NEW YORK--(BUSINESS WIRE)--Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" or the "Company") today announced its financial results for the quarter ended March 31, 2022.
Financial Highlights
Business Highlights
Investment and Strategy
Financing and Capital
Corporate Responsibility & Governance
“The market environment during the first quarter of 2022 was one of the most challenging for fixed-income in decades, characterized by exceptional volatility with substantial spread widening and a notable increase in benchmark rates,” remarked David Finkelstein, Annaly’s Chief Executive Officer and President. “While our portfolio continued to generate strong earnings, our book value was not immune to the effects of Agency MBS underperformance resulting from market turbulence. We remain disciplined given our expectation for continued volatility, though we are encouraged by the improvement in new investment returns provided by wider spreads, greater certainty of mortgage cash flows in a lower prepayment environment and additional clarity with respect to quantitative tightening.
Further, the announced sale of our Middle Market Lending portfolio subsequent to quarter end marks a significant strategic achievement that is accretive to Annaly's stockholders. Combined with the recent disposition of our Commercial Real Estate business and the expansion of our MSR and Residential Credit businesses, the transaction enables Annaly to deploy additional capital into our core housing finance strategy and continue to build on synergies between our Agency, MSR and Residential Credit portfolios.”
(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 $7.8 billion, include TBA purchase contracts (market value) of $18.3 billion, CMBX derivatives (market value) of $0.4 billion and $0.9 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.8 billion. |
|
(2) |
Includes limited partnership interests in two MSR funds, one of which is reported in Other Assets. |
|
(3) |
Annaly announced the sale of its Middle Market Lending portfolio on April 25, 2022. The transaction represents substantially all of the Middle Market Lending assets held on balance sheet as well as assets managed for third parties. Subject to customary closing conditions, the transfer of the Middle Market Lending portfolio is expected to be completed by end of the second quarter of 2022. For more information, please see the 8-K filing. |
|
(4) |
Issuer ranking data from Inside Nonconforming Markets as of April 9, 2022. |
Financial Performance
The following table summarizes certain key performance indicators as of and for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021:
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Book value per common share |
$ |
6.77 |
|
|
$ |
7.97 |
|
|
$ |
8.95 |
|
|
GAAP leverage at period-end (1) |
5.3:1 |
|
|
4.7:1 |
|
|
4.6:1 |
|
||||
GAAP net income (loss) per average common share (2) |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Net interest margin (3) |
|
3.20 |
% |
|
|
1.97 |
% |
|
|
3.39 |
% |
|
Average yield on interest earning assets (4) |
|
3.61 |
% |
|
|
2.31 |
% |
|
|
3.76 |
% |
|
Average GAAP cost of interest bearing liabilities (5) |
|
0.48 |
% |
|
|
0.38 |
% |
|
|
0.42 |
% |
|
Net interest spread |
|
3.13 |
% |
|
|
1.93 |
% |
|
|
3.34 |
% |
|
Non-GAAP metrics * |
|
|
|
|
|
|||||||
Earnings available for distribution per average common share (2) |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized EAD return on average equity |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
|
Economic leverage at period-end (1) |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
Net interest margin (excluding PAA) (3) |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
Average yield on interest earning assets (excluding PAA) (4) |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average economic cost of interest bearing liabilities (5) |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Net interest spread (excluding PAA) |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
* |
Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. |
|
(1) |
GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage. |
|
(2) |
Net of dividends on preferred stock. |
|
(3) |
Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average Interest Earning Assets plus average outstanding TBA contract and CMBX balances. PAA represents the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities. |
|
(4) |
Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). |
|
(5) |
Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
Updates to Financial Disclosures
Beginning with the quarter ended March 31, 2022, in light of the continued growth of its mortgage servicing rights portfolio, the Company enhanced its financial disclosures by separately reporting servicing income and servicing expense in its Consolidated Statements of Comprehensive Income (Loss). Servicing income and servicing expense were previously included within Other income (loss). As a result of this change, prior periods have been adjusted to conform to the current presentation.
In addition, the Company consolidated certain line items in its Consolidated Statements of Comprehensive Income (Loss) in an effort to streamline and simplify its financial presentation. Amounts previously reported under Net interest component of interest rate swaps, Realized gains (losses) on termination or maturity of interest rate swaps, Unrealized gains (losses) on interest rate swaps and Net gains (losses) on other derivatives are combined into a single line item titled Net gains (losses) on derivatives. Similarly, amounts previously reported under Net gains (losses) on disposal of investments and other and Net unrealized gains (losses) on instruments measured at fair value through earnings are combined into a single line item titled Net gains (losses) on investments and other. As a result of these changes, prior periods have been adjusted to conform to the current presentation.
Commencing with the Company’s financial results for the quarter ended June 30, 2021 and for subsequent reporting periods, the Company has relabeled “Core Earnings (excluding PAA)” as “Earnings Available for Distribution” (“EAD”). Earnings Available for Distribution, which is a non-GAAP financial measure intended to supplement the Company’s financial results computed in accordance with U.S. generally accepted accounting principles (“GAAP”), has replaced the Company’s prior presentation of Core Earnings (excluding PAA). In addition, Core Earnings (excluding PAA) results from prior reporting periods have been relabeled Earnings Available for Distribution. In line with evolving industry practices, the Company believes the term Earnings Available for Distribution more accurately reflects the principal purpose of the measure than the term Core Earnings (excluding PAA) and serves as a useful indicator for investors in evaluating the Company’s performance and its ability to pay dividends.
The definition of Earnings Available for Distribution is identical to the definition of Core Earning (excluding PAA) from prior reporting periods. As such, Earnings Available for Distribution 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 depreciation expense related to commercial real estate and 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.
Earnings Available for Distribution should not be considered a substitute for, or superior to, GAAP net income. Please refer to the "Non-GAAP Financial Measures" section for a detailed discussion of Earnings Available for Distribution.
In addition, beginning with the quarter ended June 30, 2021, the Company began classifying certain portfolio activity- or volume-related expenses (including but not limited to brokerage and commission fees, due diligence costs and securitization expenses) as Other income (loss) rather than Other general and administrative expenses in the Consolidated Statements of Comprehensive Income (Loss) to better reflect the nature of the items. As such, prior periods have been conformed to the current presentation.
Other Information
This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, risks and uncertainties related to the COVID-19 pandemic, including as related to adverse economic conditions on real estate-related assets and financing conditions; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of our assets; changes in business conditions and the general economy; operational risks or risk management failures by us or critical third parties, including cybersecurity incidents; our ability to grow our residential credit business; the sale of our middle market lending business; credit risks related to our investments in credit risk transfer securities, residential mortgage-backed securities and related residential mortgage credit assets and corporate debt; risks related to investments in mortgage servicing rights; our ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting our business; our ability to maintain our qualification as a REIT for U.S. federal income tax purposes; and our ability to maintain our exemption from registration under the Investment Company Act. 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.
Annaly routinely posts important information for investors on the Company’s website, www.annaly.com. Annaly intends to use this webpage as a means of disclosing material, non-public information, for complying with the Company’s disclosure obligations under Regulation FD and to post and update investor presentations and similar materials on a regular basis. Annaly encourages investors, analysts, the media and others interested in Annaly to monitor the Company’s website, in addition to following Annaly’s press releases, SEC filings, public conference calls, presentations, webcasts and other information it posts from time to time on its website. To sign-up for email-notifications, please visit the "Investors" section of our website, www.annaly.com, then click on "Investor Resources" and select "Email Alerts" to complete the email notification form. The information contained on, or that may be accessed through, the Company’s webpage is not incorporated by reference into, and is not a part of, this document.
The Company prepares a supplemental investor presentation and a financial summary for the benefit of its shareholders. Both the First Quarter 2022 Investor Presentation and the First Quarter 2022 Financial Summary can be found at the Company’s website (www.annaly.com) in the Investors section under Investor Presentations.
Conference Call
The Company will hold the first quarter 2022 earnings conference call on April 28, 2022 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/10164945/f20d8f5d22. 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 4986417. 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) |
||||||||||||||||||||
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|||||||||||
|
(unaudited) |
|
|
|
(unaudited) |
|
(unaudited) |
|
(unaudited) |
|||||||||||
Assets |
|
|
|
|
|
|
|
|
|
|||||||||||
Cash and cash equivalents |
$ |
955,840 |
|
|
$ |
1,342,090 |
|
|
$ |
1,046,300 |
|
|
$ |
1,380,456 |
|
|
$ |
1,122,793 |
|
|
Securities |
|
60,727,637 |
|
|
|
63,655,674 |
|
|
|
65,622,352 |
|
|
|
69,032,335 |
|
|
|
71,849,437 |
|
|
Loans, net |
|
3,617,818 |
|
|
|
4,242,043 |
|
|
|
3,580,521 |
|
|
|
3,563,008 |
|
|
|
2,603,343 |
|
|
Mortgage servicing rights |
|
1,108,937 |
|
|
|
544,562 |
|
|
|
572,259 |
|
|
|
202,616 |
|
|
|
113,080 |
|
|
Interests in MSR |
|
85,653 |
|
|
|
69,316 |
|
|
|
57,530 |
|
|
|
49,035 |
|
|
|
— |
|
|
Assets transferred or pledged to securitization vehicles |
|
7,809,307 |
|
|
|
6,086,308 |
|
|
|
4,738,481 |
|
|
|
4,073,156 |
|
|
|
3,768,922 |
|
|
Assets of disposal group held for sale |
|
— |
|
|
|
194,138 |
|
|
|
238,042 |
|
|
|
3,302,001 |
|
|
|
4,400,723 |
|
|
Derivative assets |
|
964,075 |
|
|
|
170,370 |
|
|
|
331,395 |
|
|
|
181,889 |
|
|
|
891,474 |
|
|
Receivable for unsettled trades |
|
407,225 |
|
|
|
2,656 |
|
|
|
42,482 |
|
|
|
14,336 |
|
|
|
144,918 |
|
|
Principal and interest receivable |
|
246,739 |
|
|
|
234,983 |
|
|
|
234,810 |
|
|
|
250,210 |
|
|
|
259,655 |
|
|
Goodwill and intangible assets, net |
|
23,110 |
|
|
|
24,241 |
|
|
|
25,371 |
|
|
|
26,502 |
|
|
|
37,337 |
|
|
Other assets |
|
238,793 |
|
|
|
197,683 |
|
|
|
172,890 |
|
|
|
300,761 |
|
|
|
177,907 |
|
|
Total assets |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
76,662,433 |
|
|
$ |
82,376,305 |
|
|
$ |
85,369,589 |
|
|
Liabilities and stockholders’ equity |
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
|
|
|
|
|
|
|
|
|
|||||||||||
Repurchase agreements |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
55,475,420 |
|
|
$ |
60,221,067 |
|
|
$ |
61,202,477 |
|
|
Other secured financing |
|
914,255 |
|
|
|
903,255 |
|
|
|
729,555 |
|
|
|
909,655 |
|
|
|
922,605 |
|
|
Debt issued by securitization vehicles |
|
6,711,953 |
|
|
|
5,155,633 |
|
|
|
3,935,410 |
|
|
|
3,315,087 |
|
|
|
3,044,725 |
|
|
Participations issued |
|
775,432 |
|
|
|
1,049,066 |
|
|
|
641,006 |
|
|
|
315,810 |
|
|
|
180,527 |
|
|
Liabilities of disposal group held for sale |
|
— |
|
|
|
154,956 |
|
|
|
159,508 |
|
|
|
2,362,690 |
|
|
|
3,319,414 |
|
|
Derivative liabilities |
|
826,972 |
|
|
|
881,537 |
|
|
|
912,134 |
|
|
|
900,259 |
|
|
|
939,622 |
|
|
Payable for unsettled trades |
|
1,992,568 |
|
|
|
147,908 |
|
|
|
571,540 |
|
|
|
154,405 |
|
|
|
1,070,080 |
|
|
Interest payable |
|
80,870 |
|
|
|
91,176 |
|
|
|
109,586 |
|
|
|
173,721 |
|
|
|
100,949 |
|
|
Dividends payable |
|
321,423 |
|
|
|
321,142 |
|
|
|
318,986 |
|
|
|
317,714 |
|
|
|
307,671 |
|
|
Other liabilities |
|
456,388 |
|
|
|
94,423 |
|
|
|
91,421 |
|
|
|
66,721 |
|
|
|
213,924 |
|
|
Total liabilities |
|
64,706,364 |
|
|
|
63,568,739 |
|
|
|
62,944,566 |
|
|
|
68,737,129 |
|
|
|
71,301,994 |
|
|
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) |
|
14,610 |
|
|
|
14,597 |
|
|
|
14,499 |
|
|
|
14,442 |
|
|
|
13,985 |
|
|
Additional paid-in capital |
|
20,321,952 |
|
|
|
20,313,832 |
|
|
|
20,228,366 |
|
|
|
20,178,692 |
|
|
|
19,754,826 |
|
|
Accumulated other comprehensive income (loss) |
|
(2,465,482 |
) |
|
|
958,410 |
|
|
|
1,638,638 |
|
|
|
1,780,275 |
|
|
|
2,002,231 |
|
|
Accumulated deficit |
|
(7,980,407 |
) |
|
|
(9,653,582 |
) |
|
|
(9,720,270 |
) |
|
|
(9,892,863 |
) |
|
|
(9,251,804 |
) |
|
Total stockholders’ equity |
|
11,427,242 |
|
|
|
13,169,826 |
|
|
|
13,697,802 |
|
|
|
13,617,115 |
|
|
|
14,055,807 |
|
|
Noncontrolling interests |
|
51,528 |
|
|
|
25,499 |
|
|
|
20,065 |
|
|
|
22,061 |
|
|
|
11,788 |
|
|
Total equity |
|
11,478,770 |
|
|
|
13,195,325 |
|
|
|
13,717,867 |
|
|
|
13,639,176 |
|
|
|
14,067,595 |
|
|
Total liabilities and equity |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
76,662,433 |
|
|
$ |
82,376,305 |
|
|
$ |
85,369,589 |
|
|
|
(1) |
Derived from the audited consolidated financial statements at December 31, 2021. |
|
(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 2,936,500,000 shares authorized. Includes 1,461,012,252 shares issued and outstanding at March 31, 2022; 1,459,736,258 shares issued and outstanding at December 31, 2021; 1,449,935,017 shares issued and outstanding at September 30, 2021; 1,444,156,029 shares issued and outstanding at June 30, 2021; 1,398,502,906 shares issued and outstanding at March 31, 2021. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) |
||||||||||||||||||||
|
For the quarters ended |
|||||||||||||||||||
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|||||||||||
Net interest income |
|
|
|
|
|
|
|
|
|
|||||||||||
Interest income |
$ |
655,850 |
|
|
$ |
422,780 |
|
|
$ |
412,972 |
|
|
$ |
383,906 |
|
|
$ |
763,378 |
|
|
Interest expense |
|
74,922 |
|
|
|
61,785 |
|
|
|
50,438 |
|
|
|
61,047 |
|
|
|
75,973 |
|
|
Net interest income |
|
580,928 |
|
|
|
360,995 |
|
|
|
362,534 |
|
|
|
322,859 |
|
|
|
687,405 |
|
|
Net servicing income |
|
|
|
|
|
|
|
|
|
|||||||||||
Servicing and related income |
|
34,715 |
|
|
|
31,322 |
|
|
|
17,948 |
|
|
|
10,519 |
|
|
|
9,229 |
|
|
Servicing and related expense |
|
3,757 |
|
|
|
4,290 |
|
|
|
3,012 |
|
|
|
2,603 |
|
|
|
2,297 |
|
|
Net servicing income |
|
30,958 |
|
|
|
27,032 |
|
|
|
14,936 |
|
|
|
7,916 |
|
|
|
6,932 |
|
|
Other income (loss) |
|
|
|
|
|
|
|
|
|
|||||||||||
Net gains (losses) on investments and other |
|
(159,804 |
) |
|
|
(40,473 |
) |
|
|
102,819 |
|
|
|
20,207 |
|
|
|
38,405 |
|
|
Net gains (losses) on derivatives |
|
1,642,028 |
|
|
|
135,359 |
|
|
|
84,950 |
|
|
|
(581,962 |
) |
|
|
1,169,383 |
|
|
Loan loss (provision) reversal |
|
(608 |
) |
|
|
(194 |
) |
|
|
6,134 |
|
|
|
(494 |
) |
|
|
139,620 |
|
|
Business divestiture-related gains (losses) |
|
(354 |
) |
|
|
(16,514 |
) |
|
|
(14,009 |
) |
|
|
1,527 |
|
|
|
(249,563 |
) |
|
Other, net |
|
3,058 |
|
|
|
(415 |
) |
|
|
1,285 |
|
|
|
(6,241 |
) |
|
|
6,536 |
|
|
Total other income (loss) |
|
1,484,320 |
|
|
|
77,763 |
|
|
|
181,179 |
|
|
|
(566,963 |
) |
|
|
1,104,381 |
|
|
General and administrative expenses |
|
|
|
|
|
|
|
|
|
|||||||||||
Compensation and management fee |
|
33,002 |
|
|
|
27,061 |
|
|
|
27,859 |
|
|
|
32,013 |
|
|
|
31,518 |
|
|
Other general and administrative expenses |
|
12,762 |
|
|
|
13,640 |
|
|
|
16,023 |
|
|
|
21,513 |
|
|
|
16,387 |
|
|
Total general and administrative expenses |
|
45,764 |
|
|
|
40,701 |
|
|
|
43,882 |
|
|
|
53,526 |
|
|
|
47,905 |
|
|
Income (loss) before income taxes |
|
2,050,442 |
|
|
|
425,089 |
|
|
|
514,767 |
|
|
|
(289,714 |
) |
|
|
1,750,813 |
|
|
Income taxes |
|
26,548 |
|
|
|
6,629 |
|
|
|
(6,767 |
) |
|
|
5,134 |
|
|
|
(321 |
) |
|
Net income (loss) |
|
2,023,894 |
|
|
|
418,460 |
|
|
|
521,534 |
|
|
|
(294,848 |
) |
|
|
1,751,134 |
|
|
Net income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
2,290 |
|
|
|
794 |
|
|
|
321 |
|
|
Net income (loss) attributable to Annaly |
|
2,022,255 |
|
|
|
415,481 |
|
|
|
519,244 |
|
|
|
(295,642 |
) |
|
|
1,750,813 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Net income (loss) available (related) to common stockholders |
$ |
1,995,372 |
|
|
$ |
388,598 |
|
|
$ |
492,361 |
|
|
$ |
(322,525 |
) |
|
$ |
1,723,930 |
|
|
Net income (loss) per share available (related) to common stockholders |
|
|
|
|
|
|
|
|
||||||||||||
Basic |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
0.34 |
|
|
$ |
(0.23 |
) |
|
$ |
1.23 |
|
|
Diluted |
$ |
1.36 |
|
|
$ |
0.27 |
|
|
$ |
0.34 |
|
|
$ |
(0.23 |
) |
|
$ |
1.23 |
|
|
Weighted average number of common shares outstanding |
|
|
|
|
|
|
|
|
||||||||||||
Basic |
|
1,461,363,637 |
|
|
|
1,454,138,154 |
|
|
|
1,445,315,914 |
|
|
|
1,410,239,138 |
|
|
|
1,399,210,925 |
|
|
Diluted |
|
1,462,451,965 |
|
|
|
1,455,411,503 |
|
|
|
1,446,357,867 |
|
|
|
1,410,239,138 |
|
|
|
1,400,000,727 |
|
|
Other comprehensive income (loss) |
|
|
|
|
|
|
|
|
||||||||||||
Net income (loss) |
$ |
2,023,894 |
|
|
$ |
418,460 |
|
|
$ |
521,534 |
|
|
$ |
(294,848 |
) |
|
$ |
1,751,134 |
|
|
Unrealized gains (losses) on available-for-sale securities |
|
(3,568,679 |
) |
|
|
(685,699 |
) |
|
|
(113,451 |
) |
|
|
(191,541 |
) |
|
|
(1,428,927 |
) |
|
Reclassification adjustment for net (gains) losses included in net income (loss) |
|
144,787 |
|
|
|
5,471 |
|
|
|
(28,186 |
) |
|
|
(30,415 |
) |
|
|
56,823 |
|
|
Other comprehensive income (loss) |
|
(3,423,892 |
) |
|
|
(680,228 |
) |
|
|
(141,637 |
) |
|
|
(221,956 |
) |
|
|
(1,372,104 |
) |
|
Comprehensive income (loss) |
|
(1,399,998 |
) |
|
|
(261,768 |
) |
|
|
379,897 |
|
|
|
(516,804 |
) |
|
|
379,030 |
|
|
Comprehensive income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
2,290 |
|
|
|
794 |
|
|
|
321 |
|
|
Comprehensive income (loss) attributable to Annaly |
|
(1,401,637 |
) |
|
|
(264,747 |
) |
|
|
377,607 |
|
|
|
(517,598 |
) |
|
|
378,709 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Comprehensive income (loss) attributable to common stockholders |
$ |
(1,428,520 |
) |
|
$ |
(291,630 |
) |
|
$ |
350,724 |
|
|
$ |
(544,481 |
) |
|
$ |
351,826 |
|
|
|
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 March 31, 2022, December 31, 2021, and March 31, 2021:
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Portfolio related metrics |
|
|
|
|
|
|||||||
Fixed-rate Residential Securities as a percentage of total Residential Securities |
|
97 |
% |
|
|
97 |
% |
|
|
97 |
% |
|
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities |
|
3 |
% |
|
|
3 |
% |
|
|
3 |
% |
|
Weighted average experienced CPR for the period |
|
16.7 |
% |
|
|
21.4 |
% |
|
|
23.9 |
% |
|
Weighted average projected long-term CPR at period-end |
|
9.5 |
% |
|
|
12.7 |
% |
|
|
11.8 |
% |
|
Liabilities and hedging metrics |
|
|
|
|
|
|||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end |
|
68 |
|
|
|
52 |
|
|
|
88 |
|
|
Hedge ratio (1) |
|
109 |
% |
|
|
95 |
% |
|
|
75 |
% |
|
Weighted average pay rate on interest rate swaps at period-end (2) |
|
0.70 |
% |
|
|
0.59 |
% |
|
|
0.80 |
% |
|
Weighted average receive rate on interest rate swaps at period-end (2) |
|
0.50 |
% |
|
|
0.08 |
% |
|
|
0.34 |
% |
|
Weighted average net rate on interest rate swaps at period-end (2) |
|
0.20 |
% |
|
|
0.51 |
% |
|
|
0.46 |
% |
|
GAAP leverage at period-end (3) |
5.3:1 |
|
|
4.7:1 |
|
|
4.6:1 |
|
||||
GAAP capital ratio at period-end (4) |
|
15.1 |
% |
|
|
17.2 |
% |
|
|
16.5 |
% |
|
Performance related metrics |
|
|
|
|
|
|||||||
Book value per common share |
$ |
6.77 |
|
|
$ |
7.97 |
|
|
$ |
8.95 |
|
|
GAAP net income (loss) per average common share (5) |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Net interest margin (6) |
|
3.20 |
% |
|
|
1.97 |
% |
|
|
3.39 |
% |
|
Average yield on interest earning assets (7) |
|
3.61 |
% |
|
|
2.31 |
% |
|
|
3.76 |
% |
|
Average GAAP cost of interest bearing liabilities (8) |
|
0.48 |
% |
|
|
0.38 |
% |
|
|
0.42 |
% |
|
Net interest spread |
|
3.13 |
% |
|
|
1.93 |
% |
|
|
3.34 |
% |
|
Dividend declared per common share |
$ |
0.22 |
|
|
$ |
0.22 |
|
|
$ |
0.22 |
|
|
Annualized dividend yield (9) |
|
12.50 |
% |
|
|
11.25 |
% |
|
|
10.23 |
% |
|
Non-GAAP metrics * |
|
|
|
|
|
|||||||
Earnings available for distribution per average common share (5) |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized EAD return on average equity (excluding PAA) |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
|
Economic leverage at period-end (3) |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
Economic capital ratio at period end (4) |
|
13.1 |
% |
|
|
14.4 |
% |
|
|
13.7 |
% |
|
Net interest margin (excluding PAA) (6) |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
Average yield on interest earning assets (excluding PAA) (7) |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average economic cost of interest bearing liabilities (8) |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Net interest spread (excluding PAA) |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
* |
Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. |
|
(1) |
Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. |
|
(2) |
Excludes forward starting swaps. |
|
(3) |
GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage. |
|
(4) |
GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles. |
|
(5) |
Net of dividends on preferred stock. |
|
(6) |
Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances. |
|
(7) |
Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). |
|
(8) |
Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
|
(9) |
Based on the closing price of the Company’s common stock of $7.04, $7.82 and $8.60 at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
The following table contains additional information on our investment portfolio as of the dates presented:
|
For the quarters ended |
|||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||
Agency mortgage-backed securities |
$ |
57,787,141 |
|
$ |
60,525,605 |
|
$ |
69,637,229 |
||
Residential credit risk transfer securities |
|
845,809 |
|
|
936,228 |
|
|
930,983 |
||
Non-agency mortgage-backed securities |
|
1,737,333 |
|
|
1,663,336 |
|
|
1,277,104 |
||
Commercial mortgage-backed securities |
|
357,354 |
|
|
530,505 |
|
|
4,121 |
||
Total securities |
$ |
60,727,637 |
|
$ |
63,655,674 |
|
$ |
71,849,437 |
||
Residential mortgage loans |
$ |
1,650,151 |
|
$ |
2,272,072 |
|
$ |
528,868 |
||
Residential mortgage loan warehouse facility |
|
— |
|
|
980 |
|
|
— |
||
Corporate debt |
|
1,967,667 |
|
|
1,968,991 |
|
|
2,074,475 |
||
Total loans, net |
$ |
3,617,818 |
|
$ |
4,242,043 |
|
$ |
2,603,343 |
||
Mortgage servicing rights |
$ |
1,108,937 |
|
$ |
544,562 |
|
$ |
113,080 |
||
Interests in MSR |
$ |
85,653 |
|
$ |
69,316 |
|
$ |
— |
||
Agency mortgage-backed securities transferred or pledged to securitization vehicles |
$ |
544,991 |
|
$ |
589,873 |
|
$ |
598,118 |
||
Residential mortgage loans transferred or pledged to securitization vehicles |
|
7,264,316 |
|
|
5,496,435 |
|
|
3,170,804 |
||
Assets transferred or pledged to securitization vehicles |
$ |
7,809,307 |
|
$ |
6,086,308 |
|
$ |
3,768,922 |
||
Assets of disposal group held for sale |
$ |
— |
|
$ |
194,138 |
|
$ |
4,400,723 |
||
Total investment portfolio |
$ |
73,349,352 |
|
$ |
74,792,041 |
|
$ |
82,735,505 |
||
|
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:
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 depreciation expense related to commercial real estate and 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 |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
|
(dollars in thousands, except per share data) |
|||||||||||
GAAP net income (loss) |
$ |
2,023,894 |
|
|
$ |
418,460 |
|
|
$ |
1,751,134 |
|
|
Net income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
321 |
|
|
Net income (loss) attributable to Annaly |
|
2,022,255 |
|
|
|
415,481 |
|
|
|
1,750,813 |
|
|
Adjustments to exclude reported realized and unrealized (gains) losses |
|
|
|
|
|
|||||||
Net (gains) losses on investments and other |
|
159,804 |
|
|
|
40,473 |
|
|
|
(38,405 |
) |
|
Net (gains) losses on derivatives (1) |
|
(1,704,569 |
) |
|
|
(194,256 |
) |
|
|
(1,249,130 |
) |
|
Loan loss provision (reversal) (2) |
|
812 |
|
|
|
1,931 |
|
|
|
(144,870 |
) |
|
Business divestiture-related (gains) losses |
|
354 |
|
|
|
16,514 |
|
|
|
249,563 |
|
|
Other adjustments |
||||||||||||
Depreciation expense related to commercial real estate and amortization of intangibles (3) |
|
1,130 |
|
|
|
1,144 |
|
|
|
7,324 |
|
|
Non-EAD (income) loss allocated to equity method investments (4) |
|
(9,920 |
) |
|
|
(2,345 |
) |
|
|
(9,680 |
) |
|
Transaction expenses and non-recurring items (5) |
|
3,350 |
|
|
|
1,533 |
|
|
|
695 |
|
|
Income tax effect of non-EAD income (loss) items |
|
27,091 |
|
|
|
8,380 |
|
|
|
4,334 |
|
|
TBA dollar roll income and CMBX coupon income (6) |
|
129,492 |
|
|
|
119,657 |
|
|
|
98,933 |
|
|
MSR amortization (7) |
|
(19,652 |
) |
|
|
(25,864 |
) |
|
|
(15,488 |
) |
|
Plus: |
|
|
|
|
|
|||||||
Premium amortization adjustment cost (benefit) |
|
(179,516 |
) |
|
|
57,395 |
|
|
|
(214,570 |
) |
|
Earnings available for distribution * |
|
430,631 |
|
|
|
440,043 |
|
|
|
439,519 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Earnings available for distribution attributable to common stockholders * |
$ |
403,748 |
|
|
$ |
413,160 |
|
|
$ |
412,636 |
|
|
GAAP net income (loss) per average common share |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Earnings available for distribution per average common share * |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Annualized EAD return on average equity * |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
* |
Represents a non-GAAP financial measure. |
|
(1) |
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 ($62.5) million, ($58.9) million and ($79.7) million for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
|
(2) |
Includes $0.2 million, $1.7 million and ($5.3) million of loss provision (reversal) on the Company’s unfunded loan commitments for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). |
|
(3) |
Includes depreciation and amortization expense related to equity method investments. |
|
(4) |
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. |
|
(5) |
The quarters ended March 31, 2022, December 31, 2021 and March 31, 2021 include costs incurred in connection with securitizations of residential whole loans. |
|
(6) |
TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives. CMBX coupon income totaled $1.1 million, $1.1 million and $1.5 million for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
|
(7) |
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).
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 March 31, 2022, December 31, 2021, and March 31, 2021:
|
For the quarters ended |
||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
||||||
|
(dollars in thousands) |
||||||||||
Premium amortization expense (accretion) |
$ |
(25,353 |
) |
|
$ |
219,172 |
|
$ |
(11,891 |
) |
|
Less: PAA cost (benefit) |
|
(179,516 |
) |
|
|
57,395 |
|
|
(214,570 |
) |
|
Premium amortization expense (excluding PAA) |
$ |
154,163 |
|
|
$ |
161,777 |
|
$ |
202,679 |
|
|
|
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, mortgages payable 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 and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage.
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 |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic leverage ratio reconciliation |
(dollars in thousands) |
|||||||||||
Repurchase agreements |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
61,202,477 |
|
|
Other secured financing |
|
914,255 |
|
|
|
903,255 |
|
|
|
922,605 |
|
|
Debt issued by securitization vehicles |
|
6,711,953 |
|
|
|
5,155,633 |
|
|
|
3,044,725 |
|
|
Participations issued |
|
775,432 |
|
|
|
1,049,066 |
|
|
|
180,527 |
|
|
Debt included in liabilities of disposal group held for sale |
|
— |
|
|
|
112,144 |
|
|
|
3,260,788 |
|
|
Total GAAP debt |
$ |
61,028,143 |
|
|
$ |
61,989,741 |
|
|
$ |
68,611,122 |
|
|
Less Non-Recourse Debt: |
|
|
|
|
|
|||||||
Credit facilities (1) |
$ |
(914,255 |
) |
|
$ |
(903,255 |
) |
|
$ |
(922,605 |
) |
|
Debt issued by securitization vehicles |
|
(6,711,953 |
) |
|
|
(5,155,633 |
) |
|
|
(3,044,725 |
) |
|
Participations issued |
|
(775,432 |
) |
|
|
(1,049,066 |
) |
|
|
(180,527 |
) |
|
Non-recourse debt included in liabilities of disposal group held for sale |
|
— |
|
|
|
(112,144 |
) |
|
|
(2,968,620 |
) |
|
Total recourse debt |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
61,494,645 |
|
|
Plus / (Less): |
|
|
|
|
|
|||||||
Cost basis of TBA and CMBX derivatives |
$ |
19,006,949 |
|
|
$ |
20,690,768 |
|
|
$ |
23,538,792 |
|
|
Payable for unsettled trades |
|
1,992,568 |
|
|
|
147,908 |
|
|
|
1,070,080 |
|
|
Receivable for unsettled trades |
|
(407,225 |
) |
|
|
(2,656 |
) |
|
|
(144,918 |
) |
|
Economic debt * |
$ |
73,218,795 |
|
|
$ |
75,605,663 |
|
|
$ |
85,958,599 |
|
|
Total equity |
$ |
11,478,770 |
|
|
$ |
13,195,325 |
|
|
$ |
14,067,595 |
|
|
Economic leverage ratio * |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
|
|
|
|
|
|
* |
Represents a non-GAAP financial measure. |
|
(1) |
Included in Other secured financing in the Company’s Consolidated Statements of Financial Condition. |
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 |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic capital ratio reconciliation |
(dollars in thousands) |
|||||||||||
Total GAAP assets |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
85,369,589 |
|
|
Less: |
|
|
|
|
|
|||||||
Gross unrealized gains on TBA derivatives (1) |
|
(24,757 |
) |
|
|
(52,693 |
) |
|
|
(17,404 |
) |
|
Debt issued by securitization vehicles (2) |
|
(6,711,953 |
) |
|
|
(5,155,633 |
) |
|
|
(5,587,281 |
) |
|
Plus: |
|
|
|
|
|
|||||||
Implied market value of TBA derivatives |
|
18,284,708 |
|
|
|
20,338,633 |
|
|
|
22,793,892 |
|
|
Total economic assets * |
$ |
87,733,132 |
|
|
$ |
91,894,371 |
|
|
$ |
102,558,796 |
|
|
Total equity |
$ |
11,478,770 |
|
|
$ |
13,195,325 |
|
|
$ |
14,067,595 |
|
|
Economic capital ratio (3) |
|
13.1 |
% |
|
|
14.4 |
% |
|
|
13.7 |
% |
|
|
|
|
|
|
|
* |
Represents a non-GAAP financial measure. |
|
(1) |
Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition. |
|
(2) |
Includes debt issued by securitization vehicles reported in Liabilities of disposal group held for sale in the Company's Consolidated Statements of Financial Condition. |
|
(3) |
Economic capital ratio is computed as total equity divided by total economic assets. |
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 and the net interest component of interest rate swaps. 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). The Company did not enter into any MAC interest rate swaps during the quarter ended March 31, 2022.
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 |
||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
||||||
Interest income (excluding PAA) reconciliation |
(dollars in thousands) |
||||||||||
GAAP interest income |
$ |
655,850 |
|
|
$ |
422,780 |
|
$ |
763,378 |
|
|
Premium amortization adjustment |
|
(179,516 |
) |
|
|
57,395 |
|
|
(214,570 |
) |
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
$ |
548,808 |
|
|
Economic interest expense reconciliation |
|
|
|
|
|
||||||
GAAP interest expense |
$ |
74,922 |
|
|
$ |
61,785 |
|
$ |
75,973 |
|
|
Add: |
|
|
|
|
|
||||||
Net interest component of interest rate swaps |
|
62,541 |
|
|
|
58,897 |
|
|
79,747 |
|
|
Economic interest expense * |
$ |
137,463 |
|
|
$ |
120,682 |
|
$ |
155,720 |
|
|
Economic net interest income (excluding PAA) reconciliation |
|
|
|
|
|||||||
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
$ |
548,808 |
|
|
Less: |
|
|
|
|
|
||||||
Economic interest expense * |
|
137,463 |
|
|
|
120,682 |
|
|
155,720 |
|
|
Economic net interest income (excluding PAA) * |
$ |
338,871 |
|
|
$ |
359,493 |
|
$ |
393,088 |
|
|
|
|||||||||||
* Represents a non-GAAP financial measure. |
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 interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances, 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 |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic metrics (excluding PAA) |
(dollars in thousands) |
|||||||||||
Average interest earning assets |
$ |
72,590,876 |
|
|
$ |
73,134,966 |
|
|
$ |
81,121,340 |
|
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
|
$ |
548,808 |
|
|
Average yield on interest earning assets (excluding PAA) * |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average interest bearing liabilities |
$ |
61,865,292 |
|
|
$ |
63,342,740 |
|
|
$ |
72,002,031 |
|
|
Economic interest expense * |
$ |
137,463 |
|
|
$ |
120,682 |
|
|
$ |
155,720 |
|
|
Average economic cost of interest bearing liabilities * |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Economic net interest income (excluding PAA) * |
$ |
338,871 |
|
|
$ |
359,493 |
|
|
$ |
393,088 |
|
|
Net interest spread (excluding PAA) * |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
|
$ |
548,808 |
|
|
TBA dollar roll income and CMBX coupon income |
|
129,492 |
|
|
|
119,657 |
|
|
|
98,933 |
|
|
Economic interest expense * |
|
(137,463 |
) |
|
|
(120,682 |
) |
|
|
(155,720 |
) |
|
Subtotal |
$ |
468,363 |
|
|
$ |
479,150 |
|
|
$ |
492,021 |
|
|
Average interest earnings assets |
$ |
72,590,876 |
|
|
$ |
73,134,966 |
|
|
$ |
81,121,340 |
|
|
Average TBA contract and CMBX balances |
|
19,229,537 |
|
|
|
21,159,120 |
|
|
|
21,865,969 |
|
|
Subtotal |
$ |
91,820,413 |
|
|
$ |
94,294,086 |
|
|
$ |
102,987,309 |
|
|
Net interest margin (excluding PAA) * |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
* Represents a non-GAAP financial measure. |
НЬЮ-ЙОРК - (BUSINESS WIRE) - Annaly Capital Management, Inc. (NYSE: NLY) ("Annaly" или "Компания") сегодня объявила о своих финансовых результатах за квартал, закончившийся 31 марта 2022 года.
Основные финансовые показатели
Основные моменты бизнеса
Инвестиции и стратегия
Финансирование и капитал
Корпоративная ответственность и управление
“Рыночная конъюнктура в первом квартале 2022 года была одной из самых сложных для компаний с фиксированным доходом за последние десятилетия, характеризовавшаяся исключительной волатильностью, значительным расширением спреда и заметным повышением базовых ставок”, - отметил Дэвид Финкельштейн, главный исполнительный директор и президент Annaly. “В то время как наш портфель продолжал приносить высокую прибыль, наша балансовая стоимость не была застрахована от последствий низкой эффективности агентства MBS, вызванной турбулентностью рынка. Мы сохраняем дисциплинированность, учитывая наши ожидания сохранения волатильности, хотя нас обнадеживает улучшение доходности новых инвестиций, обеспечиваемое более широкими спредами, большей определенностью денежных потоков по ипотечным кредитам в условиях более низкой предоплаты и дополнительной ясностью в отношении количественного ужесточения.
Кроме того, объявленная продажа нашего кредитного портфеля для среднего рынка по итогам квартала знаменует собой значительное стратегическое достижение, которое выгодно акционерам Annaly. В сочетании с недавней ликвидацией нашего бизнеса в сфере коммерческой недвижимости и расширением бизнеса MSR и жилищного кредитования, сделка позволяет Annaly направить дополнительный капитал в нашу основную стратегию финансирования жилищного строительства и продолжать развивать синергию между нашим Агентством, MSR и портфелями жилищных кредитов ”.
(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 $7.8 billion, include TBA purchase contracts (market value) of $18.3 billion, CMBX derivatives (market value) of $0.4 billion and $0.9 billion of retained securities that are eliminated in consolidation and are shown net of participations issued totaling $0.8 billion. |
|
(2) |
Includes limited partnership interests in two MSR funds, one of which is reported in Other Assets. |
|
(3) |
Annaly announced the sale of its Middle Market Lending portfolio on April 25, 2022. The transaction represents substantially all of the Middle Market Lending assets held on balance sheet as well as assets managed for third parties. Subject to customary closing conditions, the transfer of the Middle Market Lending portfolio is expected to be completed by end of the second quarter of 2022. For more information, please see the 8-K filing. |
|
(4) |
Issuer ranking data from Inside Nonconforming Markets as of April 9, 2022. |
Финансовые показатели
В следующей таблице приведены некоторые ключевые показатели эффективности по состоянию на и за кварталы, закончившиеся 31 марта 2022 года, 31 декабря 2021 года и 31 марта 2021 года:
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Book value per common share |
$ |
6.77 |
|
|
$ |
7.97 |
|
|
$ |
8.95 |
|
|
GAAP leverage at period-end (1) |
5.3:1 |
|
|
4.7:1 |
|
|
4.6:1 |
|
||||
GAAP net income (loss) per average common share (2) |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Net interest margin (3) |
|
3.20 |
% |
|
|
1.97 |
% |
|
|
3.39 |
% |
|
Average yield on interest earning assets (4) |
|
3.61 |
% |
|
|
2.31 |
% |
|
|
3.76 |
% |
|
Average GAAP cost of interest bearing liabilities (5) |
|
0.48 |
% |
|
|
0.38 |
% |
|
|
0.42 |
% |
|
Net interest spread |
|
3.13 |
% |
|
|
1.93 |
% |
|
|
3.34 |
% |
|
Non-GAAP metrics * |
|
|
|
|
|
|||||||
Earnings available for distribution per average common share (2) |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized EAD return on average equity |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
|
Economic leverage at period-end (1) |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
Net interest margin (excluding PAA) (3) |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
Average yield on interest earning assets (excluding PAA) (4) |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average economic cost of interest bearing liabilities (5) |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Net interest spread (excluding PAA) |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
* |
Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. |
|
(1) |
GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage. |
|
(2) |
Net of dividends on preferred stock. |
|
(3) |
Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average Interest Earning Assets plus average outstanding TBA contract and CMBX balances. PAA represents the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities. |
|
(4) |
Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). |
|
(5) |
Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
Обновления финансовой информации
Начиная с квартала, закончившегося 31 марта 2022 года, в свете продолжающегося роста портфеля прав на обслуживание ипотечных кредитов, Компания расширила раскрытие финансовой информации, отдельно отражая доходы от обслуживания и расходы по обслуживанию в своих Консолидированных отчетах о совокупном доходе (убытке). Доходы от обслуживания и расходы на обслуживание ранее были включены в состав прочих доходов (убытков). В результате этого изменения предыдущие периоды были скорректированы в соответствии с текущим представлением.
Кроме того, Компания консолидировала определенные статьи в своих Консолидированных отчетах о совокупном доходе (убытке) в целях оптимизации и упрощения своего финансового представления. Суммы, ранее отраженные в составе Чистого процентного компонента процентных свопов, Реализованных прибылей (убытков) от прекращения или погашения процентных свопов, Нереализованных прибылей (убытков) по процентным свопам и Чистых прибылей (убытков) по прочим производным инструментам, объединяются в одну статью под названием "Чистые прибыли (убытки) по производным инструментам". Аналогичным образом, суммы, ранее отраженные в разделе "Чистая прибыль (убытки) от выбытия инвестиций и прочего" и "Чистая нереализованная прибыль (убытки) от инструментов, оцениваемых по справедливой стоимости через прибыль", объединяются в одну статью под названием "Чистая прибыль (убытки) от инвестиций и прочего". В результате этих изменений предыдущие периоды были скорректированы в соответствии с текущим представлением.
Начиная с финансовых результатов Компании за квартал, закончившийся 30 июня 2021 года, и за последующие отчетные периоды, Компания изменила маркировку “Основная прибыль (без учета PAA)” на “Прибыль, доступная для распределения” (“EAD”). Прибыль, доступная для распределения, которая является финансовым показателем, не относящимся к GAAP, предназначенным для дополнения финансовых результатов Компании, рассчитанных в соответствии с общепринятыми принципами бухгалтерского учета США (“GAAP”), заменила предыдущее представление Компанией Основной прибыли (за исключением PAA). Кроме того, результаты основной прибыли (за исключением PAA) за предыдущие отчетные периоды были повторно помечены как Доходы, доступные для распределения. В соответствии с развивающейся отраслевой практикой Компания считает, что термин "Прибыль, доступная для распределения" более точно отражает основную цель показателя, чем термин "Базовая прибыль" (исключая PAA), и служит полезным индикатором для инвесторов при оценке результатов деятельности Компании и ее способности выплачивать дивиденды.
Определение Дохода, доступного для распределения, идентично определению Основного дохода (за исключением заработной платы) за предыдущие отчетные периоды. Таким образом, прибыль, доступная для распределения, определяется как сумма (а) экономического чистого процентного дохода, (б) дохода от рулона в долларах TBA и купонного дохода CMBX, (в) чистого дохода от обслуживания за вычетом реализованной амортизации MSR, (г) прочих доходов (убытков) (за исключением расходов на амортизацию, связанных с коммерческими недвижимость и амортизация нематериальных активов, доход, не относящийся к EAD, отнесенный на инвестиции по методу долевого участия, и другие компоненты прочих доходов (убытков), не относящиеся к EAD), (e) общие и административные расходы (за исключением операционных расходов и единовременных статей) и (f) налоги на прибыль (за исключением эффекта подоходного налога от статьи дохода (убытка), не относящиеся к EAD) и исключает (g) корректировку амортизационной премии ("PAA"), представляющую совокупное влияние на предыдущие периоды, но не на текущий период, изменений в расчетных долгосрочных скоростях предоплаты по сравнению с предыдущим кварталом, связанных с агентскими ипотечными кредитами Компании ценные бумаги.
Прибыль, доступная для распределения, не должна рассматриваться как замена или превосходящая чистую прибыль по ОПБУ. Пожалуйста, обратитесь к разделу "Финансовые показатели, не относящиеся к GAAP", для подробного обсуждения Доходов, доступных для распределения.
Кроме того, начиная с квартала, закончившегося 30 июня 2021 года, Компания начала классифицировать определенные расходы, связанные с деятельностью портфеля или объемом (включая, но не ограничиваясь, брокерскими и комиссионными сборами, расходами на проведение due diligence и расходами на секьюритизацию), как Прочие доходы (убытки), а не прочие общие и административные расходы в Консолидированном отчете Отчеты о совокупном доходе (убытке) для лучшего отражения характера статей. Таким образом, предыдущие периоды были приведены в соответствие с текущим представлением.
Дополнительная Информация
Этот пресс-релиз и наши публичные документы, на которые мы ссылаемся, содержат или включают в себя ссылки на определенные прогнозные заявления, которые основаны на различных предположениях (некоторые из которых находятся вне нашего контроля) и могут быть идентифицированы путем ссылки на будущий период или периоды или с помощью прогнозной терминологии, такой как "может", "будет", "верить", "ожидать", "предвидеть", "продолжать" или аналогичные термины или варианты этих терминов или отрицательные значения этих терминов. Фактические результаты могут существенно отличаться от тех, указанными в прогнозных заявлениях из-за ряда факторов, включая, но не ограничиваясь, риски и неопределенность, связанная с COVID-19 пандемией, в том числе связанные с неблагоприятными экономическими условиями в связанные с недвижимостью активы и условий финансирования, изменения процентных ставок; изменения в кривой доходности; изменения, в предоплате цены; доступность ипотечных ценных бумаг и других ценных бумаг для приобретения; наличие финансовых ресурсов и, при наличии, условия финансирования; изменения рыночной стоимости наших активов; изменение условий для бизнеса и экономики в целом; операционные риски и управление рисками сбоев нами или данные третьим лицам, в том числе инциденты кибербезопасности; нам возможность развивать наш жилого кредитного бизнеса; продажи нашего среднего бизнеса кредитование бизнеса, кредитные риски, связанные с инвестициями в кредитный риск передачи ценных бумаг, ипотечных ценных бумаг и предоставление ипотечных кредитных активов и корпоративного долга; риски, связанные с инвестициями в ипотечные права; нам возможность подтвердить какие-либо предполагаемые инвестиционные возможности; изменения в правительственные постановления или политика влияет на наш бизнес, наша способность поддерживать свою квалификацию как REIT для взимания федерального подоходного налога; и наши возможности для поддержания нашего освобождения от регистрации в соответствии с Законом Об инвестиционной компании. Для обсуждения рисков и неопределенностей, которые могут привести к тому, что фактические результаты будут отличаться от тех, которые содержатся в прогнозных заявлениях, см. раздел "Факторы риска" в нашем последнем Годовом отчете по форме 10-K и любых последующих квартальных отчетах по форме 10-Q. Компания не берет на себя и конкретно отказывается от каких-либо обязательств публично публиковать результаты любых изменений, которые могут быть внесены в любые прогнозные заявления, чтобы отразить наступление ожидаемых или непредвиденных событий или обстоятельств после даты таких заявлений, за исключением случаев, предусмотренных законом.
Annaly - ведущий диверсифицированный управляющий капиталом с инвестиционными стратегиями в области ипотечного финансирования. Основной бизнес-целью Annaly является получение чистого дохода для распределения среди своих акционеров и оптимизация доходности за счет разумного управления диверсифицированными инвестиционными стратегиями. Annaly управляется внутри компании и решила облагаться налогом как инвестиционный траст в недвижимость, или REIT, для целей федерального подоходного налога. Дополнительную информацию о компании можно найти по адресу www.annaly.com .
Annaly регулярно размещает важную информацию для инвесторов на веб-сайте Компании, www.annaly.com . Annaly намерена использовать эту веб-страницу в качестве средства раскрытия материалов, непубличной информации, для выполнения обязательств Компании по раскрытию информации в соответствии с Положением FD, а также для регулярного размещения и обновления презентаций для инвесторов и аналогичных материалов. Annaly призывает инвесторов, аналитиков, средства массовой информации и других лиц, заинтересованных в Annaly, следить за веб-сайтом Компании, в дополнение к отслеживанию пресс-релизов Annaly, заявок SEC, телефонных конференций, презентаций, веб-трансляций и другой информации, которую она время от времени публикует на своем веб-сайте. Чтобы подписаться на уведомления по электронной почте, пожалуйста, посетите раздел "Инвесторы" нашего веб-сайта, www.annaly.com , затем нажмите на "Ресурсы инвестора" и выберите "Оповещения по электронной почте", чтобы заполнить форму уведомления по электронной почте. Информация, содержащаяся на веб-странице Компании или доступ к которой возможен через нее, не включена путем ссылки в настоящий документ и не является его частью.
Компания готовит дополнительную презентацию для инвесторов и финансовую сводку в интересах своих акционеров. Как с Презентацией инвестора за первый квартал 2022 года, так и с Финансовым отчетом за первый квартал 2022 года можно ознакомиться на веб-сайте Компании (www.annaly.com ) в разделе "Инвесторы" в разделе "Презентации инвесторов".
Конференц-связь
Компания проведет селекторное совещание по доходам за первый квартал 2022 года 28 апреля 2022 года в 9:00 утра по восточному времени. Участникам рекомендуется предварительно зарегистрироваться для участия в конференц-звонке, чтобы получить уникальный PIN-код для получения немедленного доступа к вызову и обхода прямого оператора. Предварительная регистрация может быть завершена путем перехода по ссылке предварительной регистрации, расположенной на домашней странице или в разделе "Инвесторы" веб-сайта Компании по адресу www.annaly.com , или воспользовавшись следующей ссылкой: https://dpregister.com/sreg/10164945/f20d8f5d22 . Предварительная регистрация может быть завершена в любое время, в том числе до и после времени начала звонка.
Для участников, которые хотели бы присоединиться к вызову, но не прошли предварительную регистрацию, доступ можно получить, набрав 844-735-3317 в США или 412-317-5703 по всему миру и запросив "Annaly Earnings Call".
Также будет проведена аудиотрансляция звонка на www.annaly.com . Воспроизведение звонка будет доступно в течение одной недели после конференц-звонка. Номер повтора - 877-344-7529 для внутренних звонков и 412-317-0088 для международных звонков, а код доступа к конференции - 4986417. Если вы хотите быть добавлены в список рассылки по электронной почте, пожалуйста, посетите www.annaly.com , нажмите на Инвесторов, затем выберите Оповещения по электронной почте и заполните форму уведомления по электронной почте.
Финансовые отчеты
Annaly Capital Management, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars in thousands, except per share data) |
||||||||||||||||||||
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|||||||||||
|
(unaudited) |
|
|
|
(unaudited) |
|
(unaudited) |
|
(unaudited) |
|||||||||||
Assets |
|
|
|
|
|
|
|
|
|
|||||||||||
Cash and cash equivalents |
$ |
955,840 |
|
|
$ |
1,342,090 |
|
|
$ |
1,046,300 |
|
|
$ |
1,380,456 |
|
|
$ |
1,122,793 |
|
|
Securities |
|
60,727,637 |
|
|
|
63,655,674 |
|
|
|
65,622,352 |
|
|
|
69,032,335 |
|
|
|
71,849,437 |
|
|
Loans, net |
|
3,617,818 |
|
|
|
4,242,043 |
|
|
|
3,580,521 |
|
|
|
3,563,008 |
|
|
|
2,603,343 |
|
|
Mortgage servicing rights |
|
1,108,937 |
|
|
|
544,562 |
|
|
|
572,259 |
|
|
|
202,616 |
|
|
|
113,080 |
|
|
Interests in MSR |
|
85,653 |
|
|
|
69,316 |
|
|
|
57,530 |
|
|
|
49,035 |
|
|
|
— |
|
|
Assets transferred or pledged to securitization vehicles |
|
7,809,307 |
|
|
|
6,086,308 |
|
|
|
4,738,481 |
|
|
|
4,073,156 |
|
|
|
3,768,922 |
|
|
Assets of disposal group held for sale |
|
— |
|
|
|
194,138 |
|
|
|
238,042 |
|
|
|
3,302,001 |
|
|
|
4,400,723 |
|
|
Derivative assets |
|
964,075 |
|
|
|
170,370 |
|
|
|
331,395 |
|
|
|
181,889 |
|
|
|
891,474 |
|
|
Receivable for unsettled trades |
|
407,225 |
|
|
|
2,656 |
|
|
|
42,482 |
|
|
|
14,336 |
|
|
|
144,918 |
|
|
Principal and interest receivable |
|
246,739 |
|
|
|
234,983 |
|
|
|
234,810 |
|
|
|
250,210 |
|
|
|
259,655 |
|
|
Goodwill and intangible assets, net |
|
23,110 |
|
|
|
24,241 |
|
|
|
25,371 |
|
|
|
26,502 |
|
|
|
37,337 |
|
|
Other assets |
|
238,793 |
|
|
|
197,683 |
|
|
|
172,890 |
|
|
|
300,761 |
|
|
|
177,907 |
|
|
Total assets |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
76,662,433 |
|
|
$ |
82,376,305 |
|
|
$ |
85,369,589 |
|
|
Liabilities and stockholders’ equity |
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
|
|
|
|
|
|
|
|
|
|||||||||||
Repurchase agreements |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
55,475,420 |
|
|
$ |
60,221,067 |
|
|
$ |
61,202,477 |
|
|
Other secured financing |
|
914,255 |
|
|
|
903,255 |
|
|
|
729,555 |
|
|
|
909,655 |
|
|
|
922,605 |
|
|
Debt issued by securitization vehicles |
|
6,711,953 |
|
|
|
5,155,633 |
|
|
|
3,935,410 |
|
|
|
3,315,087 |
|
|
|
3,044,725 |
|
|
Participations issued |
|
775,432 |
|
|
|
1,049,066 |
|
|
|
641,006 |
|
|
|
315,810 |
|
|
|
180,527 |
|
|
Liabilities of disposal group held for sale |
|
— |
|
|
|
154,956 |
|
|
|
159,508 |
|
|
|
2,362,690 |
|
|
|
3,319,414 |
|
|
Derivative liabilities |
|
826,972 |
|
|
|
881,537 |
|
|
|
912,134 |
|
|
|
900,259 |
|
|
|
939,622 |
|
|
Payable for unsettled trades |
|
1,992,568 |
|
|
|
147,908 |
|
|
|
571,540 |
|
|
|
154,405 |
|
|
|
1,070,080 |
|
|
Interest payable |
|
80,870 |
|
|
|
91,176 |
|
|
|
109,586 |
|
|
|
173,721 |
|
|
|
100,949 |
|
|
Dividends payable |
|
321,423 |
|
|
|
321,142 |
|
|
|
318,986 |
|
|
|
317,714 |
|
|
|
307,671 |
|
|
Other liabilities |
|
456,388 |
|
|
|
94,423 |
|
|
|
91,421 |
|
|
|
66,721 |
|
|
|
213,924 |
|
|
Total liabilities |
|
64,706,364 |
|
|
|
63,568,739 |
|
|
|
62,944,566 |
|
|
|
68,737,129 |
|
|
|
71,301,994 |
|
|
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) |
|
14,610 |
|
|
|
14,597 |
|
|
|
14,499 |
|
|
|
14,442 |
|
|
|
13,985 |
|
|
Additional paid-in capital |
|
20,321,952 |
|
|
|
20,313,832 |
|
|
|
20,228,366 |
|
|
|
20,178,692 |
|
|
|
19,754,826 |
|
|
Accumulated other comprehensive income (loss) |
|
(2,465,482 |
) |
|
|
958,410 |
|
|
|
1,638,638 |
|
|
|
1,780,275 |
|
|
|
2,002,231 |
|
|
Accumulated deficit |
|
(7,980,407 |
) |
|
|
(9,653,582 |
) |
|
|
(9,720,270 |
) |
|
|
(9,892,863 |
) |
|
|
(9,251,804 |
) |
|
Total stockholders’ equity |
|
11,427,242 |
|
|
|
13,169,826 |
|
|
|
13,697,802 |
|
|
|
13,617,115 |
|
|
|
14,055,807 |
|
|
Noncontrolling interests |
|
51,528 |
|
|
|
25,499 |
|
|
|
20,065 |
|
|
|
22,061 |
|
|
|
11,788 |
|
|
Total equity |
|
11,478,770 |
|
|
|
13,195,325 |
|
|
|
13,717,867 |
|
|
|
13,639,176 |
|
|
|
14,067,595 |
|
|
Total liabilities and equity |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
76,662,433 |
|
|
$ |
82,376,305 |
|
|
$ |
85,369,589 |
|
|
|
(1) |
Derived from the audited consolidated financial statements at December 31, 2021. |
|
(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 2,936,500,000 shares authorized. Includes 1,461,012,252 shares issued and outstanding at March 31, 2022; 1,459,736,258 shares issued and outstanding at December 31, 2021; 1,449,935,017 shares issued and outstanding at September 30, 2021; 1,444,156,029 shares issued and outstanding at June 30, 2021; 1,398,502,906 shares issued and outstanding at March 31, 2021. |
Annaly Capital Management, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) |
||||||||||||||||||||
|
For the quarters ended |
|||||||||||||||||||
|
March 31,
|
|
December 31,
|
|
September 30,
|
|
June 30,
|
|
March 31,
|
|||||||||||
Net interest income |
|
|
|
|
|
|
|
|
|
|||||||||||
Interest income |
$ |
655,850 |
|
|
$ |
422,780 |
|
|
$ |
412,972 |
|
|
$ |
383,906 |
|
|
$ |
763,378 |
|
|
Interest expense |
|
74,922 |
|
|
|
61,785 |
|
|
|
50,438 |
|
|
|
61,047 |
|
|
|
75,973 |
|
|
Net interest income |
|
580,928 |
|
|
|
360,995 |
|
|
|
362,534 |
|
|
|
322,859 |
|
|
|
687,405 |
|
|
Net servicing income |
|
|
|
|
|
|
|
|
|
|||||||||||
Servicing and related income |
|
34,715 |
|
|
|
31,322 |
|
|
|
17,948 |
|
|
|
10,519 |
|
|
|
9,229 |
|
|
Servicing and related expense |
|
3,757 |
|
|
|
4,290 |
|
|
|
3,012 |
|
|
|
2,603 |
|
|
|
2,297 |
|
|
Net servicing income |
|
30,958 |
|
|
|
27,032 |
|
|
|
14,936 |
|
|
|
7,916 |
|
|
|
6,932 |
|
|
Other income (loss) |
|
|
|
|
|
|
|
|
|
|||||||||||
Net gains (losses) on investments and other |
|
(159,804 |
) |
|
|
(40,473 |
) |
|
|
102,819 |
|
|
|
20,207 |
|
|
|
38,405 |
|
|
Net gains (losses) on derivatives |
|
1,642,028 |
|
|
|
135,359 |
|
|
|
84,950 |
|
|
|
(581,962 |
) |
|
|
1,169,383 |
|
|
Loan loss (provision) reversal |
|
(608 |
) |
|
|
(194 |
) |
|
|
6,134 |
|
|
|
(494 |
) |
|
|
139,620 |
|
|
Business divestiture-related gains (losses) |
|
(354 |
) |
|
|
(16,514 |
) |
|
|
(14,009 |
) |
|
|
1,527 |
|
|
|
(249,563 |
) |
|
Other, net |
|
3,058 |
|
|
|
(415 |
) |
|
|
1,285 |
|
|
|
(6,241 |
) |
|
|
6,536 |
|
|
Total other income (loss) |
|
1,484,320 |
|
|
|
77,763 |
|
|
|
181,179 |
|
|
|
(566,963 |
) |
|
|
1,104,381 |
|
|
General and administrative expenses |
|
|
|
|
|
|
|
|
|
|||||||||||
Compensation and management fee |
|
33,002 |
|
|
|
27,061 |
|
|
|
27,859 |
|
|
|
32,013 |
|
|
|
31,518 |
|
|
Other general and administrative expenses |
|
12,762 |
|
|
|
13,640 |
|
|
|
16,023 |
|
|
|
21,513 |
|
|
|
16,387 |
|
|
Total general and administrative expenses |
|
45,764 |
|
|
|
40,701 |
|
|
|
43,882 |
|
|
|
53,526 |
|
|
|
47,905 |
|
|
Income (loss) before income taxes |
|
2,050,442 |
|
|
|
425,089 |
|
|
|
514,767 |
|
|
|
(289,714 |
) |
|
|
1,750,813 |
|
|
Income taxes |
|
26,548 |
|
|
|
6,629 |
|
|
|
(6,767 |
) |
|
|
5,134 |
|
|
|
(321 |
) |
|
Net income (loss) |
|
2,023,894 |
|
|
|
418,460 |
|
|
|
521,534 |
|
|
|
(294,848 |
) |
|
|
1,751,134 |
|
|
Net income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
2,290 |
|
|
|
794 |
|
|
|
321 |
|
|
Net income (loss) attributable to Annaly |
|
2,022,255 |
|
|
|
415,481 |
|
|
|
519,244 |
|
|
|
(295,642 |
) |
|
|
1,750,813 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Net income (loss) available (related) to common stockholders |
$ |
1,995,372 |
|
|
$ |
388,598 |
|
|
$ |
492,361 |
|
|
$ |
(322,525 |
) |
|
$ |
1,723,930 |
|
|
Net income (loss) per share available (related) to common stockholders |
|
|
|
|
|
|
|
|
||||||||||||
Basic |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
0.34 |
|
|
$ |
(0.23 |
) |
|
$ |
1.23 |
|
|
Diluted |
$ |
1.36 |
|
|
$ |
0.27 |
|
|
$ |
0.34 |
|
|
$ |
(0.23 |
) |
|
$ |
1.23 |
|
|
Weighted average number of common shares outstanding |
|
|
|
|
|
|
|
|
||||||||||||
Basic |
|
1,461,363,637 |
|
|
|
1,454,138,154 |
|
|
|
1,445,315,914 |
|
|
|
1,410,239,138 |
|
|
|
1,399,210,925 |
|
|
Diluted |
|
1,462,451,965 |
|
|
|
1,455,411,503 |
|
|
|
1,446,357,867 |
|
|
|
1,410,239,138 |
|
|
|
1,400,000,727 |
|
|
Other comprehensive income (loss) |
|
|
|
|
|
|
|
|
||||||||||||
Net income (loss) |
$ |
2,023,894 |
|
|
$ |
418,460 |
|
|
$ |
521,534 |
|
|
$ |
(294,848 |
) |
|
$ |
1,751,134 |
|
|
Unrealized gains (losses) on available-for-sale securities |
|
(3,568,679 |
) |
|
|
(685,699 |
) |
|
|
(113,451 |
) |
|
|
(191,541 |
) |
|
|
(1,428,927 |
) |
|
Reclassification adjustment for net (gains) losses included in net income (loss) |
|
144,787 |
|
|
|
5,471 |
|
|
|
(28,186 |
) |
|
|
(30,415 |
) |
|
|
56,823 |
|
|
Other comprehensive income (loss) |
|
(3,423,892 |
) |
|
|
(680,228 |
) |
|
|
(141,637 |
) |
|
|
(221,956 |
) |
|
|
(1,372,104 |
) |
|
Comprehensive income (loss) |
|
(1,399,998 |
) |
|
|
(261,768 |
) |
|
|
379,897 |
|
|
|
(516,804 |
) |
|
|
379,030 |
|
|
Comprehensive income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
2,290 |
|
|
|
794 |
|
|
|
321 |
|
|
Comprehensive income (loss) attributable to Annaly |
|
(1,401,637 |
) |
|
|
(264,747 |
) |
|
|
377,607 |
|
|
|
(517,598 |
) |
|
|
378,709 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Comprehensive income (loss) attributable to common stockholders |
$ |
(1,428,520 |
) |
|
$ |
(291,630 |
) |
|
$ |
350,724 |
|
|
$ |
(544,481 |
) |
|
$ |
351,826 |
|
|
|
Основные Финансовые Данные
В следующей таблице представлены ключевые показатели портфеля Компании, обязательств и позиций по хеджированию, а также результаты деятельности по состоянию на и за кварталы, закончившиеся 31 марта 2022 года, 31 декабря 2021 года и 31 марта 2021 года:
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Portfolio related metrics |
|
|
|
|
|
|||||||
Fixed-rate Residential Securities as a percentage of total Residential Securities |
|
97 |
% |
|
|
97 |
% |
|
|
97 |
% |
|
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities |
|
3 |
% |
|
|
3 |
% |
|
|
3 |
% |
|
Weighted average experienced CPR for the period |
|
16.7 |
% |
|
|
21.4 |
% |
|
|
23.9 |
% |
|
Weighted average projected long-term CPR at period-end |
|
9.5 |
% |
|
|
12.7 |
% |
|
|
11.8 |
% |
|
Liabilities and hedging metrics |
|
|
|
|
|
|||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end |
|
68 |
|
|
|
52 |
|
|
|
88 |
|
|
Hedge ratio (1) |
|
109 |
% |
|
|
95 |
% |
|
|
75 |
% |
|
Weighted average pay rate on interest rate swaps at period-end (2) |
|
0.70 |
% |
|
|
0.59 |
% |
|
|
0.80 |
% |
|
Weighted average receive rate on interest rate swaps at period-end (2) |
|
0.50 |
% |
|
|
0.08 |
% |
|
|
0.34 |
% |
|
Weighted average net rate on interest rate swaps at period-end (2) |
|
0.20 |
% |
|
|
0.51 |
% |
|
|
0.46 |
% |
|
GAAP leverage at period-end (3) |
5.3:1 |
|
|
4.7:1 |
|
|
4.6:1 |
|
||||
GAAP capital ratio at period-end (4) |
|
15.1 |
% |
|
|
17.2 |
% |
|
|
16.5 |
% |
|
Performance related metrics |
|
|
|
|
|
|||||||
Book value per common share |
$ |
6.77 |
|
|
$ |
7.97 |
|
|
$ |
8.95 |
|
|
GAAP net income (loss) per average common share (5) |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Net interest margin (6) |
|
3.20 |
% |
|
|
1.97 |
% |
|
|
3.39 |
% |
|
Average yield on interest earning assets (7) |
|
3.61 |
% |
|
|
2.31 |
% |
|
|
3.76 |
% |
|
Average GAAP cost of interest bearing liabilities (8) |
|
0.48 |
% |
|
|
0.38 |
% |
|
|
0.42 |
% |
|
Net interest spread |
|
3.13 |
% |
|
|
1.93 |
% |
|
|
3.34 |
% |
|
Dividend declared per common share |
$ |
0.22 |
|
|
$ |
0.22 |
|
|
$ |
0.22 |
|
|
Annualized dividend yield (9) |
|
12.50 |
% |
|
|
11.25 |
% |
|
|
10.23 |
% |
|
Non-GAAP metrics * |
|
|
|
|
|
|||||||
Earnings available for distribution per average common share (5) |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized EAD return on average equity (excluding PAA) |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
|
Economic leverage at period-end (3) |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
Economic capital ratio at period end (4) |
|
13.1 |
% |
|
|
14.4 |
% |
|
|
13.7 |
% |
|
Net interest margin (excluding PAA) (6) |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
Average yield on interest earning assets (excluding PAA) (7) |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average economic cost of interest bearing liabilities (8) |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Net interest spread (excluding PAA) |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
* |
Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. |
|
(1) |
Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions) and futures relative to repurchase agreements, other secured financing and cost basis of TBA derivatives outstanding; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. |
|
(2) |
Excludes forward starting swaps. |
|
(3) |
GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued and mortgages payable divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements and other secured financing (excluding certain non-recourse credit facilities). Certain credit facilities (included within other secured financing), debt issued by securitization vehicles, participations issued, and mortgages payable are non-recourse to the Company and are excluded from economic leverage. |
|
(4) |
GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles. |
|
(5) |
Net of dividends on preferred stock. |
|
(6) |
Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less interest expense and the net interest component of interest rate swaps divided by the sum of average interest earning assets plus average TBA contract and CMBX balances. |
|
(7) |
Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). |
|
(8) |
Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. |
|
(9) |
Based on the closing price of the Company’s common stock of $7.04, $7.82 and $8.60 at March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
Следующая таблица содержит дополнительную информацию о нашем инвестиционном портфеле на представленные даты:
|
For the quarters ended |
|||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||
Agency mortgage-backed securities |
$ |
57,787,141 |
|
$ |
60,525,605 |
|
$ |
69,637,229 |
||
Residential credit risk transfer securities |
|
845,809 |
|
|
936,228 |
|
|
930,983 |
||
Non-agency mortgage-backed securities |
|
1,737,333 |
|
|
1,663,336 |
|
|
1,277,104 |
||
Commercial mortgage-backed securities |
|
357,354 |
|
|
530,505 |
|
|
4,121 |
||
Total securities |
$ |
60,727,637 |
|
$ |
63,655,674 |
|
$ |
71,849,437 |
||
Residential mortgage loans |
$ |
1,650,151 |
|
$ |
2,272,072 |
|
$ |
528,868 |
||
Residential mortgage loan warehouse facility |
|
— |
|
|
980 |
|
|
— |
||
Corporate debt |
|
1,967,667 |
|
|
1,968,991 |
|
|
2,074,475 |
||
Total loans, net |
$ |
3,617,818 |
|
$ |
4,242,043 |
|
$ |
2,603,343 |
||
Mortgage servicing rights |
$ |
1,108,937 |
|
$ |
544,562 |
|
$ |
113,080 |
||
Interests in MSR |
$ |
85,653 |
|
$ |
69,316 |
|
$ |
— |
||
Agency mortgage-backed securities transferred or pledged to securitization vehicles |
$ |
544,991 |
|
$ |
589,873 |
|
$ |
598,118 |
||
Residential mortgage loans transferred or pledged to securitization vehicles |
|
7,264,316 |
|
|
5,496,435 |
|
|
3,170,804 |
||
Assets transferred or pledged to securitization vehicles |
$ |
7,809,307 |
|
$ |
6,086,308 |
|
$ |
3,768,922 |
||
Assets of disposal group held for sale |
$ |
— |
|
$ |
194,138 |
|
$ |
4,400,723 |
||
Total investment portfolio |
$ |
73,349,352 |
|
$ |
74,792,041 |
|
$ |
82,735,505 |
||
|
Финансовые показатели, Не относящиеся к ОПБУ
В дополнение к своей консолидированной финансовой отчетности, которая подготовлена и представлена в соответствии с общепринятыми принципами бухгалтерского учета США ("GAAP"), Компания предоставляет следующие показатели, не относящиеся к GAAP:
Эти показатели не следует рассматривать как замену или превосходство финансовых показателей, рассчитанных в соответствии с GAAP. Финансовые показатели, не относящиеся к GAAP, хотя и призваны обеспечить более полное понимание результатов и деятельности Компании, также имеют ограничения. Например, Компания может рассчитывать свои показатели, не относящиеся к GAAP, такие как прибыль, доступная для распределения, или PAA, иначе, чем ее аналоги, что затрудняет сравнительный анализ. Кроме того, в случае показателей, не относящихся к GAAP, которые исключают PAA, сумма амортизационных расходов без учета PAA не обязательно отражает сумму будущей периодической амортизации и не указывает на срок, в течение которого Компания будет амортизировать оставшуюся неамортизированную премию. Изменения в фактических и расчетных авансовых платежах повлияют на сроки и сумму амортизации премии и, как таковые, на результаты как по GAAP, так и не по GAAP.
Эти показатели, не относящиеся к GAAP, предоставляют дополнительную информацию для улучшения понимания инвесторами операционных показателей Компании за период и тенденций в бизнесе, а также для оценки эффективности Компании по сравнению с аналогичными показателями в отрасли. Дополнительная информация, касающаяся использования Компанией этих финансовых показателей, не относящихся к GAAP, включая обсуждение того, как каждая такая мера может быть полезна для инвесторов, и сверки с их наиболее непосредственно сопоставимыми результатами по GAAP, представлены ниже.
Прибыль, доступная для распределения, прибыль, доступная для распределения, приходящаяся на владельцев обыкновенных акций, прибыль, доступная для распределения на среднюю обыкновенную акцию, и годовая доходность EAD на средний капитал
Основной бизнес-целью Компании является получение чистого дохода для распределения среди своих акционеров и сохранение капитала за счет разумного выбора инвестиций и постоянного управления своим портфелем. Компания генерирует чистый доход, получая чистый процентный спред по своему инвестиционному портфелю, который является функцией процентного дохода от ее инвестиционного портфеля за вычетом финансирования, хеджирования и операционных расходов. Доход, доступный для распределения, который определяется как сумма (а) экономического чистого процентного дохода, (б) дохода от рулона в долларах США и купонного дохода CMBX, (в) чистого дохода от обслуживания за вычетом реализованной амортизации MSR, (г) прочих доходов (убытков) (за исключением расходов на амортизацию, связанных с коммерческой недвижимостью имущество и амортизация нематериальных активов, доход, не относящийся к EAD, отнесенный на инвестиции по методу долевого участия, и другие компоненты прочих доходов (убытков), не относящиеся к EAD), (e) общие и административные расходы (за исключением операционных расходов и единовременных статей), и (f) налоги на прибыль (за исключением эффекта подоходного налога от статьи дохода (убытка), не относящиеся к EAD) и исключает (g) корректировку амортизационной премии ("PAA"), представляющую совокупное влияние на предыдущие периоды, но не на текущий период, изменений в расчетных долгосрочных скоростях предоплаты по сравнению с предыдущим кварталом, связанных с агентскими ипотечными кредитами Компании ценные бумаги используются руководством Компании и, по мнению Компании, используются аналитиками и инвесторами для оценки прогресса в достижении ее основной бизнес-цели.
Компания стремится достичь этой цели с помощью различных факторов, включая структуру портфеля, степень подверженности рыночному риску и соответствующий профиль хеджирования, а также использование и формы кредитного плеча, и все это в рамках параметров политики распределения капитала Компании и системы управления рисками.
Компания считает, что эти показатели, не относящиеся к GAAP, предоставляют руководству и инвесторам дополнительную информацию о базовых операционных результатах Компании и тенденциях инвестиционного портфеля путем (i) внесения корректировок с учетом разнородной отчетности об изменениях справедливой стоимости, когда некоторые инструменты отражаются в чистой прибыли (убытке) по GAAP, в то время как другие отражаются в прочего совокупного дохода (убытка) и (ii) путем исключения определенных нереализованных, неденежных или эпизодических компонентов чистой прибыли (убытка) по ОПБУ в целях обеспечения дополнительной прозрачности операционных показателей портфеля Компании. Кроме того, EAD служит полезным индикатором для инвесторов при оценке результатов деятельности Компании и способности выплачивать дивиденды. Годовая доходность EAD на средний собственный капитал, которая рассчитывается путем деления прибыли, доступной для распределения, на средний собственный капитал акционеров, предоставляет инвесторам дополнительную информацию о доходах, доступных для распределения, полученных от инвестированного акционерного капитала Компании.
В следующей таблице представлена сверка финансовых результатов по ОПБУ с доходами, не относящимися к ОПБУ, доступными для распределения за представленные периоды:
|
For the quarters ended |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
|
(dollars in thousands, except per share data) |
|||||||||||
GAAP net income (loss) |
$ |
2,023,894 |
|
|
$ |
418,460 |
|
|
$ |
1,751,134 |
|
|
Net income (loss) attributable to noncontrolling interests |
|
1,639 |
|
|
|
2,979 |
|
|
|
321 |
|
|
Net income (loss) attributable to Annaly |
|
2,022,255 |
|
|
|
415,481 |
|
|
|
1,750,813 |
|
|
Adjustments to exclude reported realized and unrealized (gains) losses |
|
|
|
|
|
|||||||
Net (gains) losses on investments and other |
|
159,804 |
|
|
|
40,473 |
|
|
|
(38,405 |
) |
|
Net (gains) losses on derivatives (1) |
|
(1,704,569 |
) |
|
|
(194,256 |
) |
|
|
(1,249,130 |
) |
|
Loan loss provision (reversal) (2) |
|
812 |
|
|
|
1,931 |
|
|
|
(144,870 |
) |
|
Business divestiture-related (gains) losses |
|
354 |
|
|
|
16,514 |
|
|
|
249,563 |
|
|
Other adjustments |
||||||||||||
Depreciation expense related to commercial real estate and amortization of intangibles (3) |
|
1,130 |
|
|
|
1,144 |
|
|
|
7,324 |
|
|
Non-EAD (income) loss allocated to equity method investments (4) |
|
(9,920 |
) |
|
|
(2,345 |
) |
|
|
(9,680 |
) |
|
Transaction expenses and non-recurring items (5) |
|
3,350 |
|
|
|
1,533 |
|
|
|
695 |
|
|
Income tax effect of non-EAD income (loss) items |
|
27,091 |
|
|
|
8,380 |
|
|
|
4,334 |
|
|
TBA dollar roll income and CMBX coupon income (6) |
|
129,492 |
|
|
|
119,657 |
|
|
|
98,933 |
|
|
MSR amortization (7) |
|
(19,652 |
) |
|
|
(25,864 |
) |
|
|
(15,488 |
) |
|
Plus: |
|
|
|
|
|
|||||||
Premium amortization adjustment cost (benefit) |
|
(179,516 |
) |
|
|
57,395 |
|
|
|
(214,570 |
) |
|
Earnings available for distribution * |
|
430,631 |
|
|
|
440,043 |
|
|
|
439,519 |
|
|
Dividends on preferred stock |
|
26,883 |
|
|
|
26,883 |
|
|
|
26,883 |
|
|
Earnings available for distribution attributable to common stockholders * |
$ |
403,748 |
|
|
$ |
413,160 |
|
|
$ |
412,636 |
|
|
GAAP net income (loss) per average common share |
$ |
1.37 |
|
|
$ |
0.27 |
|
|
$ |
1.23 |
|
|
Earnings available for distribution per average common share * |
$ |
0.28 |
|
|
$ |
0.28 |
|
|
$ |
0.29 |
|
|
Annualized GAAP return (loss) on average equity |
|
65.62 |
% |
|
|
12.44 |
% |
|
|
49.87 |
% |
|
Annualized EAD return on average equity * |
|
14.01 |
% |
|
|
13.10 |
% |
|
|
12.53 |
% |
* |
Represents a non-GAAP financial measure. |
|
(1) |
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 ($62.5) million, ($58.9) million and ($79.7) million for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
|
(2) |
Includes $0.2 million, $1.7 million and ($5.3) million of loss provision (reversal) on the Company’s unfunded loan commitments for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively, which is reported in Other, net in the Company’s Consolidated Statements of Comprehensive Income (Loss). |
|
(3) |
Includes depreciation and amortization expense related to equity method investments. |
|
(4) |
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. |
|
(5) |
The quarters ended March 31, 2022, December 31, 2021 and March 31, 2021 include costs incurred in connection with securitizations of residential whole loans. |
|
(6) |
TBA dollar roll income and CMBX coupon income each represent a component of Net gains (losses) on derivatives. CMBX coupon income totaled $1.1 million, $1.1 million and $1.5 million for the quarters ended March 31, 2022, December 31, 2021 and March 31, 2021, respectively. |
|
(7) |
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. |
Время от времени Компания заключает форвардные контракты TBA в качестве альтернативного средства инвестирования и финансирования агентских ценных бумаг, обеспеченных ипотекой. Контракт TBA - это соглашение о покупке или продаже для будущей поставки обеспеченной ипотекой ценной бумаги Агентства с указанным эмитентом, сроком и купоном. Бросок доллара TBA представляет собой транзакцию, в которой одновременно покупаются и продаются контракты TBA с одинаковыми условиями, но разными датами расчетов. Контракт TBA, рассчитываемый в более позднем месяце, обычно оценивается со скидкой по сравнению с контрактом более раннего месяца, при этом разница в цене обычно называется "снижением". Снижение является отражением ожидаемого чистого процентного дохода от инвестиций в аналогичные ценные бумаги, обеспеченные ипотекой Агентства, за вычетом предполагаемых затрат на финансирование, которые были бы упущены в результате погашения контракта в более позднем месяце, а не в предыдущем месяце. Разница между текущей ценой расчетного месяца и ценой форвардного расчетного месяца происходит потому, что на рынке рулонных платежей в долларах США сторона, предоставляющая финансирование, является стороной, которая удержит все основные и процентные платежи, начисленные в течение периода финансирования. Соответственно, доход от рулона в долларах TBA обычно представляет собой экономический эквивалент чистого процентного дохода, полученного по базовой ипотечной ценной бумаге Агентства, за вычетом предполагаемых затрат на финансирование.
Операции с рулоном доллара TBA учитываются в соответствии с GAAP как серия операций с производными финансовыми инструментами. Справедливая стоимость производных финансовых инструментов TBA основана на методах, аналогичных тем, которые используются для оценки агентских ценных бумаг, обеспеченных ипотекой. Компания отражает производные финансовые инструменты TBA по справедливой стоимости в своих Консолидированных отчетах о финансовом положении и признает периодические изменения справедливой стоимости в Чистых прибылях (убытках) по производным финансовым инструментам в Консолидированных отчетах о совокупном доходе (убытке), которые включают как нереализованные, так и реализованные прибыли и убытки по производным финансовым инструментам.
Доход от продажи TBA в долларах рассчитывается как разница в цене между двумя контрактами TBA с одинаковыми условиями, но разными датами расчетов, умноженная на условную сумму контракта TBA. Несмотря на то, что они учитываются как производные финансовые инструменты, долларовые рулоны TBA отражают экономический эквивалент чистого процентного дохода или переноса по базовой ипотечной ценной бумаге Агентства (процентный доход за вычетом подразумеваемых затрат на финансирование). Доход от рулона в долларах США отражается как компонент Чистой прибыли (убытка) по производным финансовым инструментам в Консолидированном отчете о совокупном доходе (убытке).
Индекс CMBX представляет собой синтетический торгуемый индекс, относящийся к корзине из 25 коммерческих ценных бумаг с ипотечным покрытием ("CMBS") определенного рейтинга и выпуска. Индекс CMBX позволяет инвесторам принимать долгосрочные риски (называемые защитой от продажи) или краткосрочные риски (называемые защитой от покупки) по соответствующей корзине ценных бумаг CMBS и структурирован как контракт "оплата по мере поступления", в соответствии с которым покупатель защиты выплачивает продавцу защиты стандартизированную текущий купон на условную сумму контракта. Компания отражает доходы (расходы) по позициям CMBX в составе Чистых прибылей (убытков) по производным финансовым инструментам в Консолидированном отчете о совокупном доходе (убытке). Купонные выплаты, полученные или выплаченные по позициям CMBX, эквивалентны процентным доходам (расходам) и, следовательно, включаются в прибыль, доступную для распределения.
Расходы на Амортизацию Премии
В соответствии с GAAP Компания амортизирует или увеличивает премии или скидки в процентный доход по своим агентским ценным бумагам, обеспеченным ипотекой, за исключением ценных бумаг, обеспеченных только процентами, многосемейных и обратных ипотечных кредитов, принимая во внимание оценки будущих авансовых платежей по основной сумме долга при расчете эффективной доходности. Компания пересчитывает эффективную доходность по мере возникновения разницы между ожидаемыми и фактическими авансовыми платежами. Используя стороннюю модель и рыночную информацию для прогнозирования будущих денежных потоков и ожидаемого оставшегося срока службы ценных бумаг, эффективная процентная ставка, определенная для каждой ценной бумаги, применяется так, как если бы она действовала с даты приобретения ценной бумаги. Амортизированная стоимость ценной бумаги затем корректируется до суммы, которая существовала бы, если бы новая эффективная доходность применялась с даты приобретения. Корректировка амортизированной стоимости компенсируется расходом или кредитом на процентный доход. Изменения процентных ставок и других рыночных факторов повлияют на прогнозы скорости предоплаты и сумму амортизации премии, признанной в любом конкретном периоде.
Показатели GAAP Компании включают нескорректированное влияние амортизации и прироста, связанного с этим методом. Некоторые показатели Компании, не относящиеся к GAAP, исключают влияние PAA, которое количественно определяет компонент амортизации премий, представляющий совокупное влияние на предыдущие периоды, но не на текущий период, изменений в расчетном долгосрочном CPR по сравнению с предыдущим кварталом.
В следующей таблице показано влияние PAA на амортизационные отчисления по премиям для портфеля ценных бумаг Компании и ценных бумаг, переданных или переданных в залог механизмам секьюритизации, за кварталы, закончившиеся 31 марта 2022 года, 31 декабря 2021 года и 31 марта 2021 года:
|
For the quarters ended |
||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
||||||
|
(dollars in thousands) |
||||||||||
Premium amortization expense (accretion) |
$ |
(25,353 |
) |
|
$ |
219,172 |
|
$ |
(11,891 |
) |
|
Less: PAA cost (benefit) |
|
(179,516 |
) |
|
|
57,395 |
|
|
(214,570 |
) |
|
Premium amortization expense (excluding PAA) |
$ |
154,163 |
|
|
$ |
161,777 |
|
$ |
202,679 |
|
|
|
Экономический рычаг и экономические коэффициенты капитала
Компания использует капитал в сочетании с заемными средствами для инвестирования в основном в инвестиции, связанные с недвижимостью, получая разницу между доходностью своих активов и стоимостью заимствований и хеджирования. Структура капитала Компании разработана таким образом, чтобы предложить эффективное дополнение источников финансирования для получения положительной доходности с поправкой на риск для ее акционеров при сохранении соответствующей ликвидности для поддержки бизнеса и выполнения финансовых обязательств Компании в периоды рыночного стресса. Для поддержания желаемого уровня капитала Компания использует сочетание заемного и акционерного финансирования. Долговое финансирование может включать использование соглашений о выкупе, займов, секьюритизации, выпущенных акций, кредитных линий, кредитных линий, обеспеченных активами, выпуск корпоративных облигаций, конвертируемых облигаций, ипотечных кредитов, подлежащих выплате, или других обязательств. Собственный капитал в основном состоит из обыкновенных и привилегированных акций.
Коэффициент экономического левереджа Компании рассчитывается как сумма долга с правом регресса, стоимостной основы непогашенных деривативов TBA и CMBX и чистых форвардных покупок (продаж) инвестиций, деленных на общий капитал. Задолженность с правом регресса состоит из соглашений о выкупе и другого обеспеченного финансирования (за исключением некоторых кредитных линий без права регресса). Определенные кредитные линии (включенные в состав другого обеспеченного финансирования), долговые обязательства, выданные механизмами секьюритизации, выпущенные доли участия и подлежащие выплате ипотечные кредиты не подлежат обращению к Компании и исключаются из экономических рычагов воздействия.
В следующей таблице представлена сверка долга по ОПБУ с экономическим долгом для целей расчета коэффициента экономического левереджа Компании за представленные периоды:
|
As of |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic leverage ratio reconciliation |
(dollars in thousands) |
|||||||||||
Repurchase agreements |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
61,202,477 |
|
|
Other secured financing |
|
914,255 |
|
|
|
903,255 |
|
|
|
922,605 |
|
|
Debt issued by securitization vehicles |
|
6,711,953 |
|
|
|
5,155,633 |
|
|
|
3,044,725 |
|
|
Participations issued |
|
775,432 |
|
|
|
1,049,066 |
|
|
|
180,527 |
|
|
Debt included in liabilities of disposal group held for sale |
|
— |
|
|
|
112,144 |
|
|
|
3,260,788 |
|
|
Total GAAP debt |
$ |
61,028,143 |
|
|
$ |
61,989,741 |
|
|
$ |
68,611,122 |
|
|
Less Non-Recourse Debt: |
|
|
|
|
|
|||||||
Credit facilities (1) |
$ |
(914,255 |
) |
|
$ |
(903,255 |
) |
|
$ |
(922,605 |
) |
|
Debt issued by securitization vehicles |
|
(6,711,953 |
) |
|
|
(5,155,633 |
) |
|
|
(3,044,725 |
) |
|
Participations issued |
|
(775,432 |
) |
|
|
(1,049,066 |
) |
|
|
(180,527 |
) |
|
Non-recourse debt included in liabilities of disposal group held for sale |
|
— |
|
|
|
(112,144 |
) |
|
|
(2,968,620 |
) |
|
Total recourse debt |
$ |
52,626,503 |
|
|
$ |
54,769,643 |
|
|
$ |
61,494,645 |
|
|
Plus / (Less): |
|
|
|
|
|
|||||||
Cost basis of TBA and CMBX derivatives |
$ |
19,006,949 |
|
|
$ |
20,690,768 |
|
|
$ |
23,538,792 |
|
|
Payable for unsettled trades |
|
1,992,568 |
|
|
|
147,908 |
|
|
|
1,070,080 |
|
|
Receivable for unsettled trades |
|
(407,225 |
) |
|
|
(2,656 |
) |
|
|
(144,918 |
) |
|
Economic debt * |
$ |
73,218,795 |
|
|
$ |
75,605,663 |
|
|
$ |
85,958,599 |
|
|
Total equity |
$ |
11,478,770 |
|
|
$ |
13,195,325 |
|
|
$ |
14,067,595 |
|
|
Economic leverage ratio * |
6.4:1 |
|
|
5.7:1 |
|
|
6.1:1 |
|
||||
|
|
|
|
|
|
* |
Represents a non-GAAP financial measure. |
|
(1) |
Included in Other secured financing in the Company’s Consolidated Statements of Financial Condition. |
В следующей таблице представлена сверка общих активов по ОПБУ с общими экономическими активами для целей расчета коэффициента экономического капитала Компании за представленные периоды:
|
As of |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic capital ratio reconciliation |
(dollars in thousands) |
|||||||||||
Total GAAP assets |
$ |
76,185,134 |
|
|
$ |
76,764,064 |
|
|
$ |
85,369,589 |
|
|
Less: |
|
|
|
|
|
|||||||
Gross unrealized gains on TBA derivatives (1) |
|
(24,757 |
) |
|
|
(52,693 |
) |
|
|
(17,404 |
) |
|
Debt issued by securitization vehicles (2) |
|
(6,711,953 |
) |
|
|
(5,155,633 |
) |
|
|
(5,587,281 |
) |
|
Plus: |
|
|
|
|
|
|||||||
Implied market value of TBA derivatives |
|
18,284,708 |
|
|
|
20,338,633 |
|
|
|
22,793,892 |
|
|
Total economic assets * |
$ |
87,733,132 |
|
|
$ |
91,894,371 |
|
|
$ |
102,558,796 |
|
|
Total equity |
$ |
11,478,770 |
|
|
$ |
13,195,325 |
|
|
$ |
14,067,595 |
|
|
Economic capital ratio (3) |
|
13.1 |
% |
|
|
14.4 |
% |
|
|
13.7 |
% |
|
|
|
|
|
|
|
* |
Represents a non-GAAP financial measure. |
|
(1) |
Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition. |
|
(2) |
Includes debt issued by securitization vehicles reported in Liabilities of disposal group held for sale in the Company's Consolidated Statements of Financial Condition. |
|
(3) |
Economic capital ratio is computed as total equity divided by total economic assets. |
Процентный доход (без учета PAA), экономические процентные расходы и экономический чистый процентный доход (без учета PAA)
Процентный доход (без учета PAA) представляет собой процентный доход без учета эффекта PAA и служит основой для получения средней доходности по активам, приносящим процентный доход (без учета PAA), чистого процентного спреда (без учета PAA) и чистой процентной маржи (без учета PAA), которые обсуждаются ниже. Компания считает, что эта мера предоставляет руководству и инвесторам дополнительную информацию для улучшения их понимания операционных результатов и тенденций Компании за счет исключения компонента расходов на амортизацию премий, представляющего совокупное влияние на предыдущие периоды, но не на текущий период, изменений в расчетных долгосрочных скоростях предоплаты по сравнению с предыдущим кварталом. связанные с агентскими ипотечными ценными бумагами Компании (кроме процентных ценных бумаг, многосемейных и обратных ипотечных кредитов), которые могут затенять основные тенденции в показателях портфеля.
Экономические процентные расходы включают процентные расходы по ОПБУ и чистый процентный компонент процентных свопов. Компания использует процентные свопы для управления своим риском изменения процентных ставок по своим соглашениям обратного выкупа путем экономического хеджирования денежных потоков, связанных с этими займами. Соответственно, добавление чистого процентного компонента процентных свопов к процентным расходам, рассчитанным в соответствии с GAAP, отражает общие договорные процентные расходы и, таким образом, предоставляет инвесторам дополнительную информацию о стоимости финансовой стратегии Компании. Компания может использовать согласованные на рынке купонные процентные свопы (“MAC”), по которым Компания может получать или производить платеж во время заключения такого процентного свопа, чтобы компенсировать нерыночный характер такого процентного свопа. В соответствии с GAAP авансовые платежи, связанные с процентными свопами MAC, не отражаются в чистой процентной составляющей процентных свопов в Консолидированном отчете о совокупном доходе (убытке) Компании. Компания не заключала никаких процентных свопов MAC в течение квартала, закончившегося 31 марта 2022 года.
Аналогичным образом, экономический чистый процентный доход (без учета PAA), рассчитанный ниже, предоставляет инвесторам дополнительную информацию для улучшения их понимания чистой экономики наших основных бизнес-операций.
|
For the quarters ended |
||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
||||||
Interest income (excluding PAA) reconciliation |
(dollars in thousands) |
||||||||||
GAAP interest income |
$ |
655,850 |
|
|
$ |
422,780 |
|
$ |
763,378 |
|
|
Premium amortization adjustment |
|
(179,516 |
) |
|
|
57,395 |
|
|
(214,570 |
) |
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
$ |
548,808 |
|
|
Economic interest expense reconciliation |
|
|
|
|
|
||||||
GAAP interest expense |
$ |
74,922 |
|
|
$ |
61,785 |
|
$ |
75,973 |
|
|
Add: |
|
|
|
|
|
||||||
Net interest component of interest rate swaps |
|
62,541 |
|
|
|
58,897 |
|
|
79,747 |
|
|
Economic interest expense * |
$ |
137,463 |
|
|
$ |
120,682 |
|
$ |
155,720 |
|
|
Economic net interest income (excluding PAA) reconciliation |
|
|
|
|
|||||||
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
$ |
548,808 |
|
|
Less: |
|
|
|
|
|
||||||
Economic interest expense * |
|
137,463 |
|
|
|
120,682 |
|
|
155,720 |
|
|
Economic net interest income (excluding PAA) * |
$ |
338,871 |
|
|
$ |
359,493 |
|
$ |
393,088 |
|
|
|
|||||||||||
* Represents a non-GAAP financial measure. |
Средняя доходность по активам, приносящим проценты (без учета PAA), чистый процентный спред (без учета PAA), чистая процентная маржа (без учета PAA) и средняя экономическая стоимость процентных обязательств
Чистый процентный спред (без учета PAA), который представляет собой разницу между средней доходностью по активам, приносящим проценты (без учета PAA), и средней экономической стоимостью процентных обязательств, которая представляет собой годовые экономические процентные расходы, деленные на средние процентные обязательства, и чистую процентную маржу (без учета PAA), которая рассчитывается как сумма процентного дохода (без учета PAA) плюс долларовый доход TBA и купонный доход CMBX за вычетом процентных расходов, а также чистый процентный компонент процентных свопов, деленный на сумму активов, приносящих средний процентный доход, плюс средний контракт TBA и остатки CMBX, предоставляют руководству дополнительные показатели прибыльности Компании, на которые руководство полагается на основе мониторинга эффективности бизнеса.
Раскрытие этих показателей, которые представлены ниже, предоставляет инвесторам дополнительную информацию о том, как руководство оценивает результаты деятельности Компании.
|
For the quarters ended |
|||||||||||
|
March 31, 2022 |
|
December 31, 2021 |
|
March 31, 2021 |
|||||||
Economic metrics (excluding PAA) |
(dollars in thousands) |
|||||||||||
Average interest earning assets |
$ |
72,590,876 |
|
|
$ |
73,134,966 |
|
|
$ |
81,121,340 |
|
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
|
$ |
548,808 |
|
|
Average yield on interest earning assets (excluding PAA) * |
|
2.62 |
% |
|
|
2.63 |
% |
|
|
2.71 |
% |
|
Average interest bearing liabilities |
$ |
61,865,292 |
|
|
$ |
63,342,740 |
|
|
$ |
72,002,031 |
|
|
Economic interest expense * |
$ |
137,463 |
|
|
$ |
120,682 |
|
|
$ |
155,720 |
|
|
Average economic cost of interest bearing liabilities * |
|
0.89 |
% |
|
|
0.75 |
% |
|
|
0.87 |
% |
|
Economic net interest income (excluding PAA) * |
$ |
338,871 |
|
|
$ |
359,493 |
|
|
$ |
393,088 |
|
|
Net interest spread (excluding PAA) * |
|
1.73 |
% |
|
|
1.88 |
% |
|
|
1.84 |
% |
|
Interest income (excluding PAA) * |
$ |
476,334 |
|
|
$ |
480,175 |
|
|
$ |
548,808 |
|
|
TBA dollar roll income and CMBX coupon income |
|
129,492 |
|
|
|
119,657 |
|
|
|
98,933 |
|
|
Economic interest expense * |
|
(137,463 |
) |
|
|
(120,682 |
) |
|
|
(155,720 |
) |
|
Subtotal |
$ |
468,363 |
|
|
$ |
479,150 |
|
|
$ |
492,021 |
|
|
Average interest earnings assets |
$ |
72,590,876 |
|
|
$ |
73,134,966 |
|
|
$ |
81,121,340 |
|
|
Average TBA contract and CMBX balances |
|
19,229,537 |
|
|
|
21,159,120 |
|
|
|
21,865,969 |
|
|
Subtotal |
$ |
91,820,413 |
|
|
$ |
94,294,086 |
|
|
$ |
102,987,309 |
|
|
Net interest margin (excluding PAA) * |
|
2.04 |
% |
|
|
2.03 |
% |
|
|
1.91 |
% |
|
* Represents a non-GAAP financial measure. |