- GAAP net income of $730.9 million,
$0.70 per average common share
- Core earnings of $0.29 per average
common share, unchanged from prior quarteri
- Common stock book value per share of
$11.83, up 3% from prior quarter
- Economic leverage of 6.1:1, unchanged
from prior quarter
- Credit investment portfolio represents
22% of stockholders’ equity
- Successfully integrated $1.5 billion
acquisition of Hatteras Financial Corp.
Annaly Capital Management, Inc. (NYSE:NLY) (the “Company” or
“Annaly”) today announced its financial results for the quarter
ended September 30, 2016.
“Our diversified investment strategy has proven that we can
provide stable, durable earnings while protecting and
opportunistically growing our book value. We believe Annaly
has a platform for predictable results, as evidenced again in this
most recent quarter,” commented Kevin Keyes, Chief Executive
Officer and President. “In this world of low and negative yields,
our broad menu of complementary investment alternatives, coupled
with a prudent and rigorous capital allocation process, allow us to
provide our shareholders with dependable and attractive
returns.”
“As we progress toward year end and 2017,” Mr. Keyes continued,
“we believe the investment landscape in our core Agency strategy
will remain favorable and our three credit businesses, which have
reached efficient scale, are uniquely positioned to take advantage
of market inefficiencies and dislocations resulting from the impact
of regulation and structural market changes.”
Financial
Performance
The following table summarizes certain key performance
indicators as of and for the quarters ended September 30, 2016,
June 30, 2016, and September 30, 2015:
For the quarters ended
September 30, 2016 June 30, 2016
September 30, 2015 Book value per common share $11.83
$11.50 $11.99 Economic leverage at
period-end (1) 6.1:1 6.1:1 5.8:1 GAAP net income (loss) per common
share $0.70 ($0.32) ($0.68) Core earnings per common share* (2)
$0.29 $0.29 $0.30 Annualized return (loss) on average equity 23.55%
(9.60%) (20.18%) Annualized core return on average equity* 10.09%
9.73% 9.67% Net interest margin 1.40% 1.15% 1.27% Core net interest
margin* (3) 1.42% 1.54% 1.65% Net interest spread 1.13% 0.80% 0.83%
Core net interest spread* 1.15% 1.27% 1.29% Average yield on
interest earning assets 2.70% 2.48% 2.48% Core average yield on
interest earning assets* 2.72% 2.95% 2.94% *
Represents a non-GAAP financial measure. Please refer to the
‘Non-GAAP Financial Measures’ section for additional information.
(1) Computed as the sum of recourse debt, TBA derivative notional
outstanding and net forward purchases of investments divided by
total equity. Recourse debt consists of repurchase agreements,
other secured financing and Convertible Senior Notes. Securitized
debt, participation sold and mortgages payable are non-recourse to
the Company and are excluded from this measure. (2) Core earnings
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 investments
measured at fair value through earnings, net gains and losses on
trading assets, impairment losses, net income (loss) attributable
to noncontrolling interest, the premium amortization adjustment
resulting from the quarter-over-quarter change in estimated
long-term CPR, corporate acquisition related expenses and certain
other non-recurring gains or losses, and inclusive of dollar roll
income (a component of Net gains (losses) on trading assets) and
realized amortization of MSRs (a component of net unrealized gains
(losses) on investments measured at fair value through earnings).
(3) Represents the sum of the Company’s annualized economic core
net interest income (exclusive of the premium amortization
adjustment (referred to herein as “PAA”) and inclusive of interest
expense on interest rate swaps used to hedge cost of funds) plus
TBA dollar roll income (less interest expense on swaps used to
hedge dollar roll transactions) divided by the sum of its average
interest earning assets plus average outstanding TBA derivative
balances. PAA excludes the component of premium amortization
representing the quarter-over-quarter change in estimated long-term
constant prepayment rates (“CPR”). Average interest earning assets
reflects the average amortized cost of our investments during the
period. iRepresents a non-GAAP financial measure. Please refer to
the ‘Non-GAAP Financial Measures’ section for additional
information.
GAAP Earnings
The Company reported GAAP net income for the quarter ended
September 30, 2016 of $730.9 million, or $0.70 per average common
share, compared to a GAAP net loss of ($278.5) million, or ($0.32)
per average common share, for the quarter ended June 30, 2016, and
a GAAP net loss of ($627.5) million, or ($0.68) per average common
share, for the quarter ended September 30, 2015. The increase in
GAAP net income (loss) for the quarter ended September 30, 2016
compared to the quarters ended June 30, 2016 and September 30, 2015
is primarily due to favorable changes in realized and unrealized
gains (losses) on interest rate swaps, net gains (losses) on
trading assets and net unrealized gains on investments measured at
fair value through earnings, as well as incremental net interest
income earned on the assets acquired as part of the Company’s
acquisition of Hatteras Financial Corp. (“Hatteras”) and the
resulting bargain purchase gain, offset by transaction expenses,
during the quarter ended September 30, 2016.
Core Earnings
The Company periodically reviews its use of non-GAAP financial
measures to ensure only those measures relied upon by the Company’s
management in assessing the financial performance of the business
are disclosed. This review also considers regulatory
interpretations and guidance. The Company believes these non-GAAP
financial measures are useful for management, investors, analysts,
and other interested parties in evaluating the Company’s
performance but should not be viewed in isolation and are not a
substitute for financial measurements computed in accordance with
GAAP. Please refer to the “Non-GAAP Financial Measures” section for
additional information including Non-GAAP reconciliations to
GAAP.
Core earnings for the quarter ended September 30, 2016 were
$312.9 million, or $0.29 per average common share, compared to
$282.2 million, or $0.29 per average common share, for the quarter
ended June 30, 2016, and $300.7 million, or $0.30 per average
common share, for the quarter ended September 30, 2015. Core
earnings increased for the quarter ended September 30, 2016
compared to the quarter ended June 30, 2016 on higher net interest
income earned on the assets acquired as part of the Hatteras
acquisition and higher TBA dollar roll income, which were offset by
higher interest expense on repurchase agreements. Core earnings per
average share remained unchanged for the quarter ended September
30, 2016 when compared to the quarter ended June 30, 2016 due to
the additional common shares issued in connection with the Hatteras
acquisition. Core earnings increased during the quarter ended
September 30, 2016 compared to the quarter ended September 30, 2015
due to higher net interest income earned on the assets acquired as
part of the Hatteras acquisition and higher interest income from
the Company’s commercial investment portfolio, partially offset by
a reduction in TBA dollar roll income and higher borrowing costs
during the quarter ended September 30, 2016.
Net Interest Margin, Net Interest Spread, and Book
Value
Net interest margin for the quarters ended September 30, 2016,
June 30, 2016, and September 30, 2015 was 1.40%, 1.15% and 1.27%,
respectively. Core net interest margin for the quarters ended
September 30, 2016, June 30, 2016, and September 30, 2015 was
1.42%, 1.54% and 1.65%, respectively. For the quarter ended
September 30, 2016, the average yield on interest earning assets
was 2.70% and the average cost of interest bearing liabilities,
including interest expense on interest rate swaps used to hedge
cost of funds, was 1.57%, which resulted in a net interest spread
of 1.13%. The average yield on interest earning assets for the
quarter ended September 30, 2016 increased when compared to the
quarters ended June 30, 2016 and September 30, 2015 due to
differences in premium amortization expense on Residential
Investment Securities resulting from changes in long-term CPR
estimates. The decline in our average cost of interest bearing
liabilities for the quarter ended September 30, 2016 when compared
to the quarters ended June 30, 2016 and September 30, 2015 is
primarily attributable to a reduction in interest expense on swaps,
partially offset by higher balances on repurchase agreements during
the quarter ended September 30, 2016.
For the quarter ended September 30, 2016, the core average yield
on interest earning assets was 2.72%, which resulted in a core net
interest spread of 1.15%. The core average yield on interest
earning assets for the quarter ended September 30, 2016 decreased
when compared to the quarters ended June 30, 2016 and September 30,
2015 primarily due to lower weighted average coupons on Residential
Investment Securities and higher weighted average premium
amortization expense, exclusive of the PAA, on Residential
Investment Securities during the quarter ended September 30
2016.
At September 30, 2016, June 30, 2016, and September 30, 2015,
the Company had a common stock book value per share of $11.83,
$11.50 and $11.99, respectively.
Asset
Portfolio
Residential Investment Securities
Residential Investment Securities, which are comprised of Agency
mortgage-backed securities, Agency debentures, credit risk transfer
securities and Non-Agency mortgage-backed securities, totaled $75.6
billion at September 30, 2016, compared to $66.6 billion at June
30, 2016 and $67.0 billion at September 30, 2015. The Company’s
Residential Investment Securities portfolio at September 30, 2016
was comprised of 81% fixed-rate assets with the remainder
constituting adjustable or floating-rate investments.
The total net premium balance on Residential Investment
Securities at September 30, 2016, June 30, 2016, and September 30,
2015, was $4.9 billion, $4.6 billion, and $4.8 billion,
respectively. The weighted average amortized cost basis of the
Company’s non interest-only Residential Investment Securities at
September 30, 2016, June 30, 2016, and September 30, 2015, was
104.9%, 105.0% and 105.3%, respectively. The weighted average
amortized cost basis of the Company’s interest-only Residential
Investment Securities at September 30, 2016, June 30, 2016, and
September 30, 2015, was 15.9%, 15.8%, and 16.1%, respectively. The
weighted average experienced CPR on our Agency mortgage-backed
securities for the quarters ended September 30, 2016, June 30,
2016, and September 30, 2015, was 15.9%, 12.7% and 11.5%,
respectively. The weighted average projected long-term CPR on our
Agency mortgage-backed securities at September 30, 2016, June 30,
2016, and September 30, 2015, was 14.4%, 13.0% and 9.2%,
respectively. The net increase in long-term CPRs is a result of the
addition to the overall portfolio of ARM securities from the
Hatteras acquisition.
During the quarter ended September 30, 2016, the Company
disposed of $3.8 billion of Residential Investment Securities,
resulting in a net realized gain of $14.7 million. During the
quarter ended June 30, 2016, the Company disposed of $1.8 billion
of Residential Investment Securities, resulting in a net realized
gain of $11.9 million. During the quarter ended September 30, 2015,
the Company disposed of $3.7 billion of Residential Investment
Securities, resulting in a net realized gain of $4.5 million.
Amortization
In accordance with GAAP, the Company amortizes or accretes
premiums or discounts into interest income for its Agency
mortgage-backed securities, excluding interest-only securities,
considering estimates of future principal prepayment in the
calculation of the effective yield because they are probable and
the timing and amount of prepayments can be reasonably estimated.
The Company recalculates the effective yield as differences between
anticipated and actual prepayments occur. Using third-party model
and market information to project future cash flows and expected
remaining lives of securities, the effective interest rate
determined for each security is applied as if it had been in place
from the date of the security’s acquisition. The amortized cost of
the investment is then adjusted to the amount that would have
existed had the new effective yield been applied since the
acquisition date. The adjustment to amortized cost is offset with a
charge or credit to interest income. Changes in interest rates and
other market factors will impact prepayment speed projections and
the amount of premium amortization recognized in any given period.
The Company’s GAAP metrics include the unadjusted impact of
amortization and accretion associated with this method. The
Company’s non-GAAP metrics exclude the effect of the PAA, which
quantifies the component of premium amortization representing the
cumulative effect of quarter-over-quarter changes in estimated
long-term CPR.
The following table illustrates the impact of
quarter-over-quarter adjustments to long-term CPR estimates on
premium amortization expense for the quarters ended September 30,
2016, June 30, 2016, and September 30, 2015:
For the quarters ended September 30,
2016 June 30, 2016
September 30, 2015
(dollars in thousands)
Premium amortization expense $ 213,241 $ 265,475 $
255,123 Less: PAA cost (benefit) 3,891
85,583 83,136 Premium amortization
expense exclusive of PAA $ 209,350 $ 179,892
$ 171,987
September 30, 2016
June 30, 2016
September 30, 2015
(per common share)
Premium amortization expense $ 0.21 $ 0.29 $ 0.27 Less: PAA cost
(benefit)
--
1
0.10 0.09 Premium
amortization expense exclusive of PAA $ 0.21 $
0.19 $ 0.18 (1) Rounds to less than $0.01 per
common share.
TBA Contracts
At September 30, 2016, the Company had outstanding $16.0 billion
in notional balances of TBA derivative positions. Realized and
unrealized gains (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 September 30, 2016:
TBA Purchase Contracts Notional
Implied Cost Basis Implied Market
Value Net Carrying Value
(dollars in thousands)
Purchase contracts $ 15,950,000 $ 16,671,196 $
16,730,009 $ 58,813
Commercial Investments Portfolio
The Company’s commercial investments portfolio consists of
commercial real estate debt and equity investments and corporate
debt. Commercial real estate debt, which is comprised of preferred
equity, AAA-rated commercial mortgage-backed securities,
securitized loans of consolidated variable interest entities
(“VIEs”) and loans held for sale totaled $5.5 billion at September
30, 2016 compared to $5.7 billion at June 30, 2016. Loans held for
sale, net totaled $144.3 million at September 30, 2016, compared to
$164.2 million at June 30, 2016. Investments in commercial real
estate totaled $500.0 million at September 30, 2016, down slightly
from $504.6 million at June 30, 2016. Corporate debt investments
totaled $716.8 million as of September 30, 2016, up from $669.6
million at June 30, 2016. The weighted average levered return on
commercial real estate debt and preferred equity, including loans
held for sale, as of September 30, 2016, June 30, 2016, and
September 30, 2015, was 8.26%, 8.25% and 7.36%, respectively.
Excluding loans held for sale, the weighted average levered return
on commercial real estate debt and preferred equity was 8.99%,
9.09% and 9.38% at September 30, 2016, June 30, 2016, and September
30, 2015, respectively. The weighted average levered returns on
investments in commercial real estate equity as of September 30,
2016, June 30, 2016, and September 30, 2015, was 10.63%, 10.63% and
11.36%, respectively. The weighted average levered returns on
investments in corporate debt as of September 30, 2016, June 30,
2016 and September 30, 2015, was 8.12%, 7.53% and 7.38%
respectively.ii
iiJune 30, 2016 and September 30, 2015 represent unlevered returns.
During the third quarter 2016, the Company provided additional
funding on pre-existing commercial real estate debt commitments
totaling $15.2 million with a weighted average coupon of 8.4%.
During the third quarter 2016, the Company received cash from its
commercial real estate investments of $167.9 million from loan
sales (including loans held for sale), partial pay-downs,
prepayments and maturities with a weighted average coupon of
4.23%.
At September 30, 2016, June 30, 2016, and September 30, 2015,
residential and commercial and corporate credit assets (including
loans held for sale) comprised 22%, 24% and 22% of stockholders’
equity, respectively.
Capital and
Funding
Leverage
At September 30, 2016, total stockholders’ equity was $13.3
billion. Leverage at September 30, 2016, June 30, 2016, and
September 30, 2015, was 5.3:1, 5.3:1 and 4.8:1, respectively. For
purposes of calculating the Company’s leverage ratio, debt consists
of repurchase agreements, other secured financing, Convertible
Senior Notes, securitized debt, participation sold and mortgages
payable. Securitized debt, participation sold and mortgages payable
are non-recourse to the Company. Economic leverage, which excludes
non-recourse debt and includes other forms of financing such as TBA
dollar roll transactions, was 6.1:1 at September 30, 2016, compared
to 6.1:1 at June 30, 2016, and 5.8:1 at September 30, 2015.
Capital Ratio and Return on Equity
At September 30, 2016, June 30, 2016, and September 30, 2015,
the Company’s capital ratio, which represents the ratio of
stockholders’ equity to total assets (inclusive of total market
value of TBA derivatives and exclusive of consolidated VIEs
associated with B Piece commercial mortgage-backed securities), was
13.3%, 13.2%, and 14.0%, respectively. On a GAAP basis, the Company
produced an annualized return (loss) on average equity for the
quarters ended September 30, 2016, June 30, 2016, and September 30,
2015, of 23.55%, (9.60%) and (20.18%), respectively. On a core
earnings basis, the Company provided an annualized return on
average equity for the quarters ended September 30, 2016, June 30,
2016, and September 30, 2015, of 10.09%, 9.73%, and 9.67%,
respectively.
Funding
At September 30, 2016, June 30, 2016, and September 30, 2015,
the Company had outstanding $61.8 billion, $53.9 billion, and $56.4
billion of repurchase agreements, with weighted average remaining
maturities of 128 days, 129 days, and 147 days, and with weighted
average borrowing rates of 1.71%, 1.81%, and 1.75%, after giving
effect to the Company’s interest rate swaps used to hedge cost of
funds, respectively. The weighted average rate on repurchase
agreements during the quarters ended September 30, 2016, June 30,
2016, and September 30, 2015, was 0.97%, 1.00%, and 0.73%,
respectively. Included in these balances is a $350 million
repurchase agreement credit facility for the Commercial Real Estate
business. As of September 30, 2016, outstanding borrowings under
the facility totaled $295.1 million with a weighted average
borrowing rate of 2.87%.
At September 30, 2016 and June 30, 2016, the Company had
outstanding $3.6 billion of advances from the Federal Home Loan
Bank of Des Moines, with weighted average remaining maturities of
1,552 days and 1,644 days, respectively, and with weighted average
borrowing rates of 0.65% and 0.60%, respectively.
The following table presents the principal balance and weighted
average rate of repurchase agreements and FHLB advances by maturity
at September 30, 2016:
Maturity Principal Balance
Weighted Average Rate
(dollars in thousands)
Within 30 days $ 26,508,338 0.99% 30 to 59 days
5,200,350 0.86% 60 to 89 days 6,173,598 0.85% 90 to 119 days
5,309,103 0.79% Over 120 days(1) 22,181,058
1.27% Total $ 65,372,447 1.04%
(1)
Approximately 16% of the total repurchase
agreements and FHLB advances have a remaining maturity over 1 year.
The combined weighted average days to maturity for repurchase
agreements and FHLB advances was 206 days.
The Company has access to a $300 million credit facility for the
Middle Market Lending business. As of September 30, 2016,
outstanding borrowings under the facility totaled $212.2 million
with a weighted average borrowing rate of 3.27%.
The following table presents the principal balance, weighted
average rate and weighted average days to maturity on outstanding
debt at September 30, 2016:
Weighted Average
Principal Balance Rate (3)
Days to Maturity (4)
(dollars in thousands)
Repurchase agreements $ 61,784,121 0.97% 128 Other
secured financing (1) 3,804,742 0.83% 1,560 Securitized debt of
consolidated VIEs (2) 3,695,502 1.29% 2,434 Participation sold (2)
12,908 4.81% 213 Mortgages payable (2) 330,946
4.42%
2,881 Total indebtedness $ 69,628,219
(1)
Comprised of advances from the Federal
Home Loan Bank of Des Moines and other credit facilities.
(2)
Non-recourse to the Company.
(3)
Represents the quarterly average rate.
(4)
Determined based on estimated
weighted-average lives of the underlying debt instruments.
Hedge
Portfolio
At September 30, 2016, the Company had outstanding interest rate
swaps with a net notional amount of $25.2 billion. 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 Company enters into interest rate swaps to mitigate the
risk of rising interest rates that affect the Company’s cost of
funds or its TBA dollar roll transactions. As of September 30,
2016, the swap portfolio had a weighted average pay rate of 2.25%,
a weighted average receive rate of 0.88% and a weighted average
maturity of 6.89 years. There were no forward starting swaps at
September 30, 2016.
The following table summarizes certain characteristics of the
Company’s interest rate swaps at September 30, 2016:
Maturity Current Notional (1)
Weighted Average Pay Rate
Weighted Average Receive Rate Weighted
Average Years to Maturity
(dollars in thousands)
0 - 3 years $ 4,552,383 1.74% 0.76%
2.77 3 - 6 years 9,675,000 1.92% 0.88% 4.14 6 - 10 years 7,363,550
2.34% 0.98% 7.81 Greater than 10 years 3,634,400
3.70% 0.67% 18.62 Total /
Weighted Average $ 25,225,333 2.25%
0.88% 6.89
(1)
There were no forward starting swaps.
At September 30, 2016, the Company had entered into interest
rate swaptions with a net notional amount of $0.8 billion. 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.
The following table summarizes certain characteristics of the
Company’s interest rate swaptions at September 30, 2016:
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 $ 950,000 1.08% 3M LIBOR 2.24 2.77 Short $
(200,000 ) 3M LIBOR 1.54% 10.25 2.77
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
September 30, 2016:
Notional - Long Positions
Notional - Short Positions Weighted Average
Years to Maturity (dollars in thousands)
2-year swap equivalent Eurodollar contracts $ - $
(14,991,375) 2.00
U.S. Treasury futures - 5 year
- (1,247,200) 4.42 Total
$ - $ (16,238,575) 2.19
At September 30, 2016, June 30, 2016, and September 30, 2015,
the Company’s hedge ratio was 52%, 49% and 57%, respectively. Our
hedge ratio measures total notional balances of interest rate
swaps, interest rate swaptions and futures relative to repurchase
agreements, other secured financing and TBA notional
outstanding.
Dividend
Declarations
Common dividends declared for each of the quarters ended
September 30, 2016, June 30, 2016, and September 30, 2015, were
$0.30 per common share. The annualized dividend yield on the
Company’s common stock for the quarter ended September 30, 2016,
based on the September 30, 2016 closing price of $10.50, was
11.43%, compared to 10.84% for the quarter ended June 30, 2016, and
12.16% for the quarter ended September 30, 2015.
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 September 30, 2016, June 30, 2016, and
September 30, 2015:
For the quarters ended September 30,
2016 June 30, 2016
September 30, 2015
Portfolio Related
Metrics:
Fixed-rate Residential Investment
Securities as a percentage of total Residential Investment
Securities 81% 92% 93% Adjustable-rate and floating-rate
Residential Investment Securities as a percentage of total
Residential Investment Securities 19% 8% 7% Weighted average
experienced CPR for the period 15.9% 12.7% 11.5% Weighted average
projected long-term CPR at period end 14.4% 13.0% 9.2% Weighted
average levered return on commercial real estate debt and preferred
equity at period-end (1) 8.26% 8.25% 7.36% Weighted average levered
return on investments in commercial real estate equity at
period-end 10.63% 10.63% 11.36%
Liabilities and
Hedging Metrics:
Weighted average days to maturity on repurchase agreements
outstanding at period-end 128 129 147 Hedge ratio (2) 52% 49% 57%
Weighted average pay rate on interest rate swaps at period-end (3)
2.25% 2.28% 2.26% Weighted average receive rate on interest rate
swaps at period-end (3) 0.88% 0.74% 0.42% Weighted average net rate
on interest rate swaps at period-end (3) 1.37% 1.54% 1.84% Leverage
at period-end (4) 5.3:1 5.3:1 4.8:1 Economic leverage at period-end
(5) 6.1:1 6.1:1 5.8:1 Capital ratio at period-end 13.3%
13.2% 14.0%
Performance
Related Metrics:
Book value per common share $11.83 $11.50 $11.99 GAAP net income
(loss) per common share $0.70 ($0.32) ($0.68) Core earnings per
common share* $0.29 $0.29 $0.30 Annualized return (loss) on average
equity 23.55% (9.60%) (20.18%) Annualized core return on average
equity* 10.09% 9.73% 9.67% Net interest margin 1.40% 1.15% 1.27%
Core net interest margin* 1.42% 1.54% 1.65% Average yield on
interest earning assets (6) 2.70% 2.48% 2.48% Core average yield on
interest earning assets *(6) 2.72% 2.95% 2.94% Average cost of
interest bearing liabilities (7) 1.57% 1.68% 1.65% Net interest
spread 1.13% 0.80% 0.83% Core net interest spread* 1.15%
1.27% 1.29% * Represents a non-GAAP
financial measure. Please refer to the ‘Non-GAAP Financial
Measures’ section for additional information.
(1)
Includes loans held for sale. Excluding loans held for sale, the
weighted average levered return on commercial real estate debt and
preferred equity was 8.99%, 9.09% and 9.38% at September 30, 2016,
June 30, 2016, and September 30, 2015, respectively.
(2)
Measures total notional balances of interest rate swaps, interest
rate swaptions and futures relative to repurchase agreements, other
secured financing and TBA notional outstanding.
(3)
Excludes forward starting swaps.
(4)
Debt consists of repurchase agreements, other secured financing,
Convertible Senior Notes, securitized debt, participation sold and
mortgages payable. Securitized debt, participation sold and
mortgages payable are non-recourse to the Company.
(5)
Computed as the sum of recourse debt, TBA derivative notional
outstanding and net forward purchases of investments divided by
total equity.
(6)
Average interest earning assets reflects the average amortized cost
of our investments during the period.
(7)
Includes interest expense on interest rate swaps used to hedge cost
of funds.
Other
Information
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 our commercial business; our ability
to grow our residential mortgage credit business; credit risks
related to our investments in credit risk transfer securities,
residential mortgage-backed securities and related residential
mortgage credit assets, commercial real estate assets and corporate
debt; risks related to investments in mortgage servicing rights and
ownership of a servicer; any potential business disruption
following the acquisition of Hatteras; our ability to consummate
any contemplated investment opportunities; changes in government
regulations affecting our business; our ability to maintain our
qualification as a REIT; and our ability to maintain our exemption
from registration under the Investment Company Act of 1940, as
amended. 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, except as required by law.
Annaly’s principal business objectives are to generate net
income for distribution to its shareholders from its investments
and capital preservation. 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 supplemental investor presentation and a
financial summary for the benefit of its shareholders. Both the
Third Quarter 2016 Investor Presentation and the Third Quarter 2016
Financial Summary can be found at the Company’s website
(www.annaly.com) in the Investors section under Investor
Presentations.
Conference
Call
The Company will hold the third quarter 2016 earnings conference
call on November 3, 2016 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 2832295. 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
10095019. If you would like to be added to the e-mail distribution
list, please visit www.annaly.com, click on Investors, then select
Email Alerts and complete the email notification form.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars
in thousands, except per share data)
For the quarters ended September
30, June 30, March 31, December 31,
September 30, 2016 2016 2016
20151
2015 (Unaudited) (Unaudited)
(Unaudited) (Unaudited)
ASSETS Cash and cash equivalents $ 2,382,188 $
2,735,250 $ 2,416,136 $ 1,769,258 $ 2,237,423 Investments, at fair
value: Agency mortgage-backed securities 73,476,105 64,862,992
65,439,824 65,718,224 65,806,640 Agency debentures - - 157,035
152,038 413,115 Credit risk transfer securities 669,295 520,321
501,167 456,510 330,727 Non-Agency mortgage-backed securities
1,460,261 1,197,549 1,157,507 906,722 490,037 Residential mortgage
loans (2) 310,148 - - - - Mortgage servicing rights 492,169 - - - -
Commercial real estate debt investments (3) 4,319,077 4,361,972
4,401,725 2,911,828 2,881,659 Commercial real estate debt and
preferred equity, held for investment (4) 1,070,197 1,137,971
1,177,468 1,348,817 1,316,595 Commercial loans held for sale, net
144,275 164,175 278,600 278,600 476,550 Investments in commercial
real estate 500,027 504,605 527,786 535,946 301,447 Corporate debt
716,831 669,612 639,481 488,508 424,974 Interest rate swaps, at
fair value 113,253 146,285 93,312 19,642 39,295 Other derivatives,
at fair value 87,921 137,490 77,449 22,066 87,516 Receivable for
investments sold 493,839 697,943 2,220 121,625 127,571 Accrued
interest and dividends receivable 260,583 227,225 232,180 231,336
228,169 Receivable for investment advisory income - - - - 3,992
Other assets 301,419 237,959 234,407 119,422 67,738 Goodwill 71,815
71,815 71,815 71,815 71,815 Intangible assets, net 39,903
43,306 35,853
38,536 33,424 Total
assets $ 86,909,306 $ 77,716,470 $
77,443,965 $ 75,190,893 $ 75,338,687
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities: Repurchase agreements $ 61,784,121 $ 53,868,385 $
54,448,141 $ 56,230,860 $ 56,449,364 Other secured financing
3,804,742 3,588,326 3,588,326 1,845,048 359,970 Securitized debt of
consolidated VIEs (5) 3,712,821 3,748,289 3,802,682 2,540,711
2,553,398 Participation sold 12,976 13,079 13,182 13,286 13,389
Mortgages payable 327,632 327,643 334,765 334,707 166,697 Interest
rate swaps, at fair value 2,919,492 3,208,986 2,782,961 1,677,571
2,160,350 Other derivatives, at fair value 73,445 154,017 69,171
49,963 113,626 Dividends payable 269,111 277,479 277,456 280,779
284,348 Payable for investments purchased 454,237 746,090 250,612
107,115 744,378 Accrued interest payable 173,320 159,435 163,983
151,843 145,554 Accounts payable and other liabilities
115,606 62,868 54,679
53,088 63,280
Total liabilities 73,647,503 66,154,597
65,785,958 63,284,971
63,054,354 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 7.625% Series E Cumulative
Redeemable Preferred Stock:
11,500,000 authorized, issued and
outstanding
287,500 - - - -
Common stock, par value $0.01 per share,
1,945,437,500, 1,956,937,500,1,956,937,500, 1,956,937,500 and
1,956,937,500 authorized, 1,018,857,866,924,929,607, 924,853,133,
935,929,561 and 947,826,176 issued andoutstanding, respectively
10,189 9,249 9,249 9,359 9,478 Additional paid-in capital
15,578,677 14,575,426 14,573,760 14,675,768 14,789,320 Accumulated
other comprehensive income (loss) 1,119,677 1,117,046 640,366
(377,596 ) 262,855 Accumulated deficit (4,655,440 )
(5,061,565 ) (4,487,982 )
(3,324,616 ) (3,695,884 ) Total stockholders’ equity
13,253,662 11,553,215 11,648,452 11,895,974 12,278,828
Noncontrolling interest 8,141 8,658
9,555 9,948
5,505 Total equity 13,261,803
11,561,873 11,658,007
11,905,922 12,284,333 Total
liabilities and equity $ 86,909,306 $ 77,716,470
$ 77,443,965 $ 75,190,893
$ 75,338,687 (1) Derived from the audited
consolidated financial statements at December 31, 2015. (2)
Includes securitized mortgage loans of a
consolidated VIE carried at fair value of $176.7 million at
September 30, 2016.
(3)
Includes senior securitized commercial
mortgage loans of consolidated VIEs with a carrying value of $4.0
billion, $4.0 billion, $4.0 billion, $2.6 billion and $2.6 billion
at September 30, 2016, June 30, 2016, March 31, 2016, December 31,
2015 and September 30, 2015, respectively.
(4) Includes senior securitized commercial mortgage loans of
consolidated VIE with a carrying value of $128.9 million, $187.2
million, $211.9 million, $262.7 million and $314.9 million at
September 30, 2016, June 30, 2016, March 31, 2016, December 31,
2015 and September 30, 2015, respectively. (5) Includes securitized
debt of consolidated VIEs carried at fair value of $3.7 billion,
$3.7 billion, $3.7 billion, $2.4 billion and $2.4 billion at
September 30, 2016, June 30, 2016, March 31, 2016, December 31,
2015 and September 30, 2015, respectively.
ANNALY CAPITAL
MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME (LOSS) (UNAUDITED) (dollars in
thousands, except per share data)
For the quarters ended September 30,
June 30, March 31, December 31, September
30, 2016 2016
2016 2015 2015
Interest income $ 558,668 $ 457,118 $ 388,143 $ 576,580 $
450,726 Interest expense 174,154
152,755 147,447 118,807
110,297 Net interest income
384,514 304,363 240,696
457,773 340,429
Realized and unrealized gains (losses): Realized gains (losses) on
interest rate swaps(1) (124,572 ) (130,762 ) (147,475 ) (159,487 )
(162,304 ) Realized gains (losses) on termination of interest rate
swaps 1,337 (60,064 ) - - - Unrealized gains (losses) on interest
rate swaps 256,462 (373,220 )
(1,031,720 ) 463,126
(822,585 ) Subtotal 133,227 (564,046 )
(1,179,195 ) 303,639
(984,889 ) Net gains (losses) on disposal of investments
14,447 12,535 (1,675 ) (7,259 ) (7,943 ) Net gains (losses) on
trading assets 162,981 81,880 125,189 42,584 108,175 Net unrealized
gains (losses) on investments measured at fair value through
earnings 29,675 (54,154 ) 128 (62,703 ) (24,501 ) Bargain purchase
gain 72,576 - -
- - Subtotal
279,679 40,261
123,642 (27,378 ) 75,731
Total realized and unrealized gains (losses) 412,906
(523,785 ) (1,055,553 )
276,261 (909,158 ) Other income (loss):
Investment advisory income - - - - 3,780 Other income (loss)
29,271 (9,930 ) (6,115 )
(10,447 ) (13,455 ) Total other income (loss)
29,271 (9,930 ) (6,115 )
(10,447 ) (9,675 ) General and
administrative expenses: Compensation and management fee 38,709
36,048 36,997 37,193 37,450 Other general and administrative
expenses 59,028 13,173
10,948 10,643
12,007 Total general and administrative expenses
97,737 49,221 47,945
47,836 49,457
Income (loss) before income taxes 728,954 (278,573 ) (868,917 )
675,751 (627,861 ) Income taxes (1,926 ) (76 )
(837 ) 6,085 (370
) Net income (loss) 730,880 (278,497 ) (868,080 ) 669,666 (627,491
) Net income (loss) attributable to noncontrolling interest
(336 ) (385 ) (162 ) (373
) (197 ) Net income (loss) attributable to Annaly
731,216 (278,112 ) (867,918 ) 670,039 (627,294 ) Dividends on
preferred stock 22,803 17,992
17,992 17,992
17,992 Net income (loss) available (related) to
common stockholders $ 708,413 $ (296,104 ) $
(885,910 ) $ 652,047 $ (645,286 ) Net income
(loss) per share available (related) to common stockholders: Basic
$ 0.70 $ (0.32 ) $ (0.96 ) $ 0.69
$ (0.68 ) Diluted $ 0.70 $ (0.32 )
$ (0.96 ) $ 0.69 $ (0.68 ) Weighted
average number of common shares outstanding: Basic
1,007,607,893 924,887,316
926,813,588 945,072,058
947,795,500 Diluted 1,007,963,406
924,887,316 926,813,588
945,326,098 947,795,500 Net
income (loss) $ 730,880 $ (278,497 ) $
(868,080 ) $ 669,666 $ (627,491 ) Other
comprehensive income (loss): Unrealized gains (losses) on
available-for-sale securities 18,237 483,930 1,017,707 (648,106 )
609,725 Reclassification adjustment for net (gains) losses included
in net income (loss) (15,606 ) (7,250 )
255 7,655 8,095
Other comprehensive income (loss) 2,631
476,680 1,017,962
(640,451 ) 617,820 Comprehensive income (loss)
733,511 198,183 149,882 29,215 (9,671 ) Comprehensive income (loss)
attributable to noncontrolling interest (336 )
(385 ) (162 ) (373 ) (197
) Comprehensive income (loss) attributable to Annaly $ 733,847
$ 198,568 $ 150,044 $
29,588 $ (9,474 ) (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 (LOSS) (UNAUDITED) (dollars in
thousands, except per share data) For the nine months
ended September 30, September 30, 2016
2015 Net interest income: Interest income $
1,403,929 $ 1,594,117 Interest expense 474,356
352,789 Net interest income 929,573
1,241,328 Realized and
unrealized gains (losses): Realized gains (losses) on interest rate
swaps(1) (402,809 ) (465,008 ) Realized gains (losses) on
termination of interest rate swaps (58,727 ) (226,462 ) Unrealized
gains (losses) on interest rate swaps (1,148,478 )
(587,995 ) Subtotal (1,610,014 )
(1,279,465 ) Net gains (losses) on disposal of investments
25,307 58,246 Net gains (losses) on trading assets 370,050 (12,961
) Net unrealized gains (losses) on investments measured at fair
value through earnings (24,351 ) (40,466 ) Bargain purchase gain
72,576 - Impairment of goodwill -
(22,966 ) Subtotal 443,582
(18,147 ) Total realized and unrealized gains (losses)
(1,166,432 ) (1,297,612 ) Other income
(loss): Investment advisory income - 24,848 Dividend income from
affiliate - 8,636 Other income (loss) 13,226
(36,754 ) Total other income (loss) 13,226
(3,270 ) General and administrative
expenses: Compensation and management fee 111,754 113,093 Other
general and administrative expenses 83,149
39,311 Total general and administrative
expenses 194,903 152,404
Income (loss) before income taxes (418,536 ) (211,958 ) Income
taxes (2,839 ) (8,039 ) Net income
(loss) (415,697 ) (203,919 ) Net income (loss) attributable to
noncontrolling interest (883 ) (436 )
Net income (loss) attributable to Annaly (414,814 ) (203,483 )
Dividends on preferred stock 58,787
53,976 Net income (loss) available (related) to
common stockholders $ (473,601 ) $ (257,459 ) Net
income (loss) per share available (related) to common stockholders:
Basic $ (0.50 ) $ (0.27 ) Diluted $ (0.50 )
$ (0.27 ) Weighted average number of common shares
outstanding: Basic 953,301,855
947,732,735 Diluted 953,301,855
947,732,735 Net income (loss) $ (415,697 )
$ (203,919 ) Other comprehensive income (loss): Unrealized
gains (losses) on available-for-sale securities 1,519,874 116,154
Reclassification adjustment for net (gains) losses included in net
income (loss) (22,601 ) (58,182 ) Other
comprehensive income (loss) 1,497,273
57,972 Comprehensive income (loss) 1,081,576 (145,947
) Comprehensive income (loss) attributable to noncontrolling
interest (883 ) (436 ) Comprehensive
income (loss) attributable to Annaly $ 1,082,459
$ (145,511 ) (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.
Non-GAAP Financial
Measures
To supplement its consolidated financial statements, which are
prepared and presented in accordance with U.S. generally accepted
accounting principles (“GAAP”), the Company provides the following
non-GAAP financial measures. These measures should not be
considered a substitute for, or superior to, financial measures
computed in accordance with GAAP.
- Core earnings
- Core earnings per common share;
- Annualized core return on average equity;
- Core interest income;
- Economic interest expense;
- Economic core net interest income;
- Core average yield on interest earning assets;
- Core net interest margin; and
- Core net interest spread
These non-GAAP measures provide additional detail to enhance
investor understanding of the Company’s period-over-period
operating performance and business trends, as well as for assessing
the Company’s performance versus that of industry peers.
Additional information pertaining to the Company’s use of these
non-GAAP financial measures, including discussion of how each such
measure is useful to investors, and reconciliations to their most
directly comparable GAAP results are provided below.
Core earnings, core earnings per common share and annualized
core return on average equity
One of the Company’s principal business objectives is to
generate net income by earning a net interest spread on its
investment portfolio, which is a function of the Company’s interest
income from its investment portfolio less financing, hedging and
operating costs. Core earnings, which is comprised of interest
income plus TBA dollar roll income,iii less financing and hedging
costsiv and general and administrative expenses, is used by
management to measure its progress in achieving this objective.
Accordingly, core earnings, includes MSR amortization and excludes
gains and losses on disposals of investments and termination of
interest rate swaps, unrealized gains and losses on interest rate
swaps and investments measured at fair value through earnings, net
gains and losses on trading assets, impairment losses, net income
(loss) attributable to noncontrolling interest, the premium
amortization adjustment and certain non-recurring gains and losses.
The Company believes these measures provide management and
investors with additional details regarding the Company’s
underlying operating results and investment portfolio trends by (i)
making adjustments to account for the disparate reporting of
changes in fair value where certain instruments are reflected in
GAAP net income (loss) while others are reflected in other
comprehensive income (loss), and (ii) by excluding certain
unrealized, non-cash or episodic components of GAAP net income
(loss) in order to provide additional transparency into the
operating performance of the Company’s portfolio. Annualized core
return on average equity, which is calculated by dividing core
earnings over average stockholders’ equity, provides investors with
additional detail on the core earnings generated by the Company’s
invested equity capital.
The following table presents a reconciliation of GAAP financial
results to non-GAAP core earnings for the periods presented.
For the quarters ended September 30,
2016 June 30, 2016 September 30,
2015
(dollars in thousands)
GAAP net income (loss) $ 730,880 $ (278,497) $ (627,491)
Less: Realized (gains) losses on termination of interest rate swaps
(1,337) 60,064 - Unrealized (gains) losses on interest rate swaps
(256,462) 373,220 822,585 Net (gains) losses on disposal of
investments (14,447) (12,535) 7,943 Net (gains) losses on trading
assets (162,981) (81,880) (108,175)
Net unrealized (gains) losses on
investments measured at fair value throughearnings
(29,675) 54,154 24,501 Bargain purchase gain (72,576) - - Corporate
acquisition related expenses (1) 46,724 2,163 - Net (income) loss
attributable to noncontrolling interest 336 385 197 Premium
amortization adjustment cost (benefit) 3,891 85,583 83,136 Plus:
TBA dollar roll income (2) 90,174 79,519 98,041 MSR amortization
(3) (21,634) - - Core earnings*
$ 312,893 $ 282,176 $ 300,737 GAAP net income (loss)
per average common share $ 0.70 $ (0.32) $ (0.68)
Core earnings per average common share* $ 0.29 $ 0.29
$ 0.30
*
Represents a non-GAAP financial
measure.
(1) Represents non-recurring transaction costs incurred in
connection with the Company’s acquisition of Hatteras.
(2)
Represents a component of Net gains
(losses) on trading assets.
(3)
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 investments measured at fair
value.
iiiTBA dollar roll transactions are accounted for as derivatives,
with gains and losses reflected as a component of Net gains
(losses) on trading assets in the Company’s Consolidated Statements
of Comprehensive Income (Loss). TBA dollar roll income represents
the economic equivalent of interest income on the underlying
security less the implied cost of financing. ivThe interest
component of hedging costs are reported as realized gains (losses)
on interest rate swaps in the Company’s Consolidated Statements of
Comprehensive Income (Loss).
Core interest income, economic interest expense and economic
core net interest income
Core interest income represents interest income excluding the
effect of the premium amortization adjustment (“PAA”), and serves
as the basis for deriving core average yield on interest bearing
assets, core net interest spread and core net interest margin,
which are discussed below. The Company believes this measure
provides management and investors with additional detail to enhance
their understanding of the Company’s operating results and trends
by excluding the component of premium amortization expense
representing the cumulative effect of quarter-over-quarter changes
in estimated long-term prepayment speeds related to the Company’s
Agency mortgage-backed securities (other than interest-only
securities), which can obscure underlying trends in the performance
of the portfolio.
Economic interest expense is comprised of interest expense, as
computed in accordance with GAAP, plus interest expense on interest
rate swaps used to hedge the cost of funds, which is a component of
Realized gains (losses) on interest rate swaps in the Company’s
Consolidated Statements of Comprehensive Income (Loss). The Company
uses interest rate swaps to manage its exposure to changing
interest rates on its repurchase agreements by economically hedging
cash flows associated with these borrowings. Accordingly, adding
the contractual interest payments on interest rate swaps to
interest expense, as computed in accordance with GAAP, reflects the
total contractual interest expense and thus, provides investors
with additional information about the cost of our financing
strategy.
Similarly, economic core net interest income, as computed below,
provides investors with additional information to enhance their
understanding of the net economics of our primary business
operations.
For the quarters ended September 30,
2016 June 30, 2016 September 30,
2015
Core Interest
Income Reconciliation
(dollars in thousands)
GAAP interest income $ 558,668 $ 457,118 $ 450,726 Premium
amortization adjustment 3,891 85,583
83,136 Core interest income* $ 562,559 $ 542,701
$ 533,862
Economic Interest
Expense Reconciliation
GAAP interest expense $ 174,154 $ 152,755 $ 110,297 Add: Interest
expense on interest rate swaps used to hedge cost of funds
103,100 108,301 137,744 Economic
interest expense* $ 277,254 $ 261,056 $ 248,041
Economic Core Net
Interest Income Reconciliation
Core interest income* $ 562,559 $ 542,701 $ 533,862 Less: Economic
interest expense* 277,254 261,056
248,041 Economic core net interest income* $ 285,305
$ 281,645 $ 285,821
* Represents a non-GAAP financial measure.
Core average yield on interest earnings assets, core net
interest margin and core net interest spread
Core net interest spread, which is the difference between the
core average yield on interest earning assets and the average cost
of interest bearing liabilities, and core net interest margin,
which is calculated by dividing the economic core net interest
income by average interest earning assets, provide management with
additional measures of the Company’s profitability that management
relies upon in monitoring the performance of the business.
Disclosure of these measures, which are presented below,
provides investors with additional detail regarding how management
evaluates the Company’s performance.
For the quarters ended September 30,
2016 June 30, 2016 September 30,
2015
Economic Core
Metrics
(dollars in thousands)
Core interest income* $ 562,559 $ 542,701 $ 533,862 Average
interest earning assets $ 82,695,270 $ 73,587,753 $ 72,633,314 Core
average yield on interest earning assets* 2.72%
2.95% 2.94% Economic interest expense* $
277,254 $ 261,056 $ 248,041 Average interest bearing liabilities $
70,809,712 $ 62,049,474 $ 59,984,298 Average cost of interest
bearing liabilities 1.57% 1.68%
1.65% Core net interest spread* 1.15% 1.27%
1.29% Core net interest margin* 1.42%
1.54% 1.65%
* Represents a non-GAAP financial measure.
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Annaly Capital Management, Inc.Investor
Relations1-888-8Annalywww.annaly.com
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