provision) reversal | 6,134 | (494) | 139,620 | (1,497) | 21,993 | |||||
Business divestiture-related gains (losses) | (14,009) | 1,527 | (249,563) | - | - | |||||
Subtotal | 49,776 | (336,568) | 405,330 | 268,622 | 511,452 | |||||
Total realized and unrealized gains (losses) | 179,894 | (560,722) | 1,097,845 | 462,143 | 618,823 | |||||
Other income (loss) | 16,221 | 1,675 | 13,468 | 13,107 | 3,714 | |||||
General and administrative expenses | ||||||||||
Compensation and management fee | 27,859 | 32,013 | 31,518 | 24,628 | 29,196 | |||||
Other general and administrative expenses | 16,023 | 21,513 | 16,387 | 18,345 | 15,391 | |||||
Total general and administrative expenses | 43,882 | 53,526 | 47,905 | 42,973 | 44,587 | |||||
Income (loss) before income taxes | 514,767 | (289,714) | 1,750,813 | 865,140 | 1,025,267 | |||||
Income taxes | (6,767) | 5,134 | (321) | (13,495) | 9,719 | |||||
Net income (loss) | 521,534 | (294,848) | 1,751,134 | 878,635 | 1,015,548 | |||||
Net income (loss) attributable to noncontrolling interests | 2,290 | 794 | 321 | 1,419 | (126) | |||||
Net income (loss) attributable to Annaly | 519,244 | (295,642) | 1,750,813 | 877,216 | 1,015,674 | |||||
Dividends on preferred stock | 26,883 | 26,883 | 26,883 | 35,509 | 35,509 | |||||
Net income (loss) available (related) to common stockholders | $ | 492,361 | $ | (322,525) | $ | 1,723,930 | $ | 841,707 | $ | 980,165 |
Net income (loss) per share available (related) to common stockholders | ||||||||||
Basic | $ | 0.34 | $ | (0.23) | $ | 1.23 | $ | 0.60 | $ | 0.70 |
Diluted | $ | 0.34 | $ | (0.23) | $ | 1.23 | $ | 0.60 | $ | 0.70 |
Weighted average number of common shares outstanding | ||||||||||
Basic | 1,445,315,914 | 1,410,239,138 | 1,399,210,925 | 1,399,809,722 | 1,404,202,695 | |||||
Diluted | 1,446,357,867 | 1,410,239,138 | 1,400,000,727 | 1,400,228,777 | 1,404,368,300 | |||||
Other comprehensive income (loss) | ||||||||||
Net income (loss) | $ | 521,534 | $ | (294,848) | $ | 1,751,134 | $ | 878,635 | $ | 1,015,548 |
Unrealized gains (losses) on available-for-sale securities | (113,451) | (191,541) | (1,428,927) | (207,393) | (140,671) | |||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (28,186) | (30,415) | 56,823 | (7,328) | (112,347) | |||||
Other comprehensive income (loss) | (141,637) | (221,956) | (1,372,104) | (214,721) | (253,018) | |||||
Comprehensive income (loss) | 379,897 | (516,804) | 379,030 | 663,914 | 762,530 | |||||
Comprehensive income (loss) attributable to noncontrolling interests | 2,290 | 794 | 321 | 1,419 | (126) | |||||
Comprehensive income (loss) attributable to Annaly | 377,607 | (517,598) | 378,709 | 662,495 | 762,656 | |||||
Dividends on preferred stock | 26,883 | 26,883 | 26,883 | 35,509 | 35,509 | |||||
Comprehensive income (loss) attributable to common stockholders | $ | 350,724 | $ | (544,481) | $ | 351,826 | $ | 626,986 | $ | 727,147 |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) | ||||
For the nine months ended | ||||
September 30, 2021 | September 30, 2020 | |||
Net interest income | ||||
Interest income | $ | 1,560,256 | $ | 1,702,281 |
Interest expense | 187,458 | 804,631 | ||
Net interest income | 1,372,798 | 897,650 | ||
Realized and unrealized gains (losses) | ||||
Net interest component of interest rate swaps | (217,245) | (141,070) | ||
Realized gains (losses) on termination or maturity of interest rate swaps | (1,196,417) | (1,919,720) | ||
Unrealized gains (losses) on interest rate swaps | 2,012,141 | (1,162,768) | ||
Subtotal | 598,479 | (3,223,558) | ||
Net gains (losses) on disposal of investments and other | (37,561) | 652,150 | ||
Net gains (losses) on other derivatives | 73,892 | 546,658 | ||
Net unrealized gains (losses) on instruments measured at fair value through earnings | 198,992 | (354,133) | ||
Loan loss (provision) reversal | 145,260 | (146,084) | ||
Business divestiture-related (losses) gains | (262,045) | - | ||
Subtotal | 118,538 | 698,591 | ||
Total realized and unrealized gains (losses) | 717,017 | (2,524,967) | ||
Other income (loss) | 31,364 | 23,204 | ||
General and administrative expenses | ||||
Compensation and management fee | 91,390 | 107,057 | ||
Other general and administrative expenses | 53,923 | 72,165 | ||
Total general and administrative expenses | 145,313 | 179,222 | ||
Income (loss) before income taxes | 1,975,866 | (1,783,335) | ||
Income taxes | (1,954) | (14,928) | ||
Net income (loss) | 1,977,820 | (1,768,407) | ||
Net income (loss) attributable to noncontrolling interests | 3,405 | (28) | ||
Net income (loss) attributable to Annaly | 1,974,415 | (1,768,379) | ||
Dividends on preferred stock | 80,649 | 106,527 | ||
Net income (loss) available (related) to common stockholders | $ | 1,893,766 | $ | (1,874,906) |
Net income (loss) per share available (related) to common stockholders | ||||
Basic | $ | 1.34 | $ | (1.32) |
Diluted | $ | 1.33 | $ | (1.32) |
Weighted average number of common shares outstanding | ||||
Basic | 1,418,424,208 | 1,419,645,475 | ||
Diluted | 1,419,502,205 | 1,419,645,475 | ||
Other comprehensive income (loss) | ||||
Net income (loss) | $ | 1,977,820 | $ | (1,768,407) |
Unrealized gains (losses) on available-for-sale securities | (1,733,919) | 2,220,271 | ||
Reclassification adjustment for net (gains) losses included in net income (loss) | (1,778) | (769,406) | ||
Other comprehensive income (loss) | (1,735,697) | 1,450,865 | ||
Comprehensive income (loss) | 242,123 | (317,542) | ||
Comprehensive income (loss) attributable to noncontrolling interests | 3,405 | (28) | ||
Comprehensive income (loss) attributable to Annaly | 238,718 | (317,514) | ||
Dividends on preferred stock | 80,649 | 106,527 | ||
Comprehensive income (loss) attributable to common stockholders | $ | 158,069 | $ | (424,041) |
Key Financial Data
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September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Portfolio related metrics | ||||||
Fixed-rate Residential Securities as a percentage of total Residential Securities | 98 | % | 98 | % | 98 | % |
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities | 2 | % | 2 | % | 2 | % |
Weighted average experienced CPR for the period | 23.1 | % | 26.4 | % | 22.9 | % |
Weighted average projected long-term CPR at period-end | 12.7 | % | 12.9 | % | 17.1 | % |
Liabilities and hedging metrics | ||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end | 75 | 88 | 72 | |||
Hedge ratio (1)
| 80 | % | 75 | % | 48 | % |
Weighted average pay rate on interest rate swaps at period-end (2)
| 0.60 | % | 0.81 | % | 0.91 | % |
Weighted average receive rate on interest rate swaps at period-end (2)
| 0.07 | % | 0.34 | % | 0.48 | % |
Weighted average net rate on interest rate swaps at period-end (2)
| 0.53 | % | 0.47 | % | 0.43 | % |
GAAP leverage at period-end (3)
| 4.4:1 | 4.7:1 | 5.1:1 | |||
GAAP capital ratio at period-end (4)
| 17.9 | % | 16.6 | % | 15.9 | % |
Performance related metrics | ||||||
Book value per common share | $ | 8.39 | $ | 8.37 | $ | 8.70 |
GAAP net income (loss) per average common share (5)
| $ | 0.34 | $ | (0.23) | $ | 0.70 |
Annualized GAAP return (loss) on average equity | 15.25 | % | (8.51 | %) | 29.02 | % |
Net interest margin (6)
| 2.01 | % | 1.66 | % | 2.15 | % |
Average yield on interest earning assets (7)
| 2.29 | % | 1.97 | % | 2.70 | % |
Average GAAP cost of interest bearing liabilities (8)
| 0.32 | % | 0.35 | % | 0.60 | % |
Net interest spread | 1.97 | % | 1.62 | % | 2.10 | % |
Dividend declared per common share | $ | 0.22 | $ | 0.22 | $ | 0.22 |
Annualized dividend yield (9)
| 10.45 | % | 9.91 | % | 12.36 | % |
Non-GAAP metrics * | ||||||
Earnings available for distribution per average common share (5)
| $ | 0.28 | $ | 0.30 | $ | 0.32 |
Annualized EAD return on average equity (excluding PAA) | 12.81 | % | 13.05 | % | 13.79 | % |
Economic leverage at period-end (3)
| 5.8:1 | 5.8:1 | 6.2:1 | |||
Economic capital ratio at period end (4)
| 14.2 | % | 14.3 | % | 13.6 | % |
Net interest margin (excluding PAA) (6)
| 2.04 | % | 2.09 | % | 2.05 | % |
Average yield on interest earning assets (excluding PAA) (7)
| 2.63 | % | 2.76 | % | 2.86 | % |
Average economic cost of interest bearing liabilities (8)
| 0.66 | % | 0.83 | % | 0.93 | % |
Net interest spread (excluding PAA) | 1.97 | % | 1.93 | % | 1.93 | % |
* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information.
(1) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities.
(2) Excludes forward starting swaps.
(3) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage.
(4) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles.
(5) Net of dividends on preferred stock.
(6) Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances.
(7) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).
(8) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps.
(9) Based on the closing price of the Company's common stock of $8.42, $8.88 and $7.12 at September 30, 2021, June 30, 2021 and September 30, 2020, respectively.
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For the quarters ended | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Agency mortgage-backed securities | $ | 62,818,079 | $ | 66,468,519 | $ | 74,915,167 |
Residential credit risk transfer securities | 787,235 | 827,328 | 411,538 | |||
Non-agency mortgage-backed securities | 1,747,932 | 1,582,323 | 717,602 | |||
Commercial mortgage-backed securities | 269,106 | 154,165 | 54,678 | |||
Total securities | $ | 65,622,352 | $ | 69,032,335 | $ | 76,098,985 |
Residential mortgage loans | $ | 1,686,268 | $ | 1,029,929 | $ | 152,959 |
Residential mortgage loan warehouse facility | 1,431 | - | - | |||
Commercial real estate debt and preferred equity | - | - | 573,504 | |||
Corporate debt | 1,890,709 | 2,066,709 | 2,061,878 | |||
Corporate debt, held for sale | 2,113 | 466,370 | - | |||
Total loans, net | $ | 3,580,521 | $ | 3,563,008 | $ | 2,788,341 |
Mortgage servicing rights | $ | 572,259 | $ | 202,616 | $ | 207,985 |
Interests in MSR | $ | 57,530 | $ | 49,035 | $ | - |
Agency mortgage-backed securities transferred or pledged to securitization vehicles | $ | 597,923 | $ | 605,163 | $ | 623,650 |
Residential mortgage loans transferred or pledged to securitization vehicles | 4,140,558 | 3,467,993 | 3,588,679 | |||
Commercial real estate debt investments transferred or pledged to securitization vehicles | - | - | 2,174,118 | |||
Commercial real estate debt and preferred equity transferred or pledged to securitization vehicles | - | - | 882,955 | |||
Assets transferred or pledged to securitization vehicles | $ | 4,738,481 | $ | 4,073,156 | $ | 7,269,402 |
Real estate, net | $ | - | $ | - | $ | 790,597 |
Assets of disposal group held for sale | $ | 238,042 | $ | 3,302,001 | $ | - |
Total investment portfolio | $ | 74,809,185 | $ | 80,222,151 | $ | 87,155,310 |
Non-GAAP Financial Measures
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For the quarters ended | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
(dollars in thousands, except per share data) | ||||||
GAAP net income (loss) | $ | 521,534 | $ | (294,848) | $ | 1,015,548 |
Net income (loss) attributable to noncontrolling interests | 2,290 | 794 | (126) | |||
Net income (loss) attributable to Annaly | 519,244 | (295,642) | 1,015,674 | |||
Adjustments to exclude reported realized and unrealized (gains) losses | ||||||
Realized (gains) losses on termination or maturity of interest rate swaps | 1,196,417 | - | 427 | |||
Unrealized (gains) losses on interest rate swaps | (1,380,946) | 141,067 | (170,327) | |||
Net (gains) losses on disposal of investments and other | (12,002) | (16,223) | (198,888) | |||
Net (gains) losses on other derivatives and financial instruments
| 45,168 | 357,808 | (169,316) | |||
Net unrealized (gains) losses on instruments measured at fair value through earnings | (90,817) | (3,984) | (121,255) | |||
Loan loss provision (reversal) (1)
| (6,771) | 1,078 | (21,818) | |||
Business divestiture-related (gains) losses | 14,009 | (1,527) | - | |||
Other adjustments | ||||||
Depreciation expense related to commercial real estate and amortization of intangibles (2)
| 1,122 | 5,635 | 11,363 | |||
Non-EAD (income) loss allocated to equity method investments (3)
| (2,046) | 3,141 | (1,151) | |||
Transaction expenses and non-recurring items (4)
| 2,201 | 1,150 | 2,801 | |||
Income tax effect of non-EAD income (loss) items | (6,536) | 7,147 | 13,890 | |||
TBA dollar roll income and CMBX coupon income (5)
| 115,586 | 111,592 | 114,092 | |||
MSR amortization (6)
| (17,884) | (13,491) | (27,048) | |||
Plus: | ||||||
Premium amortization adjustment cost (benefit) | 60,726 | 153,607 | 33,879 | |||
Earnings available for distribution *
| 437,471 | 451,358 | 482,323 | |||
Dividends on preferred stock | 26,883 | 26,883 | 35,509 | |||
Earnings available for distribution attributable to common stockholders *
| $ | 410,588 | $ | 424,475 | $ | 446,814 |
GAAP net income (loss) per average common share | $ | 0.34 | $ | (0.23) | $ | 0.70 |
Earnings available for distribution per average common share *
| $ | 0.28 | $ | 0.30 | $ | 0.32 |
Annualized GAAP return (loss) on average equity | 15.25 | % | (8.51 | %) | 29.02 | % |
Annualized EAD return on average equity * | 12.81 | % | 13.05 | % | 13.79 | % |
* Represents a non-GAAP financial measure.
(1) Includes ($0.6) million, $0.6 million and $0.2 million of loss provision (reversal) on the Company's unfunded loan commitments for the quarters ended September 30, 2021, June 30, 2021 and September 30, 2020, respectively, which is reported in Other income (loss) in the Company's Consolidated Statements of Comprehensive Income (Loss).
(2) Includes depreciation and amortization expense related to equity method investments.
(3) The Company excludes non-EAD (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other income (loss).
(4) The quarters ended September 30, 2021 June 30, 2021 and September 30, 2020 include costs incurred in connection with securitizations of residential whole loans.
(5) TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives and financial instruments. CMBX coupon income totaled $1.2 million, $1.4 million and $1.5 million for the quarters ended September 30, 2021, June 30, 2021 and September 30, 2020, respectively.
(6) MSR amortization represents the portion of changes in fair value that is attributable to the realization of estimated cash flows on the Company's MSR portfolio and is reported as a component of Net unrealized gains (losses) on instruments measured at fair value.
|
For the quarters ended | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
(dollars in thousands) | ||||||
Premium amortization expense (accretion) | $ | 233,429 | $ | 320,108 | $ | 248,718 |
Less: PAA cost (benefit) | 60,726 | 153,607 | 33,879 | |||
Premium amortization expense (excluding PAA) | $ | 172,703 | $ | 166,501 | $ | 214,839 |
As of | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Economic leverage ratio reconciliation
| (dollars in thousands) | |||||
Repurchase agreements
| $ | 55,475,420 | $ | 60,221,067 | $ | 64,633,447 |
Other secured financing
| 729,555 | 909,655 | 861,373 | |||
Debt issued by securitization vehicles
| 3,935,410 | 3,315,087 | 6,027,576 | |||
Participations issued
| 641,006 | 315,810 | - | |||
Mortgages payable
| - | - | 507,934 | |||
Debt included in liabilities of disposal group held for sale | 113,362 | 2,306,633 | - | |||
Total GAAP debt
| $ | 60,894,753 | $ | 67,068,252 | $ | 72,030,330 |
Less Non-Recourse Debt:
| ||||||
Credit facilities (1)
| (729,555) | (909,655) | (828,530) | |||
Debt issued by securitization vehicles
| (3,935,410) | (3,315,087) | (6,027,576) | |||
Participations issued
| (641,006) | (315,810) | - | |||
Mortgages payable
| - | - | (507,934) | |||
Non-recourse debt included in liabilities of disposal group held for sale | (113,362) | (2,035,982) | - | |||
Total recourse debt | $ | 55,475,420 | $ | 60,491,718 | $ | 64,666,290 |
Plus / (Less):
| ||||||
Cost basis of TBA and CMBX derivatives
| 24,202,686 | 18,107,549 | 21,571,095 | |||
Payable for unsettled trades | 571,540 | 154,405 | 1,176,001 | |||
Receivable for unsettled trades | (42,482) | (14,336) | (54,200) | |||
Economic debt *
| $ | 80,207,164 | $ | 78,739,336 | $ | 87,359,186 |
Total equity
| $ | 13,717,867 | $ | 13,639,176 | $ | 14,194,672 |
Economic leverage ratio *
| 5.8:1 | 5.8:1 | 6.2:1 | |||
* Represents a non-GAAP financial measure.
(1) Included in Other secured financing in the Company's Consolidated Statements of Financial Condition.
|
As of | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Economic capital ratio reconciliation
| (dollars in thousands) | |||||
Total GAAP assets
| $ | 76,662,433 | $ | 82,376,305 | $ | 89,192,411 |
Less:
| ||||||
Gross unrealized gains on TBA derivatives (1)
| (1,776) | (31,943) | (38,656) | |||
Debt issued by securitization vehicles (2)
| (3,935,410) | (4,925,196) | (6,027,576) | |||
Plus:
| ||||||
Implied market value of TBA derivatives
| 23,622,635 | 17,691,150 | 21,089,555 | |||
Total economic assets *
| $ | 96,347,882 | $ | 95,110,316 | $ | 104,215,734 |
Total equity
| $ | 13,717,867 | $ | 13,639,176 | $ | 14,194,672 |
Economic capital ratio (3)
| 14.2% | 14.3% | 13.6% | |||
* Represents a non-GAAP financial measure.
(1) Included in Derivative assets in the Company's Consolidated Statements of Financial Condition.
(2) Includes debt issued by securitization vehicles reported in Liabilities of disposal group held for sale in the Company's
Consolidated Statements of Financial Condition.
(3) Economic capital ratio is computed as total equity divided by total economic assets.
|
For the quarters ended | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Interest income (excluding PAA) reconciliation | (dollars in thousands) | |||||
GAAP interest income | $ | 412,972 | $ | 383,906 | $ | 562,443 |
Premium amortization adjustment | 60,726 | 153,607 | 33,879 | |||
Interest income (excluding PAA) * | $ | 473,698 | $ | 537,513 | $ | 596,322 |
Economic interest expense reconciliation | ||||||
GAAP interest expense | $ | 50,438 | $ | 61,047 | $ | 115,126 |
Add: | ||||||
Net interest component of interest rate swaps | 54,411 | 83,087 | 62,529 | |||
Economic interest expense * | $ | 104,849 | $ | 144,134 | $ | 177,655 |
Economic net interest income (excluding PAA) reconciliation | ||||||
Interest income (excluding PAA) * | $ | 473,698 | $ | 537,513 | $ | 596,322 |
Less: | ||||||
Economic interest expense * | 104,849 | 144,134 | 177,655 | |||
Economic net interest income (excluding PAA) * | $ | 368,849 | $ | 393,379 | $ | 418,667 |
* Represents a non-GAAP financial measure.
|
For the quarters ended | ||||||
September 30, 2021 | June 30, 2021 | September 30, 2020 | ||||
Economic metrics (excluding PAA) | (dollars in thousands) | |||||
Average interest earning assets | $ | 72,145,283 | $ | 77,916,766 | $ | 83,286,119 |
Interest income (excluding PAA) * | $ | 473,698 | $ | 537,513 | $ | 596,322 |
Average yield on interest earning assets (excluding PAA) * | 2.63 | % | 2.76 | % | 2.86 | % |
Average interest bearing liabilities | $ | 62,614,042 | $ | 68,469,413 | $ | 74,901,128 |
Economic interest expense * | $ | 104,849 | $ | 144,134 | $ | 177,655 |
Average economic cost of interest bearing liabilities * | 0.66 | % | 0.83 | % | 0.93 | % |
Economic net interest income (excluding PAA) * | $ | 368,849 | $ | 393,379 | $ | 418,667 |
Net interest spread (excluding PAA) * | 1.97 | % | 1.93 | % | 1.93 | % |
Interest income (excluding PAA) * | $ | 473,698 | $ | 537,513 | $ | 596,322 |
TBA dollar roll income and CMBX coupon income | 115,586 | 111,592 | 114,092 | |||
Economic interest expense * | (104,849) | (144,134) | (177,655) | |||
Subtotal | $ | 484,435 | $ | 504,971 | $ | 532,759 |
Average interest earnings assets | $ | 72,145,283 | $ | 77,916,766 | $ | 83,286,119 |
Average TBA contract and CMBX balances | 22,739,226 | 18,761,062 | 20,429,935 | |||
Subtotal | $ | 94,884,509 | $ | 96,677,828 | $ | 103,716,054 |
Net interest margin (excluding PAA) * | 2.04 | % | 2.09 | % | 2.05 | % |
* Represents a non-GAAP financial measure.
|
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Annaly Capital Management Inc. published this content on 27 October 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 27 October 2021 20:18:19 UTC.