Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the
"Company") today announced its financial results for the quarter
ended June 30, 2024.
Financial Highlights
- GAAP net income (loss) of ($0.09) per average common share for
the quarter
- Earnings available for distribution ("EAD") of $0.68 per
average common share for the quarter
- Economic return of 0.9% for the second quarter and 5.7% for the
first half of 2024
- Book value per common share of $19.25
- GAAP leverage of 7.1x, up from 6.7x in the prior quarter;
economic leverage of 5.8x, up from 5.6x in the prior quarter
- Declared quarterly common stock cash dividend of $0.65 per
share
Business Highlights
Investment and Strategy
- Total portfolio of $74.8 billion, including $66.0 billion in
highly liquid Agency portfolio(1)
- Annaly's Agency portfolio increased 2% quarter-over-quarter due
to opportunistic portfolio additions with a continued focus on
migrating up in coupon and into high-quality specified pools
- Annaly's Agency portfolio represents 58% of dedicated equity
capital(2), in line with the prior quarter
- Maintained conservative hedge position with hedge ratio
effectively unchanged; activity focused on replacing maturing swaps
with Treasury futures throughout the quarter
- Annaly's Residential Credit portfolio decreased modestly to
$5.9 billion(1) due to accretive sales of third-party securities;
representing 20% of dedicated equity capital(2)
- Correspondent channel activity remained robust with record loan
lock volume of $4.1 billion during the second quarter; 2024
year-to-date lock volume of $7.8 billion surpassed total lock
volume for all of 2023
- Annaly's Mortgage Servicing Rights ("MSR") portfolio ended the
quarter with $2.8 billion(1) in market value, up 5%
quarter-over-quarter, representing 22% of dedicated equity
capital(2)
Financing and Capital
- $6.3 billion of total assets available for financing(3),
including cash and unencumbered Agency MBS of $3.5 billion
- Average GAAP cost of interest bearing liabilities increased
three basis points to 5.43% and average economic cost of interest
bearing liabilities increased 12 basis points to 3.90%
quarter-over-quarter
- Annaly Residential Credit Group increased financing capacity by
$250 million through new and expanded credit facilities; total
warehouse capacity across both Annaly’s Residential Credit and MSR
businesses of $4.2 billion
- Weighted average days to maturity for repurchase agreements
decreased to 36 days from 43 days in the prior quarter
- Annaly Residential Credit Group priced 13 whole loan
securitizations totaling $6.7 billion since the beginning of
2024(4)
- Annaly remains the largest non-bank issuer and the second
largest issuer overall of Prime Jumbo and Expanded Credit MBS since
the beginning of 2023(5)
Corporate Responsibility & Governance
- Published fifth Corporate Responsibility Report, titled
Powering American Homeownership, underscoring Annaly's commitment
to industry-leading sustainable business practices, sound corporate
governance and best-in-class corporate culture
"Despite modest widening in Agency MBS spreads, Annaly produced
a positive economic return in the second quarter, supported by our
diversified capital allocation, balanced hedge portfolio and
responsible leverage position. Notably, Annaly generated a 5.7%
economic return year-to-date, demonstrating the strength of our
housing finance model," remarked David Finkelstein, Annaly's Chief
Executive Officer and Chief Investment Officer. "During the
quarter, we opportunistically added to our Agency MBS portfolio
given attractive spread levels, while we continue to expand our
complementary Residential Credit and MSR platforms.
"We are encouraged by recent inflation data and signaling from
the Federal Reserve, which suggest a near-term rate cut is
increasingly likely. As interest rate volatility appears poised to
moderate and more dovish monetary policy is on the horizon, we
remain well-positioned for further growth given our substantial
liquidity, prudent leverage and nimble capital structure."
(1)
Total portfolio represents Annaly’s
investments that are on-balance sheet as well as investments that
are off-balance sheet in which Annaly has economic exposure. Assets
exclude assets transferred or pledged to securitization vehicles of
$17.9 billion, include TBA purchase contracts (market value) of
$1.7 billion and $1.9 billion of retained securities that are
eliminated in consolidation and are shown net of participations
issued totaling $1.1 billion.
(2)
Capital allocation for each of the
investment strategies is calculated as the difference between each
investment strategy’s allocated assets, which include TBA purchase
contracts, and liabilities.
(3)
Comprised of $5.4 billion of unencumbered
assets, which represents Annaly’s excess liquidity and defined as
assets that have not been pledged or securitized (generally
including cash and cash equivalents, Agency MBS, CRT, Non-Agency
MBS, residential mortgage loans, MSR, reverse repurchase
agreements, other unencumbered financial assets and capital stock),
and $0.9 billion of fair value of collateral pledged for future
advances.
(4)
Includes a $483 million whole loan
securitization that closed in July 2024 and a $603 million whole
loan securitization that priced in July 2024.
(5)
Issuer ranking data from Inside
Nonconforming Markets for Q2 2024 (July 5, 2024 issue).
Financial Performance
The following table summarizes certain key performance
indicators as of and for the quarters ended June 30, 2024, March
31, 2024 and June 30, 2023:
June 30, 2024
March 31, 2024
June 30, 2023
Book value per common share
$
19.25
$
19.73
$
20.73
GAAP net income (loss) per average common
share (1)
$
(0.09
)
$
0.85
$
0.27
Annualized GAAP return (loss) on average
equity (2)
(0.31
%)
16.29
%
5.42
%
GAAP leverage at period-end (3)
7.1:1
6.7:1
6.1:1
Net interest margin (4)
0.24
%
(0.03
%)
(0.15
%)
Average yield on interest earning assets
(5)
5.17
%
4.88
%
4.27
%
Average GAAP cost of interest bearing
liabilities (6)
5.43
%
5.40
%
5.00
%
Net interest spread
(0.26
%)
(0.52
%)
(0.73
%)
Non-GAAP metrics *
Earnings available for distribution per
average common share (1)
$
0.68
$
0.64
$
0.72
Annualized EAD return on average
equity
13.36
%
12.63
%
13.22
%
Economic leverage at period-end (3)
5.8:1
5.6:1
5.8:1
Net interest margin (excluding PAA)
(4)
1.58
%
1.43
%
1.66
%
Average yield on interest earning assets
(excluding PAA) (5)
5.14
%
4.87
%
4.22
%
Average economic cost of interest bearing
liabilities (6)
3.90
%
3.78
%
2.77
%
Net interest spread (excluding PAA)
1.24
%
1.09
%
1.45
%
*
Represents a non-GAAP financial measure.
Please refer to the "Non-GAAP Financial Measures" section for
additional information.
(1)
Net of dividends on preferred stock.
(2)
Annualized GAAP return (loss) on average
equity annualizes realized and unrealized gains and (losses) which
may not be indicative of full year performance, unannualized GAAP
return (loss) on average equity is (0.08%), 4.07%, and 1.35% for
the quarters ended June 30, 2024, March 31, 2024, and June 30,
2023, respectively.
(3)
GAAP leverage is computed as the sum of
repurchase agreements, other secured financing, debt issued by
securitization vehicles, participations issued, and U.S. Treasury
securities sold, not yet purchased 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, other
secured financing, and US Treasury securities, sold, not yet
purchased. Debt issued by securitization vehicles and
participations issued are non-recourse to the Company and are
excluded from economic leverage.
(4)
Net interest margin represents interest
income less interest expense divided by average Interest Earning
Assets. Net interest margin does not include net interest component
of interest rate swaps. Net interest margin (excluding PAA)
represents the sum of interest income (excluding PAA) plus TBA
dollar roll income and CMBX coupon income less economic interest
expense 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.
(5)
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).
(6)
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, the net interest component of interest rate
swaps, and, beginning with the quarter ended June 30, 2024, net
interest on initial margin related to interest rate swaps, which is
reported in Other, net in the Company’s Consolidated Statement of
Comprehensive Income (Loss). Prior period results have not been
adjusted in accordance with this change as the impact is not
material. Net interest on variation margin related to interest rate
swaps was previously and is currently included in the Net interest
component of interest rate swaps in the Company's Consolidated
Statement of Comprehensive Income (Loss) for all periods
presented.
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. Such statements include those
relating to the Company’s future performance, macro outlook, the
interest rate and credit environments, tax reform and future
opportunities. 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 ("MBS") and other
securities for purchase; the availability of financing and, if
available, the terms of any financing; changes in the market value
of the Company’s assets; changes in business conditions and the
general economy; the Company’s ability to grow its residential
credit business; the Company's ability to grow its mortgage
servicing rights business; credit risks related to the Company’s
investments in credit risk transfer securities and residential
mortgage-backed securities and related residential mortgage credit
assets; risks related to investments in mortgage servicing rights;
the Company’s ability to consummate any contemplated investment
opportunities; changes in government regulations or policy
affecting the Company’s business; the Company’s ability to maintain
its qualification as a REIT for U.S. federal income tax purposes;
the Company’s ability to maintain its exemption from registration
under the Investment Company Act of 1940; and operational risks or
risk management failures by us or critical third parties, including
cybersecurity incidents. 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. The Company does not undertake, and
specifically disclaims 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 is a leading diversified capital manager with investment
strategies across mortgage finance. Annaly’s principal business
objective is to generate net income for distribution to its
stockholders and to optimize its returns through prudent management
of its diversified investment strategies. Annaly is internally
managed and has elected to be taxed as a real estate investment
trust, or REIT, for federal income tax purposes. Additional
information on the company can be found at www.annaly.com.
We use our website (www.annaly.com) and LinkedIn account
(www.linkedin.com/company/annaly-capital-management) as channels of
distribution of company information. The information we post
through these channels may be deemed material. Accordingly,
investors should monitor these channels, in addition to following
our press releases, SEC filings and public conference calls and
webcasts. In addition, you may automatically receive email alerts
and other information about Annaly when you enroll your email
address by visiting the "Investors" section of our website, then
clicking on "Investor Resources" and selecting "Email Alerts" to
complete the email notification form. Our website, any alerts and
social media channels are not incorporated by reference into, and
are not a part of, this document.
The Company prepares an investor presentation and supplemental
financial information for the benefit of its shareholders. Please
refer to the investor presentation for definitions of both GAAP and
non-GAAP measures used in this news release. Both the Second
Quarter 2024 Investor Presentation and the Second Quarter 2024
Supplemental Information 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 second quarter 2024 earnings
conference call on July 25, 2024 at 9:00 a.m. Eastern Time.
Participants are encouraged to pre-register for the conference call
to receive a unique PIN to gain immediate access to the call and
bypass the live operator. Pre-registration may be completed by
accessing the pre-registration link found on the homepage or
"Investors" section of the Company's website at www.annaly.com, or
by using the following link:
https://dpregister.com/sreg/10190377/fcf377ca94. Pre-registration
may be completed at any time, including up to and after the call
start time.
For participants who would like to join the call but have not
pre-registered, access is available by dialing 844-735-3317 within
the U.S., or 412-317-5703 internationally, and requesting the
"Annaly Earnings Call."
There will also be an audio webcast of the call on
www.annaly.com. A replay of the call will be 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 7193862. 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.
Financial Statements
ANNALY CAPITAL MANAGEMENT,
INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL
CONDITION (dollars in thousands, except per share
data)
June 30, 2024
March 31, 2024
December 31, 2023 (1)
September 30,
2023
June 30, 2023
(unaudited)
(unaudited)
(unaudited)
(unaudited)
Assets
Cash and cash equivalents
$
1,587,108
$
1,665,370
$
1,412,148
$
1,241,122
$
1,236,872
Securities
67,044,753
66,500,689
69,613,565
69,860,730
71,202,461
Loans, net
2,548,228
2,717,823
2,353,084
1,793,140
1,154,320
Mortgage servicing rights
2,785,614
2,651,279
2,122,196
2,234,813
2,018,896
Assets transferred or pledged to
securitization vehicles
17,946,812
15,614,750
13,307,622
11,450,346
11,318,419
Derivative assets
187,868
203,799
162,557
549,833
457,119
Receivable for unsettled trades
320,659
941,366
2,710,224
1,047,566
787,442
Principal and interest receivable
917,130
867,348
1,222,705
1,158,648
944,537
Intangible assets, net
10,761
11,433
12,106
12,778
15,163
Other assets
319,644
309,689
311,029
299,447
195,248
Total assets
$
93,668,577
$
91,483,546
$
93,227,236
$
89,648,423
$
89,330,477
Liabilities and stockholders’
equity
Liabilities
Repurchase agreements
$
60,787,994
$
58,975,232
$
62,201,543
$
64,693,821
$
61,637,600
Other secured financing
600,000
600,000
500,000
500,000
500,000
Debt issued by securitization vehicles
15,831,915
13,690,967
11,600,338
9,983,847
9,789,282
Participations issued
1,144,821
1,161,323
1,103,835
788,442
492,307
U.S. Treasury securities sold, not yet
purchased
1,974,602
2,077,404
2,132,751
—
—
Derivative liabilities
100,829
103,142
302,295
97,616
156,182
Payable for unsettled trades
1,096,271
2,556,798
3,249,389
2,214,319
4,331,315
Interest payable
369,106
350,405
287,937
198,084
140,620
Dividends payable
325,662
325,286
325,052
321,629
321,031
Other liabilities
174,473
146,876
179,005
173,608
74,795
Total liabilities
82,405,673
79,987,433
81,882,145
78,971,366
77,443,132
Stockholders’ equity
Preferred stock, par value $0.01 per share
(2)
1,536,569
1,536,569
1,536,569
1,536,569
1,536,569
Common stock, par value $0.01 per share
(3)
5,010
5,004
5,001
4,948
4,939
Additional paid-in capital
23,694,663
23,673,687
23,672,391
23,572,996
23,550,346
Accumulated other comprehensive income
(loss)
(1,156,927
)
(1,281,918
)
(1,335,400
)
(2,694,776
)
(2,382,531
)
Accumulated deficit
(12,898,191
)
(12,523,809
)
(12,622,768
)
(11,855,267
)
(10,933,044
)
Total stockholders’ equity
11,181,124
11,409,533
11,255,793
10,564,470
11,776,279
Noncontrolling interests
81,780
86,580
89,298
112,587
111,066
Total equity
11,262,904
11,496,113
11,345,091
10,677,057
11,887,345
Total liabilities and equity
$
93,668,577
$
91,483,546
$
93,227,236
$
89,648,423
$
89,330,477
(1)
Derived from the audited consolidated
financial statements at December 31, 2023.
(2)
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.
6.75% Series I Preferred Stock - Includes 17,700,000 shares
authorized, issued and outstanding.
(3)
Includes 1,468,250,000 shares authorized.
Includes 501,018,415 shares issued and outstanding at June 30,
2024, 500,440,023 shares issued and outstanding at March 31, 2024,
500,080,287 shares issued and outstanding at December 31, 2023,
494,814,038 shares issued and outstanding at September 30, 2023,
and 493,893,288 shares issued and outstanding at June 30, 2023.
ANNALY CAPITAL MANAGEMENT,
INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except
per share data) (Unaudited)
For the quarters ended
June 30, 2024
March 31, 2024
December 31,
2023
September 30,
2023
June 30, 2023
Net interest income
Interest income
$
1,177,325
$
1,094,488
$
990,352
$
1,001,485
$
921,494
Interest expense
1,123,767
1,100,939
1,043,902
1,046,819
953,457
Net interest income
53,558
(6,451
)
(53,550
)
(45,334
)
(31,963
)
Net servicing income
Servicing and related income
120,515
115,084
98,474
97,620
83,790
Servicing and related expense
12,617
12,216
11,219
9,623
8,930
Net servicing income
107,898
102,868
87,255
87,997
74,860
Other income (loss)
Net gains (losses) on investments and
other
(568,745
)
(994,127
)
1,894,744
(2,713,126
)
(1,308,948
)
Net gains (losses) on derivatives
430,487
1,377,144
(2,301,911
)
2,127,430
1,475,325
Other, net
24,791
23,367
22,863
26,250
9,105
Total other income (loss)
(113,467
)
406,384
(384,304
)
(559,446
)
175,482
General and administrative
expenses
Compensation expense
33,274
28,721
29,502
30,064
30,635
Other general and administrative
expenses
11,617
9,849
9,399
9,845
12,280
Total general and administrative
expenses
44,891
38,570
38,901
39,909
42,915
Income (loss) before income
taxes
3,098
464,231
(389,500
)
(556,692
)
175,464
Income taxes
11,931
(943
)
1,732
12,392
14,277
Net income (loss)
(8,833
)
465,174
(391,232
)
(569,084
)
161,187
Net income (loss) attributable to
noncontrolling interests
650
2,282
12,511
(6,879
)
(5,846
)
Net income (loss) attributable to
Annaly
(9,483
)
462,892
(403,743
)
(562,205
)
167,033
Dividends on preferred stock
37,158
37,061
37,181
36,854
35,766
Net income (loss) available (related)
to common stockholders
$
(46,641
)
$
425,831
$
(440,924
)
$
(599,059
)
$
131,267
Net income (loss) per share available
(related) to common stockholders
Basic
$
(0.09
)
$
0.85
$
(0.88
)
$
(1.21
)
$
0.27
Diluted
$
(0.09
)
$
0.85
$
(0.88
)
$
(1.21
)
$
0.27
Weighted average number of common
shares outstanding
Basic
500,950,563
500,612,840
499,871,725
494,330,361
494,165,256
Diluted
500,950,563
501,182,043
499,871,725
494,330,361
494,358,982
Other comprehensive income
(loss)
Net income (loss)
$
(8,833
)
$
465,174
$
(391,232
)
$
(569,084
)
$
161,187
Unrealized gains (losses) on
available-for-sale securities
(54,243
)
(281,869
)
1,024,637
(825,286
)
(294,045
)
Reclassification adjustment for net
(gains) losses included in net income (loss)
179,234
335,351
334,739
513,041
462,128
Other comprehensive income
(loss)
124,991
53,482
1,359,376
(312,245
)
168,083
Comprehensive income (loss)
116,158
518,656
968,144
(881,329
)
329,270
Comprehensive income (loss) attributable
to noncontrolling interests
650
2,282
12,511
(6,879
)
(5,846
)
Comprehensive income (loss)
attributable to Annaly
115,508
516,374
955,633
(874,450
)
335,116
Dividends on preferred stock
37,158
37,061
37,181
36,854
35,766
Comprehensive income (loss)
attributable to common stockholders
$
78,350
$
479,313
$
918,452
$
(911,304
)
$
299,350
ANNALY CAPITAL MANAGEMENT,
INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF
COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except
per share data)
For the six months
ended
June 30, 2024
June 30, 2023
(unaudited)
(unaudited)
Net interest income
Interest income
$
2,271,813
$
1,739,744
Interest expense
2,224,706
1,752,244
Net interest income
47,107
(12,500
)
Net servicing income
Servicing and related income
235,599
168,063
Servicing and related expense
24,833
16,810
Net servicing income
210,766
151,253
Other income (loss)
Net gains (losses) on investments and
other
(1,562,872
)
(1,307,236
)
Net gains (losses) on derivatives
1,807,631
574,573
Loan loss (provision) reversal
—
219
Other, net
48,158
24,603
Total other income (loss)
292,917
(707,841
)
General and administrative
expenses
Compensation expense
61,995
60,026
Other general and administrative
expenses
21,466
23,717
Total general and administrative
expenses
83,461
83,743
Income (loss) before income
taxes
467,329
(652,831
)
Income taxes
10,988
25,310
Net income (loss)
456,341
(678,141
)
Net income (loss) attributable to
noncontrolling interests
2,932
(918
)
Net income (loss) attributable to
Annaly
453,409
(677,223
)
Dividends on preferred stock
74,219
67,641
Net income (loss) available (related)
to common stockholders
$
379,190
$
(744,864
)
Net income (loss) per share available
(related) to common stockholders
Basic
$
0.76
$
(1.51
)
Diluted
$
0.76
$
(1.51
)
Weighted average number of common
shares outstanding
Basic
500,781,701
491,939,177
Diluted
501,415,515
491,939,177
Other comprehensive income
(loss)
Net income (loss)
$
456,341
$
(678,141
)
Unrealized gains (losses) on
available-for-sale securities
(336,112
)
381,329
Reclassification adjustment for net
(gains) losses included in net income (loss)
514,585
945,036
Other comprehensive income
(loss)
178,473
1,326,365
Comprehensive income (loss)
634,814
648,224
Comprehensive income (loss) attributable
to noncontrolling interests
2,932
(918
)
Comprehensive income (loss)
attributable to Annaly
631,882
649,142
Dividends on preferred stock
74,219
67,641
Comprehensive income (loss)
attributable to common stockholders
$
557,663
$
581,501
Key Financial Data
The following table presents key metrics of the Company’s
portfolio, liabilities and hedging positions, and performance as of
and for the quarters ended June 30, 2024, March 31, 2024 and June
30, 2023:
June 30, 2024
March 31, 2024
June 30, 2023
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
%
2.0
%
2.0
%
Weighted average experienced CPR for the
period
7.4
%
6.0
%
7.0
%
Weighted average projected long-term CPR
at period-end
8.5
%
8.9
%
8.6
%
Liabilities and hedging metrics
Weighted average days to maturity on
repurchase agreements outstanding at period-end
36
43
44
Hedge ratio (1)
98
%
97
%
105
%
Weighted average pay rate on interest rate
swaps at period-end (2)
3.13
%
3.20
%
2.50
%
Weighted average receive rate on interest
rate swaps at period-end (2)
5.30
%
5.26
%
5.05
%
Weighted average net rate on interest rate
swaps at period-end (2)
(2.17
%)
(2.06
%)
(2.55
%)
GAAP leverage at period-end (3)
7.1:1
6.7:1
6.1:1
GAAP capital ratio at period-end (4)
12.0
%
12.6
%
13.3
%
Performance related metrics
Book value per common share
$
19.25
$
19.73
$
20.73
GAAP net income (loss) per average common
share(5)
$
(0.09
)
$
0.85
$
0.27
Annualized GAAP return (loss) on average
equity(6)
(0.31
%)
16.29
%
5.42
%
Net interest margin (7)
0.24
%
(0.03
%)
(0.15
%)
Average yield on interest earning assets
(8)
5.17
%
4.88
%
4.27
%
Average GAAP cost of interest bearing
liabilities (9)
5.43
%
5.40
%
5.00
%
Net interest spread
(0.26
%)
(0.52
%)
(0.73
%)
Dividend declared per common share
$
0.65
$
0.65
$
0.65
Annualized dividend yield (10)
13.64
%
13.20
%
12.99
%
Non-GAAP metrics *
Earnings available for distribution per
average common share (5)
$
0.68
$
0.64
$
0.72
Annualized EAD return on average equity
(excluding PAA)
13.36
%
12.63
%
13.22
%
Economic leverage at period-end (3)
5.8:1
5.6:1
5.8:1
Economic capital ratio at period end
(4)
14.2
%
14.6
%
14.3
%
Net interest margin (excluding PAA)
(7)
1.58
%
1.43
%
1.66
%
Average yield on interest earning assets
(excluding PAA) (8)
5.14
%
4.87
%
4.22
%
Average economic cost of interest bearing
liabilities (9)
3.90
%
3.78
%
2.77
%
Net interest spread (excluding PAA)
1.24
%
1.09
%
1.45
%
*
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), futures and U.S. Treasury securities sold, not yet
purchased, relative to repurchase agreements, other secured
financing, cost basis of TBA derivatives outstanding and net
forward purchases (sales) of investments; 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 U.S. Treasury
securities sold, not yet purchased 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, other
secured financing, and U.S. Treasury securities sold, not yet
purchased. Debt issued by securitization vehicles and
participations issued 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)
Annualized GAAP return (loss) on average
equity annualizes realized and unrealized gains and (losses) which
may not be indicative of full year performance, unannualized GAAP
return (loss) on average equity is (0.08%), 4.07% and 1.35% for the
quarters ended June 30, 2024, March 31, 2024, and June 30, 2023,
respectively.
(7)
Net interest margin represents interest
income less interest expense divided by average interest earning
assets. Net interest margin does not include net interest component
of interest rate swaps. Net interest margin (excluding PAA)
represents the sum of interest income (excluding PAA) plus TBA
dollar roll income and CMBX coupon income less economic interest
expense divided by the sum of average interest earning assets plus
average TBA contract and CMBX balances.
(8)
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).
(9)
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, the net interest component of interest rate
swaps, and, beginning with the quarter ended June 30, 2024, net
interest on initial margin related to interest rate swaps, which is
reported in Other, net in the Company’s Consolidated Statement of
Comprehensive Income (Loss). Prior period results have not been
adjusted in accordance with this change as the impact is not
material. Net interest on variation margin related to interest rate
swaps was previously and is currently included in the Net interest
component of interest rate swaps in the Company's Consolidated
Statement of Comprehensive Income (Loss) for all periods
presented.
(10)
Based on the closing price of the
Company’s common stock of $19.06, $19.69 and $20.01 at June 30,
2024, March 31, 2024 and June 30, 2023, respectively.
The following table contains additional information on our
investment portfolio as of the dates presented:
For the quarters ended
June 30, 2024
March 31, 2024
June 30, 2023
Agency mortgage-backed securities
$
64,390,905
$
63,542,230
$
67,764,264
Residential credit risk transfer
securities
838,437
871,421
1,064,401
Non-agency mortgage-backed securities
1,702,859
1,933,910
2,008,106
Commercial mortgage-backed securities
112,552
153,128
365,690
Total securities
$
67,044,753
$
66,500,689
$
71,202,461
Residential mortgage loans
$
2,548,228
$
2,717,823
$
1,154,320
Total loans, net
$
2,548,228
$
2,717,823
$
1,154,320
Mortgage servicing rights
$
2,785,614
$
2,651,279
$
2,018,896
Residential mortgage loans transferred or
pledged to securitization vehicles
$
17,946,812
$
15,614,750
$
11,318,419
Assets transferred or pledged to
securitization vehicles
$
17,946,812
$
15,614,750
$
11,318,419
Total investment portfolio
$
90,325,407
$
87,484,541
$
85,694,096
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 measures:
- earnings available for distribution ("EAD");
- earnings available for distribution attributable to common
stockholders;
- earnings available for distribution per average common
share;
- annualized EAD return on average equity;
- economic leverage;
- economic capital ratio;
- interest income (excluding PAA);
- economic interest expense;
- economic net interest income (excluding PAA);
- average yield on interest earning assets (excluding PAA);
- average economic cost of interest bearing liabilities;
- net interest margin (excluding PAA); and
- net interest spread (excluding PAA).
These measures should not be considered a substitute for, or
superior to, financial measures computed in accordance with GAAP.
While intended to offer a fuller understanding of the Company’s
results and operations, non-GAAP financial measures also have
limitations. For example, the Company may calculate its non-GAAP
metrics, such as earnings available for distribution, or the PAA,
differently than its peers making comparative analysis difficult.
Additionally, in the case of non-GAAP measures that exclude the
PAA, the amount of amortization expense excluding the PAA is not
necessarily representative of the amount of future periodic
amortization nor is it indicative of the term over which the
Company will amortize the remaining unamortized premium. Changes to
actual and estimated prepayments will impact the timing and amount
of premium amortization and, as such, both GAAP and non-GAAP
results.
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
may be useful to investors, and reconciliations to their most
directly comparable GAAP results are provided below.
Earnings available for distribution, earnings available for
distribution attributable to common stockholders, earnings
available for distribution per average common share and annualized
EAD return on average equity
The Company's principal business objective is to generate net
income for distribution to its stockholders and to preserve capital
through prudent selection of investments and continuous management
of its portfolio. The Company generates net income by earning a net
interest spread on its investment portfolio, which is a function of
interest income from its investment portfolio less financing,
hedging and operating costs. Earnings available for distribution,
which is defined as the sum of (a) economic net interest income,
(b) TBA dollar roll income and CMBX coupon income, (c) net
servicing income less realized amortization of MSR, (d) other
income (loss) (excluding amortization of intangibles, non-EAD
income allocated to equity method investments and other non-EAD
components of other income (loss)), (e) general and administrative
expenses (excluding transaction expenses and non-recurring items),
and (f) income taxes (excluding the income tax effect of non-EAD
income (loss) items) and excludes (g) the premium amortization
adjustment ("PAA") representing 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 is used by the
Company's management and, the Company believes, used by analysts
and investors to measure its progress in achieving its principal
business objective.
The Company seeks to fulfill this objective through a variety of
factors including portfolio construction, the degree of market risk
exposure and related hedge profile, and the use and forms of
leverage, all while operating within the parameters of the
Company's capital allocation policy and risk governance
framework.
The Company believes these non-GAAP 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. In addition, EAD
serves as a useful indicator for investors in evaluating the
Company's performance and ability to pay dividends. Annualized EAD
return on average equity, which is calculated by dividing earnings
available for distribution over average stockholders’ equity,
provides investors with additional detail on the earnings available
for distribution generated by the Company’s invested equity
capital.
The following table presents a reconciliation of GAAP financial
results to non-GAAP earnings available for distribution for the
periods presented:
For the quarters ended
June 30, 2024
March 31, 2024
June 30, 2023
(dollars in thousands, except
per share data)
GAAP net income (loss)
$
(8,833
)
$
465,174
$
161,187
Adjustments to exclude reported
realized and unrealized (gains) losses
Net (gains) losses on investments and
other (1)
568,874
994,120
1,316,837
Net (gains) losses on derivatives (2)
(132,115
)
(1,046,995
)
(1,050,032
)
Other adjustments
Amortization of intangibles
673
673
758
Non-EAD (income) loss allocated to equity
method investments (3)
(523
)
216
541
Transaction expenses and non-recurring
items (4)
5,329
3,737
2,650
Income tax effect of non-EAD income (loss)
items
10,016
(2,918
)
12,364
TBA dollar roll income and CMBX coupon
income (5)
486
1,375
1,734
MSR amortization (6)
(56,100
)
(50,621
)
(41,297
)
EAD attributable to noncontrolling
interests
(3,362
)
(3,786
)
(3,344
)
Premium amortization adjustment cost
(benefit)
(7,306
)
(3,013
)
(11,923
)
Earnings available for distribution
*
377,139
357,962
389,475
Dividends on preferred stock
37,158
37,061
35,766
Earnings available for distribution
attributable to common stockholders *
$
339,981
$
320,901
$
353,709
GAAP net income (loss) per average
common share
$
(0.09
)
$
0.85
$
0.27
Earnings available for distribution per
average common share *
$
0.68
$
0.64
$
0.72
Annualized GAAP return (loss) on
average equity (7)
(0.31
%)
16.29
%
5.42
%
Annualized EAD return on average equity
*
13.36
%
12.63
%
13.22
%
*
Represents a non-GAAP financial
measure.
(1)
Includes write-downs or recoveries on
investments which are reported in Other, net in the Company's
Consolidated Statement of Comprehensive Income (Loss).
(2)
The adjustment to add back Net (gains)
losses on derivatives does not include the net interest component
of interest rate swaps which is reflected in earnings available for
distribution. The net interest component of interest rate swaps
totaled $298.4 million, $330.1 million and $425.3 million for the
quarters ended June 30, 2024, March 31, 2024 and June 30, 2023,
respectively.
(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, net.
(4)
Represents 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
derivatives. CMBX coupon income totaled $0.0 million, $0.0 million
and $0.5 million for the quarters ended June 30, 2024, March 31,
2024 and June 30, 2023, respectively.
(6)
MSR amortization utilizes purchase date
cash flow assumptions and actual unpaid principal balances and is
calculated as the difference between projected MSR yield income and
net servicing income for the period.
(7)
Annualized GAAP return (loss) on average
equity annualizes realized and unrealized gains and (losses) which
may not be indicative of full year performance, unannualized GAAP
return (loss) on average equity is (0.08%), 4.07%, and 1.35% for
the quarters ended June 30, 2024, March 31, 2024, and June 30,
2023, respectively.
From time to time, the Company enters into TBA forward contracts
as an alternate means of investing in and financing Agency
mortgage-backed securities. A TBA contract is an agreement to
purchase or sell, for future delivery, an Agency mortgage-backed
security with a specified issuer, term and coupon. A TBA dollar
roll represents a transaction where TBA contracts with the same
terms but different settlement dates are simultaneously bought and
sold. The TBA contract settling in the later month typically prices
at a discount to the earlier month contract with the difference in
price commonly referred to as the "drop". The drop is a reflection
of the expected net interest income from an investment in similar
Agency mortgage-backed securities, net of an implied financing
cost, that would be foregone as a result of settling the contract
in the later month rather than in the earlier month. The drop
between the current settlement month price and the forward
settlement month price occurs because in the TBA dollar roll
market, the party providing the financing is the party that would
retain all principal and interest payments accrued during the
financing period. Accordingly, TBA dollar roll income generally
represents the economic equivalent of the net interest income
earned on the underlying Agency mortgage-backed security less an
implied financing cost.
TBA dollar roll transactions are accounted for under GAAP as a
series of derivatives transactions. The fair value of TBA
derivatives is based on methods similar to those used to value
Agency mortgage-backed securities. The Company records TBA
derivatives at fair value on its Consolidated Statements of
Financial Condition and recognizes periodic changes in fair value
in Net gains (losses) on derivatives in the Consolidated Statements
of Comprehensive Income (Loss), which includes both unrealized and
realized gains and losses on derivatives.
TBA dollar roll income is calculated as the difference in price
between two TBA contracts with the same terms but different
settlement dates multiplied by the notional amount of the TBA
contract. Although accounted for as derivatives, TBA dollar rolls
capture the economic equivalent of net interest income, or carry,
on the underlying Agency mortgage-backed security (interest income
less an implied cost of financing). TBA dollar roll income is
reported as a component of Net gains (losses) on derivatives in the
Consolidated Statements of Comprehensive Income (Loss).
The CMBX index is a synthetic tradable index referencing a
basket of 25 commercial mortgage-backed securities ("CMBS") of a
particular rating and vintage. The CMBX index allows investors to
take a long exposure (referred to as selling protection) or short
exposure (referred to as buying protection) on the respective
basket of CMBS securities and is structured as a "pay-as-you-go"
contract whereby the protection buyer pays to the protection seller
a standardized running coupon on the contracted notional amount.
The Company reports income (expense) on CMBX positions in Net gains
(losses) on derivatives in the Consolidated Statements of
Comprehensive Income (Loss). The coupon payments received or paid
on CMBX positions are equivalent to interest income (expense) and
therefore included in earnings available for distribution.
Premium Amortization Expense
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,
multifamily and reverse mortgages, taking into account estimates of
future principal prepayments in the calculation of the effective
yield. 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 security 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. Certain of
the Company’s non-GAAP metrics exclude the effect of the PAA, which
quantifies the component of premium amortization representing the
cumulative impact on prior periods, but not the current period, of
quarter-over-quarter changes in estimated long-term CPR.
The following table illustrates the impact of the PAA on premium
amortization expense for the Company’s Residential Securities
portfolio and residential securities transferred or pledged to
securitization vehicles, for the quarters ended June 30, 2024,
March 31, 2024 and June 30, 2023:
For the quarters ended
June 30, 2024
March 31, 2024
June 30, 2023
(dollars in thousands)
Premium amortization expense
(accretion)
$
10,437
$
26,732
$
33,105
Less: PAA cost (benefit)
(7,306
)
(3,013
)
(11,923
)
Premium amortization expense (excluding
PAA)
$
17,743
$
29,745
$
45,028
Economic leverage and economic capital ratios
The Company uses capital coupled with borrowed funds to invest
primarily in real estate related investments, earning the spread
between the yield on its assets and the cost of its borrowings and
hedging activities. The Company’s capital structure is designed to
offer an efficient complement of funding sources to generate
positive risk-adjusted returns for its stockholders while
maintaining appropriate liquidity to support its business and meet
the Company’s financial obligations under periods of market stress.
To maintain its desired capital profile, the Company utilizes a mix
of debt and equity funding. Debt funding may include the use of
repurchase agreements, loans, securitizations, participations
issued, lines of credit, asset backed lending facilities, corporate
bond issuance, convertible bonds or other liabilities. Equity
capital primarily consists of common and preferred stock.
The Company’s economic leverage ratio is computed as the sum of
recourse debt, cost basis of TBA and CMBX derivatives outstanding,
and net forward purchases (sales) of investments divided by total
equity. Recourse debt consists of repurchase agreements, other
secured financing, and U.S. Treasury securities sold, not yet
purchased. Debt issued by securitization vehicles and
participations issued are non-recourse to the Company and are
excluded from economic leverage.
The following table presents a reconciliation of GAAP debt to
economic debt for purposes of calculating the Company’s economic
leverage ratio for the periods presented:
As of
June 30, 2024
March 31, 2024
June 30, 2023
Economic leverage ratio
reconciliation
(dollars in thousands)
Repurchase agreements
$
60,787,994
$
58,975,232
$
61,637,600
Other secured financing
600,000
600,000
500,000
Debt issued by securitization vehicles
15,831,915
13,690,967
9,789,282
Participations issued
1,144,821
1,161,323
492,307
U.S Treasury securities sold, not yet
purchased
1,974,602
2,077,404
—
Total GAAP debt
$
80,339,332
$
76,504,926
$
72,419,189
Less Non-Recourse Debt:
Debt issued by securitization vehicles
$
(15,831,915
)
$
(13,690,967
)
$
(9,789,282
)
Participations issued
(1,144,821
)
(1,161,323
)
(492,307
)
Total recourse debt
$
63,362,596
$
61,652,636
$
62,137,600
Plus / (Less):
Cost basis of TBA and CMBX derivatives
$
1,639,941
$
1,136,788
$
3,625,443
Payable for unsettled trades
1,096,271
2,556,798
4,331,315
Receivable for unsettled trades
(320,659
)
(941,366
)
(787,442
)
Economic debt *
$
65,778,149
$
64,404,856
$
69,306,916
Total equity
$
11,262,904
$
11,496,113
$
11,887,345
Economic leverage ratio *
5.8:1
5.6:1
5.8:1
*
Represents a non-GAAP financial
measure.
The following table presents a reconciliation of GAAP total
assets to economic total assets for purposes of calculating the
Company’s economic capital ratio for the periods presented:
As of
June 30, 2024
March 31, 2024
June 30, 2023
Economic capital ratio
reconciliation
(dollars in thousands)
Total GAAP assets
$
93,668,577
$
91,483,546
$
89,330,477
Less:
Gross unrealized gains on TBA derivatives
(1)
(14,641
)
(7,220
)
(21,460
)
Debt issued by securitization vehicles
(15,831,915
)
(13,690,967
)
(9,789,282
)
Plus:
Implied market value of TBA
derivatives
1,652,389
1,133,305
3,627,716
Total economic assets *
$
79,474,410
$
78,918,664
$
83,147,451
Total equity
$
11,262,904
$
11,496,113
$
11,887,345
Economic capital ratio *
14.2
%
14.6
%
14.3
%
*
Represents a non-GAAP financial
measure.
(1)
Included in Derivative assets in the
Company’s Consolidated Statements of Financial Condition.
Interest income (excluding PAA), economic interest expense
and economic net interest income (excluding PAA)
Interest income (excluding PAA) represents interest income
excluding the effect of the PAA, and serves as the basis for
deriving average yield on interest earning assets (excluding PAA),
net interest spread (excluding PAA) and net interest margin
(excluding PAA), 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 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 (other than
interest-only securities, multifamily and reverse mortgages), which
can obscure underlying trends in the performance of the
portfolio.
Economic interest expense includes GAAP interest expense, the
net interest component of interest rate swaps (which includes net
interest on variation margin related to interest rate swaps) and
net interest on initial margin related to interest rate swaps,
which is reported in Other, net in the Company’s Consolidated
Statement 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 net interest
component of 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 the Company's financing strategy. The Company may
use market agreed coupon ("MAC") interest rate swaps in which the
Company may receive or make a payment at the time of entering into
such interest rate swap to compensate for the off-market nature of
such interest rate swap. In accordance with GAAP, upfront payments
associated with MAC interest rate swaps are not reflected in the
net interest component of interest rate swaps in the Company's
Consolidated Statements of Comprehensive Income (Loss).
Similarly, economic net interest income (excluding PAA), 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
June 30, 2024
March 31, 2024
June 30, 2023
Interest income (excluding PAA)
reconciliation
(dollars in thousands)
GAAP interest income
$
1,177,325
$
1,094,488
$
921,494
Premium amortization adjustment
(7,306
)
(3,013
)
(11,923
)
Interest income (excluding PAA)
*
$
1,170,019
$
1,091,475
$
909,571
Economic interest expense
reconciliation
GAAP interest expense
$
1,123,767
$
1,100,939
$
953,457
Add:
Net interest component of interest rate
swaps and net interest on initial margin related to interest rate
swaps (1)
(317,297
)
(330,149
)
(425,293
)
Economic interest expense *
$
806,470
$
770,790
$
528,164
Economic net interest income (excluding
PAA) reconciliation
Interest income (excluding PAA) *
$
1,170,019
$
1,091,475
$
909,571
Less:
Economic interest expense *
806,470
770,790
528,164
Economic net interest income (excluding
PAA) *
$
363,549
$
320,685
$
381,407
*
Represents a non-GAAP financial
measure.
(1)
Interest on initial margin related to
interest rate swaps is reported in Other, net in the Company’s
Consolidated Statement of Comprehensive Income (Loss).
Average yield on interest earning assets (excluding PAA), net
interest spread (excluding PAA), net interest margin (excluding
PAA) and average economic cost of interest bearing
liabilities
Net interest spread (excluding PAA), which is the difference
between the average yield on interest earning assets (excluding
PAA) and the average economic cost of interest bearing liabilities,
which represents annualized economic interest expense divided by
average interest bearing liabilities, and net interest margin
(excluding PAA), which is calculated as the sum of interest income
(excluding PAA) plus TBA dollar roll income and CMBX coupon income
less economic interest expense divided by the sum of average
interest earning assets plus average TBA contract and CMBX
balances, 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
June 30, 2024
March 31, 2024
June 30, 2023
Economic metrics (excluding
PAA)
(dollars in thousands)
Average interest earning assets
$
91,008,934
$
89,738,726
$
86,254,955
Interest income (excluding PAA) *
$
1,170,019
$
1,091,475
$
909,571
Average yield on interest earning assets
(excluding PAA) *
5.14
%
4.87
%
4.22
%
Average interest bearing liabilities
$
81,901,233
$
80,682,111
$
75,424,564
Economic interest expense *
$
806,470
$
770,790
$
528,164
Average economic cost of interest bearing
liabilities *
3.90
%
3.78
%
2.77
%
Economic net interest income (excluding
PAA) *
$
363,549
$
320,685
$
381,407
Net interest spread (excluding PAA) *
1.24
%
1.09
%
1.45
%
Interest income (excluding PAA) *
$
1,170,019
$
1,091,475
$
909,571
TBA dollar roll income and CMBX coupon
income
486
1,375
1,734
Economic interest expense *
(806,470
)
(770,790
)
(528,164
)
Subtotal
$
364,035
$
322,060
$
383,141
Average interest earnings assets
$
91,008,934
$
89,738,726
$
86,254,955
Average TBA contract and CMBX balances
998,990
149,590
6,303,202
Subtotal
$
92,007,924
$
89,888,316
$
92,558,157
Net interest margin (excluding PAA)
*
1.58
%
1.43
%
1.66
%
*
Represents a non-GAAP financial
measure.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20240723559836/en/
Annaly Capital Management, Inc. Investor Relations 1-888-8Annaly
www.annaly.com
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