Annaly Capital Management, Inc. Reports 4th Quarter 2024 Results
Annaly Capital Management (NYSE: NLY) reported its Q4 2024 financial results with GAAP net income of $0.78 per share and earnings available for distribution of $0.72 per share. The company achieved a 1.3% economic return for Q4 and 11.9% for full-year 2024.
The total portfolio reached $80.9 billion, including $70.6 billion in Agency portfolio. The company's Residential Credit portfolio grew 8% quarter-over-quarter to $7.0 billion, while the Mortgage Servicing Rights portfolio increased 17% to $3.3 billion. Net interest margin improved to 0.75%, with financing costs decreasing quarter-over-quarter.
Throughout 2024, Annaly grew its Agency portfolio by nearly $5 billion, increased its Residential Credit portfolio by 17% year-over-year, and expanded its MSR portfolio by 24%. The company maintained a GAAP leverage of 7.1x and raised $1.6 billion through its at-the-market sales program.
Annaly Capital Management (NYSE: NLY) ha riportato i risultati finanziari del Q4 2024 con un utile netto GAAP di $0.78 per azione e utili disponibili per la distribuzione di $0.72 per azione. L'azienda ha raggiunto un ritorno economico dell'1,3% per il Q4 e un 11,9% per l'intero anno 2024.
Il portafoglio totale ha raggiunto $80.9 miliardi, inclusi $70.6 miliardi nel portafoglio su agenzia. Il portafoglio di Credito Residenziale della società è cresciuto dell'8% rispetto al trimestre precedente, raggiungendo $7.0 miliardi, mentre il portafoglio dei Diritti di Servizio Ipotecario è aumentato del 17% a $3.3 miliardi. Il margine di interesse netto è migliorato allo 0.75%, con i costi di finanziamento in diminuzione rispetto al trimestre precedente.
Nel corso del 2024, Annaly ha aumentato il suo portafoglio agenziale di quasi $5 miliardi, incrementato il portafoglio di Credito Residenziale del 17% su base annua e ampliato il suo portafoglio MSR del 24%. L'azienda ha mantenuto un leverage GAAP di 7.1x e ha raccolto $1.6 miliardi attraverso il suo programma di vendite in mercato.
Annaly Capital Management (NYSE: NLY) informó sus resultados financieros del Q4 2024 con un ingreso neto GAAP de $0.78 por acción y ganancias disponibles para distribución de $0.72 por acción. La empresa logró un retorno económico del 1.3% para el Q4 y un 11.9% para el año completo 2024.
El total de la cartera alcanzó $80.9 mil millones, incluyendo $70.6 mil millones en la cartera de Agencia. La cartera de Crédito Residencial de la compañía creció un 8% respecto al trimestre anterior, alcanzando $7.0 mil millones, mientras que la cartera de Derechos de Servicio Hipotecario aumentó un 17% hasta $3.3 mil millones. El margen de interés neto mejoró al 0.75%, con los costos de financiamiento disminuyendo trimestre a trimestre.
A lo largo de 2024, Annaly creció su cartera de Agencia en casi $5 mil millones, incrementó su cartera de Crédito Residencial en un 17% interanual y expandió su cartera de MSR en un 24%. La empresa mantuvo un apalancamiento GAAP de 7.1x y recaudó $1.6 mil millones a través de su programa de ventas en el mercado.
안날리 캐피탈 매니지먼트 (NYSE: NLY)는 2024년 4분기 재무 결과를 발표하며, GAAP 기준 주당 순이익이 $0.78, 배당금으로 사용할 수 있는 수익이 $0.72임을 보고했습니다. 회사는 4분기 경제적 수익을 1.3% 달성했으며, 2024년 전체에 대해 11.9%를 기록했습니다.
총 포트폴리오는 $80.9억에 도달했으며, 그 중 $70.6억은 에이전시 포트폴리오입니다. 회사의 주거용 신용 포트폴리오는 전 분기 대비 8% 성장하여 $7.0억에 도달했으며, 모기지 서비스 권리는 17% 증가하여 $3.3억이 되었습니다. 순이자 마진은 0.75%로 개선되었고, 자금 조달 비용은 분기별로 감소했습니다.
2024년 내내 안날리는 에이전시 포트폴리오를 거의 $5억 늘리고, 주거용 신용 포트폴리오를 전년 대비 17% 증가시켰으며, MSR 포트폴리오를 24% 확장했습니다. 회사는 GAAP 레버리지를 7.1배로 유지하고, 시장 판매 프로그램을 통해 $1.6억을 조달했습니다.
Annaly Capital Management (NYSE: NLY) a annoncé ses résultats financiers du 4ème trimestre 2024, avec un bénéfice net GAAP de 0,78 $ par action et des bénéfices disponibles pour distribution de 0,72 $ par action. L'entreprise a réalisé un retour économique de 1,3% pour le 4ème trimestre et un 11,9% pour l'année entière 2024.
Le portefeuille total a atteint 80,9 milliards de dollars, dont 70,6 milliards de dollars dans le portefeuille d'agence. Le portefeuille de Crédit Résidentiel de la société a augmenté de 8 % par rapport au trimestre précédent, atteignant 7,0 milliards de dollars, tandis que le portefeuille des Droits de Service Hypothécaire a crû de 17 % pour atteindre 3,3 milliards de dollars. La marge d'intérêt nette s'est améliorée à 0,75 %, les coûts de financement ayant diminué par rapport au trimestre précédent.
Tout au long de 2024, Annaly a considérablement augmenté son portefeuille d'agence de près de 5 milliards de dollars, a accru son portefeuille de Crédit Résidentiel de 17 % d'une année sur l'autre et a élargi son portefeuille MSR de 24 %. L'entreprise a maintenu un effet de levier GAAP de 7,1x et a levé 1,6 milliard de dollars grâce à son programme de ventes sur le marché.
Annaly Capital Management (NYSE: NLY) berichtete über die Finanzergebnisse des 4. Quartals 2024 mit einem GAAP-Nettoeinkommen von $0,78 pro Aktie und verfügbaren Erträgen zur Ausschüttung von $0,72 pro Aktie. Das Unternehmen erzielte eine wirtschaftliche Rendite von 1,3% für das 4. Quartal und 11,9% für das gesamte Jahr 2024.
Das Gesamtportfolio erreichte $80,9 Milliarden, einschließlich $70,6 Milliarden im Agenturportfolio. Das Wohnkreditportfolio des Unternehmens wuchs um 8% im Vergleich zum vorherigen Quartal auf $7,0 Milliarden, während das Portfolio der Hypothekendienstrechte um 17% auf $3,3 Milliarden zunahm. Die Nettomarge verbesserte sich auf 0,75%, während die Finanzierungskosten von Quartal zu Quartal sanken.
Im Jahr 2024 erweiterte Annaly sein Agenturportfolio um fast $5 Milliarden, erhöhte sein Wohnkreditportfolio im Jahresvergleich um 17% und erweiterte sein MSR-Portfolio um 24%. Das Unternehmen hielt einen GAAP-Leverage von 7,1x und sammelte $1,6 Milliarden über sein Verkaufsprogramm im Markt.
- GAAP net income increased to $0.78 per share in Q4
- Strong full-year economic return of 11.9%
- Net interest margin improved by 69 basis points to 0.75%
- Residential Credit portfolio grew 8% quarter-over-quarter
- MSR portfolio increased 17% quarter-over-quarter
- Financing costs decreased with average GAAP cost down 46 basis points
- Record whole loan locks of $5.4 billion in Q4
- Book value per share decreased to $19.15 from $19.54 in previous quarter
- GAAP leverage increased to 7.1x from 6.9x in previous quarter
- Agency portfolio decreased by 3% in Q4
Insights
Annaly Capital Management's Q4 2024 results reveal a robust financial performance and strategic positioning. The $0.78 GAAP earnings per share significantly outperformed the previous quarter's $0.05, while the $0.72 EAD maintains strong dividend coverage for the
Three key developments stand out: First, the improvement in net interest margin to
The company's risk management appears prudent with:
- Economic leverage reduced to 5.5x from 5.7x year-over-year
$6.9 billion in assets available for financing- Conservative duration management through strategic hedging
Particularly noteworthy is Annaly's dominant market position, ranking as the largest non-bank issuer of Prime Jumbo and Expanded Credit MBS in 2024. The
Financial Highlights
-
GAAP net income of
$0.78 -
Earnings available for distribution ("EAD") of
$0.72 -
Economic return of
1.3% for the fourth quarter and11.9% for the full year 2024 -
Book value per common share of
$19.15 - GAAP leverage of 7.1x, up from 6.9x in the prior quarter; economic leverage of 5.5x, down from 5.7x in the prior quarter
-
Declared quarterly common stock cash dividend of
$0.65
Business Highlights
Fourth Quarter 2024 Highlights
-
Total portfolio of
$80.9 billion $70.6 billion -
Annaly's Agency portfolio decreased modestly by
3% ; portfolio activity focused on the continued rotation up in coupon through the addition of high-quality specified pools and TBAs while selling intermediate coupons-
Annaly's Agency portfolio represents
59% of dedicated equity capital(2), down from61% in the prior quarter
-
Annaly's Agency portfolio represents
- Annaly managed the portfolio’s duration extension through the sharp rate selloff by adding hedges at the long end of the curve; maintained a conservative hedge profile given elevated volatility and policy uncertainty
-
Annaly's Residential Credit portfolio increased
8% quarter-over-quarter to$7.0 billion 22% of dedicated equity capital(2)-
Record whole loan locks and settlements of
$5.4 billion $4.0 billion
-
Record whole loan locks and settlements of
-
Annaly's Mortgage Servicing Rights ("MSR") portfolio increased
17% quarter-over-quarter to$3.3 billion 19% of dedicated equity capital(2) -
Net interest margin increased 69 basis points quarter-over-quarter to
0.75% and net interest margin (excluding PAA) increased 19 basis points quarter-over-quarter to1.71% -
Financing costs decreased quarter-over-quarter with average GAAP cost of interest-bearing liabilities of
4.96% , down 46 basis points quarter-over-quarter, and average economic cost of interest-bearing liabilities of3.79% , down 14 basis points quarter-over-quarter -
$6.9 billion $3.9 billion - Enhanced senior leadership with the promotion of Mike Fania to Co-Chief Investment Officer
Full-Year 2024 Highlights
Investment and Strategy
-
Annaly’s Agency portfolio increased by nearly
$5 billion 4.57% to5.00% by opportunistically adding specified pools with material call protection in5.5% and higher coupons -
Annaly’s Residential Credit portfolio increased
17% year-over-year(1) given record production from the whole loan correspondent channel, including$17.6 billion $11.7 billion -
As the third largest purchaser of MSR in 2024, Annaly's MSR portfolio grew by
24% year-over-year; differentiated portfolio with the lowest note rate out of the top 20 servicers bolstered by recently expanded recapture and subservicing relationships with industry leaders(4)
Financing and Capital
-
Continued to conservatively manage leverage and liquidity profile throughout the year amid volatility; economic leverage decreased from 5.7x to 5.5x year-over-year and total assets available for financing increased
$0.7 billion $6.9 billion -
Annaly Residential Credit Group priced a record 21 whole loan securitizations totaling
$11.0 billion - Annaly remained the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS in 2024(5)
-
Since the beginning of 2024, Annaly’s Residential Credit and MSR businesses increased financing capacity by
$1.3 billion $550 million $5.4 billion $2.2 billion -
Raised
$1.6 billion
"Annaly generated an economic return of
"As we noted in our Investor Day in November, our outlook for 2025 is optimistic given favorable dynamics across each of our businesses. Agency MBS continues to provide attractive returns while an improved supply and demand picture, decreasing financing costs and a steeper yield curve are additional sector tailwinds. Meanwhile, our Residential Credit and MSR portfolios are well-positioned for further growth given Annaly's deep capital base and strategic relationships with originators. As always, we remain prepared for continued volatility given our low leverage, ample liquidity and dynamic hedging and portfolio management."
(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. Agency assets include TBA purchase contracts (market value) of |
(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 |
(4) |
Based on information aggregated from 2024 Fannie Mae and Freddie Mac monthly loan level files by eMBS servicing transfer data as of December 31, 2024. Excludes transfer activity related to platform acquisitions. |
(5) |
Issuer ranking data from Inside Nonconforming Markets for 2023 – 2024 (January 10, 2025 issue). Used with permission. |
(6) |
Includes a |
(7) |
Net of sales agent commissions and other offering expenses. |
Financial Performance
The following table summarizes certain key performance indicators as of and for the quarters ended December 31, 2024, September 30, 2024 and December 31, 2023:
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
Book value per common share |
$ |
19.15 |
|
|
$ |
19.54 |
|
|
$ |
19.44 |
|
GAAP net income (loss) per average common share (1) |
$ |
0.78 |
|
|
$ |
0.05 |
|
|
$ |
(0.88 |
) |
Annualized GAAP return (loss) on average equity (2) |
|
15.00 |
% |
|
|
2.77 |
% |
|
|
(14.21 |
%) |
GAAP leverage at period-end (3) |
7.1:1 |
|
6.9:1 |
|
6.8:1 |
||||||
Net interest margin (4) |
|
0.75 |
% |
|
|
0.06 |
% |
|
|
(0.25 |
%) |
Average yield on interest earning assets (5) |
|
5.36 |
% |
|
|
5.16 |
% |
|
|
4.55 |
% |
Average GAAP cost of interest bearing liabilities (6) |
|
4.96 |
% |
|
|
5.42 |
% |
|
|
5.37 |
% |
Net interest spread |
|
0.40 |
% |
|
|
(0.26 |
%) |
|
|
(0.82 |
%) |
Non-GAAP metrics * |
|
|
|
|
|
||||||
Earnings available for distribution per average common share (1) |
$ |
0.72 |
|
|
$ |
0.66 |
|
|
$ |
0.68 |
|
Annualized EAD return on average equity |
|
14.27 |
% |
|
|
12.95 |
% |
|
|
13.76 |
% |
Economic leverage at period-end (3) |
5.5:1 |
|
5.7:1 |
|
5.7:1 |
||||||
Net interest margin (excluding PAA) (4) |
|
1.71 |
% |
|
|
1.52 |
% |
|
|
1.58 |
% |
Average yield on interest earning assets (excluding PAA) (5) |
|
5.26 |
% |
|
|
5.25 |
% |
|
|
4.64 |
% |
Average economic cost of interest bearing liabilities (6) |
|
3.79 |
% |
|
|
3.93 |
% |
|
|
3.42 |
% |
Net interest spread (excluding PAA) |
|
1.47 |
% |
|
|
1.32 |
% |
|
|
1.22 |
% |
* |
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 |
(3) |
GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and |
(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 less economic interest expense divided by the sum of average Interest Earning Assets plus average outstanding TBA contract 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 Statements 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 Statements 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
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 "News & Insights" section of our website, then clicking on "Subscribe" and completing 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 Fourth Quarter 2024 Investor Presentation and the Fourth 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 fourth quarter 2024 earnings conference call on January 30, 2025 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/10195231/fe26337f06. 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
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 3779727. 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) |
|||||||||||||||||||
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
||||||||||
|
(unaudited) |
|
(unaudited) |
|
(unaudited) |
|
(unaudited) |
|
|
||||||||||
Assets |
|
|
|
|
|
|
|
|
|
||||||||||
Cash and cash equivalents |
$ |
1,488,027 |
|
|
$ |
1,560,159 |
|
|
$ |
1,587,108 |
|
|
$ |
1,665,370 |
|
|
$ |
1,412,148 |
|
Securities |
|
69,756,447 |
|
|
|
71,700,177 |
|
|
|
67,044,753 |
|
|
|
66,500,689 |
|
|
|
69,613,565 |
|
Loans, net |
|
3,546,902 |
|
|
|
2,305,613 |
|
|
|
2,548,228 |
|
|
|
2,717,823 |
|
|
|
2,353,084 |
|
Mortgage servicing rights |
|
2,909,134 |
|
|
|
2,693,057 |
|
|
|
2,785,614 |
|
|
|
2,651,279 |
|
|
|
2,122,196 |
|
Assets transferred or pledged to securitization vehicles |
|
21,973,188 |
|
|
|
21,044,007 |
|
|
|
17,946,812 |
|
|
|
15,614,750 |
|
|
|
13,307,622 |
|
Derivative assets |
|
225,351 |
|
|
|
59,071 |
|
|
|
187,868 |
|
|
|
203,799 |
|
|
|
162,557 |
|
Receivable for unsettled trades |
|
2,201,447 |
|
|
|
766,341 |
|
|
|
320,659 |
|
|
|
941,366 |
|
|
|
2,710,224 |
|
Principal and interest receivable |
|
1,069,038 |
|
|
|
1,060,991 |
|
|
|
917,130 |
|
|
|
867,348 |
|
|
|
1,222,705 |
|
Intangible assets, net |
|
9,416 |
|
|
|
10,088 |
|
|
|
10,761 |
|
|
|
11,433 |
|
|
|
12,106 |
|
Other assets |
|
377,434 |
|
|
|
316,491 |
|
|
|
319,644 |
|
|
|
309,689 |
|
|
|
311,029 |
|
Total assets |
$ |
103,556,384 |
|
|
$ |
101,515,995 |
|
|
$ |
93,668,577 |
|
|
$ |
91,483,546 |
|
|
$ |
93,227,236 |
|
Liabilities and stockholders’ equity |
|
|
|
|
|
|
|
|
|
||||||||||
Liabilities |
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements |
$ |
65,688,923 |
|
|
$ |
64,310,276 |
|
|
$ |
60,787,994 |
|
|
$ |
58,975,232 |
|
|
$ |
62,201,543 |
|
Other secured financing |
|
750,000 |
|
|
|
600,000 |
|
|
|
600,000 |
|
|
|
600,000 |
|
|
|
500,000 |
|
Debt issued by securitization vehicles |
|
19,540,678 |
|
|
|
18,709,118 |
|
|
|
15,831,915 |
|
|
|
13,690,967 |
|
|
|
11,600,338 |
|
Participations issued |
|
1,154,816 |
|
|
|
467,006 |
|
|
|
1,144,821 |
|
|
|
1,161,323 |
|
|
|
1,103,835 |
|
|
|
2,470,629 |
|
|
|
2,043,519 |
|
|
|
1,974,602 |
|
|
|
2,077,404 |
|
|
|
2,132,751 |
|
Derivative liabilities |
|
59,586 |
|
|
|
102,628 |
|
|
|
100,829 |
|
|
|
103,142 |
|
|
|
302,295 |
|
Payable for unsettled trades |
|
308,282 |
|
|
|
1,885,286 |
|
|
|
1,096,271 |
|
|
|
2,556,798 |
|
|
|
3,249,389 |
|
Interest payable |
|
268,317 |
|
|
|
276,397 |
|
|
|
369,106 |
|
|
|
350,405 |
|
|
|
287,937 |
|
Dividends payable |
|
375,932 |
|
|
|
362,731 |
|
|
|
325,662 |
|
|
|
325,286 |
|
|
|
325,052 |
|
Other liabilities |
|
242,269 |
|
|
|
219,085 |
|
|
|
174,473 |
|
|
|
146,876 |
|
|
|
179,005 |
|
Total liabilities |
|
90,859,432 |
|
|
|
88,976,046 |
|
|
|
82,405,673 |
|
|
|
79,987,433 |
|
|
|
81,882,145 |
|
Stockholders’ equity |
|
|
|
|
|
|
|
|
|
||||||||||
Preferred stock, par value |
|
1,536,569 |
|
|
|
1,536,569 |
|
|
|
1,536,569 |
|
|
|
1,536,569 |
|
|
|
1,536,569 |
|
Common stock, par value |
|
5,784 |
|
|
|
5,580 |
|
|
|
5,010 |
|
|
|
5,004 |
|
|
|
5,001 |
|
Additional paid-in capital |
|
25,257,716 |
|
|
|
24,851,604 |
|
|
|
23,694,663 |
|
|
|
23,673,687 |
|
|
|
23,672,391 |
|
Accumulated other comprehensive income (loss) |
|
(1,017,682 |
) |
|
|
(712,203 |
) |
|
|
(1,156,927 |
) |
|
|
(1,281,918 |
) |
|
|
(1,335,400 |
) |
Accumulated deficit |
|
(13,173,146 |
) |
|
|
(13,238,288 |
) |
|
|
(12,898,191 |
) |
|
|
(12,523,809 |
) |
|
|
(12,622,768 |
) |
Total stockholders’ equity |
|
12,609,241 |
|
|
|
12,443,262 |
|
|
|
11,181,124 |
|
|
|
11,409,533 |
|
|
|
11,255,793 |
|
Noncontrolling interests |
|
87,711 |
|
|
|
96,687 |
|
|
|
81,780 |
|
|
|
86,580 |
|
|
|
89,298 |
|
Total equity |
|
12,696,952 |
|
|
|
12,539,949 |
|
|
|
11,262,904 |
|
|
|
11,496,113 |
|
|
|
11,345,091 |
|
Total liabilities and equity |
$ |
103,556,384 |
|
|
$ |
101,515,995 |
|
|
$ |
93,668,577 |
|
|
$ |
91,483,546 |
|
|
$ |
93,227,236 |
|
|
|||||||||||||||||||
(1) |
Derived from the audited consolidated financial statements at December 31, 2023. |
(2) |
|
(3) |
Includes 1,468,250,000 shares authorized. Includes 578,357,118 shares issued and outstanding at December 31, 2024, 558,047,743 at September 30, 2024, 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. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) |
|||||||||||||||||||
|
For the quarters ended |
||||||||||||||||||
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|
December 31,
|
||||||||||
Net interest income |
|
|
|
|
|
|
|
|
|
||||||||||
Interest income |
$ |
1,338,880 |
|
|
$ |
1,229,341 |
|
|
$ |
1,177,325 |
|
|
$ |
1,094,488 |
|
|
$ |
990,352 |
|
Interest expense |
|
1,151,592 |
|
|
|
1,215,940 |
|
|
|
1,123,767 |
|
|
|
1,100,939 |
|
|
|
1,043,902 |
|
Net interest income |
|
187,288 |
|
|
|
13,401 |
|
|
|
53,558 |
|
|
|
(6,451 |
) |
|
|
(53,550 |
) |
Net servicing income |
|
|
|
|
|
|
|
|
|
||||||||||
Servicing and related income |
|
127,224 |
|
|
|
122,583 |
|
|
|
120,515 |
|
|
|
115,084 |
|
|
|
98,474 |
|
Servicing and related expense |
|
11,648 |
|
|
|
12,988 |
|
|
|
12,617 |
|
|
|
12,216 |
|
|
|
11,219 |
|
Net servicing income |
|
115,576 |
|
|
|
109,595 |
|
|
|
107,898 |
|
|
|
102,868 |
|
|
|
87,255 |
|
Other income (loss) |
|
|
|
|
|
|
|
|
|
||||||||||
Net gains (losses) on investments and other |
|
(2,010,426 |
) |
|
|
1,723,713 |
|
|
|
(568,745 |
) |
|
|
(994,127 |
) |
|
|
1,894,744 |
|
Net gains (losses) on derivatives |
|
2,215,680 |
|
|
|
(1,754,010 |
) |
|
|
430,487 |
|
|
|
1,377,144 |
|
|
|
(2,301,911 |
) |
Other, net |
|
19,339 |
|
|
|
27,438 |
|
|
|
24,791 |
|
|
|
23,367 |
|
|
|
22,863 |
|
Total other income (loss) |
|
224,593 |
|
|
|
(2,859 |
) |
|
|
(113,467 |
) |
|
|
406,384 |
|
|
|
(384,304 |
) |
General and administrative expenses |
|
|
|
|
|
|
|
|
|
||||||||||
Compensation expense |
|
33,955 |
|
|
|
34,453 |
|
|
|
33,274 |
|
|
|
28,721 |
|
|
|
29,502 |
|
Other general and administrative expenses |
|
10,019 |
|
|
|
9,468 |
|
|
|
11,617 |
|
|
|
9,849 |
|
|
|
9,399 |
|
Total general and administrative expenses |
|
43,974 |
|
|
|
43,921 |
|
|
|
44,891 |
|
|
|
38,570 |
|
|
|
38,901 |
|
Income (loss) before income taxes |
|
483,483 |
|
|
|
76,216 |
|
|
|
3,098 |
|
|
|
464,231 |
|
|
|
(389,500 |
) |
Income taxes |
|
10,407 |
|
|
|
(6,135 |
) |
|
|
11,931 |
|
|
|
(943 |
) |
|
|
1,732 |
|
Net income (loss) |
|
473,076 |
|
|
|
82,351 |
|
|
|
(8,833 |
) |
|
|
465,174 |
|
|
|
(391,232 |
) |
Net income (loss) attributable to noncontrolling interests |
|
(8,976 |
) |
|
|
15,906 |
|
|
|
650 |
|
|
|
2,282 |
|
|
|
12,511 |
|
Net income (loss) attributable to Annaly |
|
482,052 |
|
|
|
66,445 |
|
|
|
(9,483 |
) |
|
|
462,892 |
|
|
|
(403,743 |
) |
Dividends on preferred stock |
|
38,704 |
|
|
|
41,628 |
|
|
|
37,158 |
|
|
|
37,061 |
|
|
|
37,181 |
|
Net income (loss) available (related) to common stockholders |
$ |
443,348 |
|
|
$ |
24,817 |
|
|
$ |
(46,641 |
) |
|
$ |
425,831 |
|
|
$ |
(440,924 |
) |
Net income (loss) per share available (related) to common stockholders |
|
|
|
|
|
|
|
|
|||||||||||
Basic |
$ |
0.78 |
|
|
$ |
0.05 |
|
|
$ |
(0.09 |
) |
|
$ |
0.85 |
|
|
$ |
(0.88 |
) |
Diluted |
$ |
0.78 |
|
|
$ |
0.05 |
|
|
$ |
(0.09 |
) |
|
$ |
0.85 |
|
|
$ |
(0.88 |
) |
Weighted average number of common shares outstanding |
|
|
|
|
|
|
|
|
|||||||||||
Basic |
|
569,201,592 |
|
|
|
515,729,658 |
|
|
|
500,950,563 |
|
|
|
500,612,840 |
|
|
|
499,871,725 |
|
Diluted |
|
570,651,985 |
|
|
|
516,832,152 |
|
|
|
500,950,563 |
|
|
|
501,182,043 |
|
|
|
499,871,725 |
|
Other comprehensive income (loss) |
|
|
|
|
|
|
|
|
|||||||||||
Net income (loss) |
$ |
473,076 |
|
|
$ |
82,351 |
|
|
$ |
(8,833 |
) |
|
$ |
465,174 |
|
|
$ |
(391,232 |
) |
Unrealized gains (losses) on available-for-sale securities |
|
(337,121 |
) |
|
|
428,955 |
|
|
|
(54,243 |
) |
|
|
(281,869 |
) |
|
|
1,024,637 |
|
Reclassification adjustment for net (gains) losses included in net income (loss) |
|
31,642 |
|
|
|
15,769 |
|
|
|
179,234 |
|
|
|
335,351 |
|
|
|
334,739 |
|
Other comprehensive income (loss) |
|
(305,479 |
) |
|
|
444,724 |
|
|
|
124,991 |
|
|
|
53,482 |
|
|
|
1,359,376 |
|
Comprehensive income (loss) |
|
167,597 |
|
|
|
527,075 |
|
|
|
116,158 |
|
|
|
518,656 |
|
|
|
968,144 |
|
Comprehensive income (loss) attributable to noncontrolling interests |
|
(8,976 |
) |
|
|
15,906 |
|
|
|
650 |
|
|
|
2,282 |
|
|
|
12,511 |
|
Comprehensive income (loss) attributable to Annaly |
|
176,573 |
|
|
|
511,169 |
|
|
|
115,508 |
|
|
|
516,374 |
|
|
|
955,633 |
|
Dividends on preferred stock |
|
38,704 |
|
|
|
41,628 |
|
|
|
37,158 |
|
|
|
37,061 |
|
|
|
37,181 |
|
Comprehensive income (loss) attributable to common stockholders |
$ |
137,869 |
|
|
$ |
469,541 |
|
|
$ |
78,350 |
|
|
$ |
479,313 |
|
|
$ |
918,452 |
|
|
|||||||||||||||||||
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) |
|||||||
|
For the years ended |
||||||
|
December 31, 2024 |
|
December 31, 2023 (1) |
||||
|
(unaudited) |
|
|
||||
Net interest income |
|
|
|
||||
Interest income |
$ |
4,840,034 |
|
|
$ |
3,731,581 |
|
Interest expense |
|
4,592,238 |
|
|
|
3,842,965 |
|
Net interest income |
|
247,796 |
|
|
|
(111,384 |
) |
Net servicing income |
|
|
|
||||
Servicing and related income |
|
485,406 |
|
|
|
364,157 |
|
Servicing and related expense |
|
49,469 |
|
|
|
37,652 |
|
Net servicing income |
|
435,937 |
|
|
|
326,505 |
|
Other income (loss) |
|
|
|
||||
Net gains (losses) on investments and other |
|
(1,849,585 |
) |
|
|
(2,125,618 |
) |
Net gains (losses) on derivatives |
|
2,269,301 |
|
|
|
400,092 |
|
Loan loss (provision) reversal |
|
— |
|
|
|
219 |
|
Other, net |
|
94,935 |
|
|
|
73,716 |
|
Total other income (loss) |
|
514,651 |
|
|
|
(1,651,591 |
) |
General and administrative expenses |
|
|
|
||||
Compensation expense |
|
130,403 |
|
|
|
119,592 |
|
Other general and administrative expenses |
|
40,953 |
|
|
|
42,961 |
|
Total general and administrative expenses |
|
171,356 |
|
|
|
162,553 |
|
Income (loss) before income taxes |
|
1,027,028 |
|
|
|
(1,599,023 |
) |
Income taxes |
|
15,260 |
|
|
|
39,434 |
|
Net income (loss) |
|
1,011,768 |
|
|
|
(1,638,457 |
) |
Net income (loss) attributable to noncontrolling interests |
|
9,862 |
|
|
|
4,714 |
|
Net income (loss) attributable to Annaly |
|
1,001,906 |
|
|
|
(1,643,171 |
) |
Dividends on preferred stock |
|
154,551 |
|
|
|
141,676 |
|
Net income (loss) available (related) to common stockholders |
$ |
847,355 |
|
|
$ |
(1,784,847 |
) |
Net income (loss) per share available (related) to common stockholders |
|
|
|||||
Basic |
$ |
1.62 |
|
|
$ |
(3.61 |
) |
Diluted |
$ |
1.62 |
|
|
$ |
(3.61 |
) |
Weighted average number of common shares outstanding |
|
|
|||||
Basic |
|
521,737,554 |
|
|
|
494,541,323 |
|
Diluted |
|
522,747,610 |
|
|
|
494,541,323 |
|
Other comprehensive income (loss) |
|
|
|||||
Net income (loss) |
$ |
1,011,768 |
|
|
$ |
(1,638,457 |
) |
Unrealized gains (losses) on available-for-sale securities |
|
(244,278 |
) |
|
|
580,680 |
|
Reclassification adjustment for net (gains) losses included in net income (loss) |
|
561,996 |
|
|
|
1,792,816 |
|
Other comprehensive income (loss) |
|
317,718 |
|
|
|
2,373,496 |
|
Comprehensive income (loss) |
|
1,329,486 |
|
|
|
735,039 |
|
Comprehensive income (loss) attributable to noncontrolling interests |
|
9,862 |
|
|
|
4,714 |
|
Comprehensive income (loss) attributable to Annaly |
|
1,319,624 |
|
|
|
730,325 |
|
Dividends on preferred stock |
|
154,551 |
|
|
|
141,676 |
|
Comprehensive income (loss) attributable to common stockholders |
$ |
1,165,073 |
|
|
$ |
588,649 |
|
|
|
|
|
||||
(1) |
Derived from the audited consolidated financial statements at December 31, 2023. |
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 December 31, 2024, September 30, 2024 and December 31, 2023:
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 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 |
% |
|
|
2 |
% |
Weighted average experienced CPR for the period |
|
8.7 |
% |
|
|
7.6 |
% |
|
|
6.3 |
% |
Weighted average projected long-term CPR at period-end |
|
8.6 |
% |
|
|
11.9 |
% |
|
|
9.4 |
% |
Liabilities and hedging metrics |
|
|
|
|
|
||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end |
|
32 |
|
|
|
34 |
|
|
|
44 |
|
Hedge ratio (1) |
|
100 |
% |
|
|
101 |
% |
|
|
106 |
% |
Weighted average pay rate on interest rate swaps at period-end (2) |
|
3.11 |
% |
|
|
3.05 |
% |
|
|
3.04 |
% |
Weighted average receive rate on interest rate swaps at period-end (2) |
|
4.50 |
% |
|
|
4.94 |
% |
|
|
5.31 |
% |
Weighted average net rate on interest rate swaps at period-end (2) |
|
(1.39 |
%) |
|
|
(1.89 |
%) |
|
|
(2.27 |
%) |
GAAP leverage at period-end (3) |
7.1:1 |
|
6.9:1 |
|
6.8:1 |
||||||
GAAP capital ratio at period-end (4) |
|
12.3 |
% |
|
|
12.4 |
% |
|
|
12.2 |
% |
Performance related metrics |
|
|
|
|
|
||||||
Book value per common share |
$ |
19.15 |
|
|
$ |
19.54 |
|
|
$ |
19.44 |
|
GAAP net income (loss) per average common share(5) |
$ |
0.78 |
|
|
$ |
0.05 |
|
|
$ |
(0.88 |
) |
Annualized GAAP return (loss) on average equity(6) |
|
15.00 |
% |
|
|
2.77 |
% |
|
|
(14.21 |
%) |
Net interest margin (7) |
|
0.75 |
% |
|
|
0.06 |
% |
|
|
(0.25 |
%) |
Average yield on interest earning assets (8) |
|
5.36 |
% |
|
|
5.16 |
% |
|
|
4.55 |
% |
Average GAAP cost of interest bearing liabilities (9) |
|
4.96 |
% |
|
|
5.42 |
% |
|
|
5.37 |
% |
Net interest spread |
|
0.40 |
% |
|
|
(0.26 |
%) |
|
|
(0.82 |
%) |
Dividend declared per common share |
$ |
0.65 |
|
|
$ |
0.65 |
|
|
$ |
0.65 |
|
Annualized dividend yield (10) |
|
14.21 |
% |
|
|
12.95 |
% |
|
|
13.42 |
% |
Non-GAAP metrics * |
|
|
|
|
|
||||||
Earnings available for distribution per average common share (5) |
$ |
0.72 |
|
|
$ |
0.66 |
|
|
$ |
0.68 |
|
Annualized EAD return on average equity (excluding PAA) |
|
14.27 |
% |
|
|
12.95 |
% |
|
|
13.76 |
% |
Economic leverage at period-end (3) |
5.5:1 |
|
5.7:1 |
|
5.7:1 |
||||||
Economic capital ratio at period end (4) |
|
14.6 |
% |
|
|
14.6 |
% |
|
|
14.0 |
% |
Net interest margin (excluding PAA) (7) |
|
1.71 |
% |
|
|
1.52 |
% |
|
|
1.58 |
% |
Average yield on interest earning assets (excluding PAA) (8) |
|
5.26 |
% |
|
|
5.25 |
% |
|
|
4.64 |
% |
Average economic cost of interest bearing liabilities (9) |
|
3.79 |
% |
|
|
3.93 |
% |
|
|
3.42 |
% |
Net interest spread (excluding PAA) |
|
1.47 |
% |
|
|
1.32 |
% |
|
|
1.22 |
% |
* |
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 |
(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 |
(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 |
(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 less economic interest expense divided by the sum of average interest earning assets plus average TBA contract 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 Statements 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 Statements of Comprehensive Income (Loss) for all periods presented. |
(10) |
Based on the closing price of the Company’s common stock of |
The following table contains additional information on our investment portfolio as of the dates presented:
|
For the quarters ended |
|||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
|||
Agency mortgage-backed securities |
$ |
67,434,068 |
|
$ |
69,150,399 |
|
$ |
66,308,788 |
Residential credit risk transfer securities |
|
754,915 |
|
|
826,841 |
|
|
974,059 |
Non-agency mortgage-backed securities |
|
1,493,186 |
|
|
1,616,696 |
|
|
2,108,274 |
Commercial mortgage-backed securities |
|
74,278 |
|
|
106,241 |
|
|
222,444 |
Total securities |
$ |
69,756,447 |
|
$ |
71,700,177 |
|
$ |
69,613,565 |
Residential mortgage loans |
$ |
3,546,902 |
|
$ |
2,305,613 |
|
$ |
2,353,084 |
Total loans, net |
$ |
3,546,902 |
|
$ |
2,305,613 |
|
$ |
2,353,084 |
Mortgage servicing rights |
$ |
2,909,134 |
|
$ |
2,693,057 |
|
$ |
2,122,196 |
Residential mortgage loans transferred or pledged to securitization vehicles |
$ |
21,973,188 |
|
$ |
21,044,007 |
|
$ |
13,307,622 |
Assets transferred or pledged to securitization vehicles |
$ |
21,973,188 |
|
$ |
21,044,007 |
|
$ |
13,307,622 |
Total investment portfolio |
$ |
98,185,671 |
|
$ |
97,742,854 |
|
$ |
87,396,467 |
|
||||||||
Non-GAAP Financial Measures
To supplement its consolidated financial statements, which are prepared and presented in accordance with
- 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, (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 |
||||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
|
(dollars in thousands, except per share data) |
||||||||||
GAAP net income (loss) |
$ |
473,076 |
|
|
$ |
82,351 |
|
|
$ |
(391,232 |
) |
Adjustments to exclude reported realized and unrealized (gains) losses |
|
|
|
|
|
||||||
Net (gains) losses on investments and other (1) |
|
2,010,664 |
|
|
|
(1,724,051 |
) |
|
|
(1,887,795 |
) |
Net (gains) losses on derivatives (2) |
|
(1,958,777 |
) |
|
|
2,071,493 |
|
|
|
2,681,288 |
|
Other adjustments |
|||||||||||
Amortization of intangibles |
|
671 |
|
|
|
673 |
|
|
|
673 |
|
Non-EAD (income) loss allocated to equity method investments (3) |
|
(652 |
) |
|
|
1,465 |
|
|
|
197 |
|
Transaction expenses and non-recurring items (4) |
|
6,251 |
|
|
|
4,966 |
|
|
|
2,319 |
|
Income tax effect of non-EAD income (loss) items |
|
5,594 |
|
|
|
(9,248 |
) |
|
|
1,484 |
|
TBA dollar roll income (5) |
|
2,086 |
|
|
|
(1,132 |
) |
|
|
1,720 |
|
MSR amortization (6) |
|
(64,497 |
) |
|
|
(62,480 |
) |
|
|
(48,358 |
) |
EAD attributable to noncontrolling interests |
|
(2,114 |
) |
|
|
(2,893 |
) |
|
|
(4,014 |
) |
Premium amortization adjustment cost (benefit) |
|
(25,287 |
) |
|
|
21,365 |
|
|
|
19,148 |
|
Earnings available for distribution * |
|
447,015 |
|
|
|
382,509 |
|
|
|
375,430 |
|
Dividends on preferred stock |
|
38,704 |
|
|
|
41,628 |
|
|
|
37,181 |
|
Earnings available for distribution attributable to common stockholders * |
$ |
408,311 |
|
|
$ |
340,881 |
|
|
$ |
338,249 |
|
GAAP net income (loss) per average common share |
$ |
0.78 |
|
|
$ |
0.05 |
|
|
$ |
(0.88 |
) |
Earnings available for distribution per average common share * |
$ |
0.72 |
|
|
$ |
0.66 |
|
|
$ |
0.68 |
|
Annualized GAAP return (loss) on average equity (7) |
|
15.00 |
% |
|
|
2.77 |
% |
|
|
(14.21 |
%) |
Annualized EAD return on average equity * |
|
14.27 |
% |
|
|
12.95 |
% |
|
|
13.76 |
% |
* |
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 Statements 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 |
(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 represents a component of Net gains (losses) on derivatives. |
(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 |
For the years ended |
|||||||
|
December 31, 2024 |
|
December 31, 2023 |
||||
|
(dollars in thousands, except per share data) |
||||||
GAAP net income (loss) |
$ |
1,011,768 |
|
|
$ |
(1,638,457 |
) |
Adjustments to exclude reported realized and unrealized (gains) losses |
|||||||
Net (gains) losses on investments and other (1) |
|
1,849,607 |
|
|
|
2,137,538 |
|
Net (gains) losses on derivatives (2) |
|
(1,066,394 |
) |
|
|
1,184,961 |
|
Loan loss provision (reversal) |
|
— |
|
|
|
(219 |
) |
Other adjustments |
|||||||
Amortization of intangibles |
|
2,690 |
|
|
|
4,573 |
|
Non-EAD (income) loss allocated to equity method investments (3) |
|
506 |
|
|
|
354 |
|
Transaction expenses and non-recurring items (4) |
|
20,283 |
|
|
|
8,209 |
|
Income tax effect of non-EAD income (loss) items |
|
3,444 |
|
|
|
31,570 |
|
TBA dollar roll income and CMBX coupon income (5) |
|
2,815 |
|
|
|
20,621 |
|
MSR amortization (6) |
|
(233,698 |
) |
|
|
(182,151 |
) |
EAD attributable to noncontrolling interests |
|
(12,155 |
) |
|
|
(14,639 |
) |
Premium amortization adjustment cost (benefit) |
|
(14,241 |
) |
|
|
1,654 |
|
Earnings available for distribution * |
|
1,564,625 |
|
|
|
1,554,014 |
|
Dividends on preferred stock |
|
154,551 |
|
|
|
141,676 |
|
Earnings available for distribution attributable to common stockholders * |
$ |
1,410,074 |
|
|
$ |
1,412,338 |
|
GAAP net income (loss) per average common share |
$ |
1.62 |
|
|
$ |
(3.61 |
) |
Earnings available for distribution per average common share * |
$ |
2.70 |
|
|
$ |
2.86 |
|
Annualized GAAP return (loss) on average equity |
|
8.53 |
% |
|
|
(14.33 |
%) |
Annualized EAD return on average equity * |
|
13.28 |
% |
|
|
13.71 |
% |
* |
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 Statements 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 |
(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) |
Includes costs incurred in connection with securitizations of residential whole loans. |
(5) |
TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on other derivatives and financial instruments. CMBX coupon income totaled |
(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. |
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).
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 December 31, 2024, September 30, 2024 and December 31, 2023:
|
For the quarters ended |
||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||
|
(dollars in thousands) |
||||||||
Premium amortization expense (accretion) |
$ |
8,196 |
|
|
$ |
53,448 |
|
$ |
51,247 |
Less: PAA cost (benefit) |
|
(25,287 |
) |
|
|
21,365 |
|
|
19,148 |
Premium amortization expense (excluding PAA) |
$ |
33,483 |
|
|
$ |
32,083 |
|
$ |
32,099 |
|
|||||||||
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 derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and
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 |
||||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
Economic leverage ratio reconciliation |
(dollars in thousands) |
||||||||||
Repurchase agreements |
$ |
65,688,923 |
|
|
$ |
64,310,276 |
|
|
$ |
62,201,543 |
|
Other secured financing |
|
750,000 |
|
|
|
600,000 |
|
|
|
500,000 |
|
Debt issued by securitization vehicles |
|
19,540,678 |
|
|
|
18,709,118 |
|
|
|
11,600,338 |
|
Participations issued |
|
1,154,816 |
|
|
|
467,006 |
|
|
|
1,103,835 |
|
|
|
2,470,629 |
|
|
|
2,043,519 |
|
|
|
2,132,751 |
|
Total GAAP debt |
$ |
89,605,046 |
|
|
$ |
86,129,919 |
|
|
$ |
77,538,467 |
|
Less Non-recourse debt: |
|
|
|
|
|
||||||
Debt issued by securitization vehicles |
$ |
(19,540,678 |
) |
|
$ |
(18,709,118 |
) |
|
$ |
(11,600,338 |
) |
Participations issued |
|
(1,154,816 |
) |
|
|
(467,006 |
) |
|
|
(1,103,835 |
) |
Total recourse debt |
$ |
68,909,552 |
|
|
$ |
66,953,795 |
|
|
$ |
64,834,294 |
|
Plus / (Less): |
|
|
|
|
|
||||||
Cost basis of TBA derivatives |
$ |
3,158,058 |
|
|
$ |
3,333,873 |
|
|
$ |
(555,221 |
) |
Payable for unsettled trades |
|
308,282 |
|
|
|
1,885,286 |
|
|
|
3,249,389 |
|
Receivable for unsettled trades |
|
(2,201,447 |
) |
|
|
(766,341 |
) |
|
|
(2,710,224 |
) |
Economic debt * |
$ |
70,174,445 |
|
|
$ |
71,406,613 |
|
|
$ |
64,818,238 |
|
Total equity |
$ |
12,696,952 |
|
|
$ |
12,539,949 |
|
|
$ |
11,345,091 |
|
Economic leverage ratio * |
5.5:1 |
|
5.7:1 |
|
5.7:1 |
||||||
|
|
|
|
|
|
||||||
* |
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 |
||||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
Economic capital ratio reconciliation |
(dollars in thousands) |
||||||||||
Total GAAP assets |
$ |
103,556,384 |
|
|
$ |
101,515,995 |
|
|
$ |
93,227,236 |
|
Less: |
|
|
|
|
|
||||||
Gross unrealized gains on TBA derivatives (1) |
|
(8,635 |
) |
|
|
(2,869 |
) |
|
|
(20,689 |
) |
Debt issued by securitization vehicles |
|
(19,540,678 |
) |
|
|
(18,709,118 |
) |
|
|
(11,600,338 |
) |
Plus: |
|
|
|
|
|
||||||
Implied market value of TBA derivatives |
|
3,136,154 |
|
|
|
3,328,141 |
|
|
|
(573,602 |
) |
Total economic assets * |
$ |
87,143,225 |
|
|
$ |
86,132,149 |
|
|
$ |
81,032,607 |
|
Total equity |
$ |
12,696,952 |
|
|
$ |
12,539,949 |
|
|
$ |
11,345,091 |
|
Economic capital ratio * |
|
14.6 |
% |
|
|
14.6 |
% |
|
|
14.0 |
% |
|
|
|
|
|
|
||||||
* |
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 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 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 |
||||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
Interest income (excluding PAA) reconciliation |
(dollars in thousands) |
||||||||||
GAAP interest income |
$ |
1,338,880 |
|
|
$ |
1,229,341 |
|
|
$ |
990,352 |
|
Premium amortization adjustment |
|
(25,287 |
) |
|
|
21,365 |
|
|
|
19,148 |
|
Interest income (excluding PAA) * |
$ |
1,313,593 |
|
|
$ |
1,250,706 |
|
|
$ |
1,009,500 |
|
Economic interest expense reconciliation |
|
|
|
|
|
||||||
GAAP interest expense |
$ |
1,151,592 |
|
|
$ |
1,215,940 |
|
|
$ |
1,043,902 |
|
Add: |
|
|
|
|
|
||||||
Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps (1) |
|
(272,305 |
) |
|
|
(333,696 |
) |
|
|
(379,377 |
) |
Economic interest expense * |
$ |
879,287 |
|
|
$ |
882,244 |
|
|
$ |
664,525 |
|
Economic net interest income (excluding PAA) reconciliation |
|
|
|
|
|||||||
Interest income (excluding PAA) * |
$ |
1,313,593 |
|
|
$ |
1,250,706 |
|
|
$ |
1,009,500 |
|
Less: |
|
|
|
|
|
||||||
Economic interest expense * |
|
879,287 |
|
|
|
882,244 |
|
|
|
664,525 |
|
Economic net interest income (excluding PAA) * |
$ |
434,306 |
|
|
$ |
368,462 |
|
|
$ |
344,975 |
|
|
|||||||||||
* |
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 Statements 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 less economic interest expense divided by the sum of average interest earning assets plus average TBA contract 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 |
||||||||||
|
December 31, 2024 |
|
September 30, 2024 |
|
December 31, 2023 |
||||||
Economic metrics (excluding PAA) |
(dollars in thousands) |
||||||||||
Average interest earning assets |
$ |
99,876,810 |
|
|
$ |
95,379,071 |
|
|
$ |
87,020,120 |
|
Interest income (excluding PAA) * |
$ |
1,313,593 |
|
|
$ |
1,250,706 |
|
|
$ |
1,009,500 |
|
Average yield on interest earning assets (excluding PAA) * |
|
5.26 |
% |
|
|
5.25 |
% |
|
|
4.64 |
% |
Average interest bearing liabilities |
$ |
90,773,953 |
|
|
$ |
87,819,655 |
|
|
$ |
76,010,247 |
|
Economic interest expense * |
$ |
879,287 |
|
|
$ |
882,244 |
|
|
$ |
664,525 |
|
Average economic cost of interest bearing liabilities * |
|
3.79 |
% |
|
|
3.93 |
% |
|
|
3.42 |
% |
Economic net interest income (excluding PAA) * |
$ |
434,306 |
|
|
$ |
368,462 |
|
|
$ |
344,975 |
|
Net interest spread (excluding PAA) * |
|
1.47 |
% |
|
|
1.32 |
% |
|
|
1.22 |
% |
Interest income (excluding PAA) * |
$ |
1,313,593 |
|
|
$ |
1,250,706 |
|
|
$ |
1,009,500 |
|
TBA dollar roll income |
|
2,086 |
|
|
|
(1,132 |
) |
|
|
1,720 |
|
Economic interest expense * |
|
(879,287 |
) |
|
|
(882,244 |
) |
|
|
(664,525 |
) |
Subtotal |
$ |
436,392 |
|
|
$ |
367,330 |
|
|
$ |
346,695 |
|
Average interest earnings assets |
$ |
99,876,810 |
|
|
$ |
95,379,071 |
|
|
$ |
87,020,120 |
|
Average TBA contract balances |
|
2,013,666 |
|
|
|
973,713 |
|
|
|
829,571 |
|
Subtotal |
$ |
101,890,476 |
|
|
$ |
96,352,784 |
|
|
$ |
87,849,691 |
|
Net interest margin (excluding PAA) * |
|
1.71 |
% |
|
|
1.52 |
% |
|
|
1.58 |
% |
* |
Represents a non-GAAP financial measure. |
an-er
View source version on businesswire.com: https://www.businesswire.com/news/home/20250128709980/en/
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
Source: Annaly Capital Management, Inc.
FAQ
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