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Annaly Capital Management, Inc. Reports 1st Quarter 2024 Results
Financial Highlights
GAAP net income of $0.85 per average common share for the quarter Earnings available for distribution ("EAD") of $0.64 per average common share for the quarter Economic return of 4.8% for the first quarter Book value per common share of $19.73 GAAP leverage of 6.7x, down from 6.8x in the prior quarter; economic leverage of 5.6x, down from 5.7x in the prior quarter Declared quarterly common stock cash dividend of $0.65 per share
Business Highlights
Investment and Strategy
Total portfolio of $73.5 billion, including $64.7 billion in highly liquid Agency portfolio(1) Annaly's Agency portfolio decreased modestly during the quarter, with portfolio activity focused on the continued rotation up in coupon through the addition of higher coupon, high-quality specified pools as well as a modest increase in TBA exposure Annaly's Agency portfolio represents 59% of dedicated equity capital(2), down from 62% in the prior quarter Maintained conservative hedge position and continued to favor swaps over treasuries; hedge ratio decreased from 106% to 97% during the quarter as short-term hedges matured and new hedges were added further out the yield curve Annaly's Residential Credit portfolio increased 4% to $6.2 billion(1), representing 21% of dedicated equity capital(2) Continued record growth from the correspondent channel in the first quarter with quarterly lock volume of $3.7 billion and $2.4 billion of whole loans settled, up nearly 40% and 35% quarter-over-quarter, respectively Annaly's Mortgage Servicing Rights ("MSR") portfolio ended the quarter with $2.7 billion(1) in assets, representing 20% of dedicated equity capital(2) Subsequent to quarter end, committed to adding a $117 million market value bulk package of low note rate MSR(3)
Financing and Capital
$6.2 billion of total assets available for financing(4), including cash and unencumbered Agency MBS of $3.5 billion Average GAAP cost of interest bearing liabilities increased three basis points to 5.40% and average economic cost of interest bearing liabilities increased 36 basis points to 3.78% quarter-over-quarter Annaly Residential Credit Group added $300 million in credit facility capacity during the quarter; total warehouse capacity across both Annaly's MSR and Residential Credit businesses of $3.9 billion, including $1.25 billion of committed capacity Weighted average days to maturity for repurchase agreements decreased to 43 days from 44 days in the prior quarter Annaly Residential Credit Group priced eight whole loan securitizations totaling $3.8 billion since the beginning of 2024(5), representing record quarterly issuance for the OBX shelf Annaly remains the largest non-bank issuer and the second largest issuer overall of Prime Jumbo and Expanded Credit MBS since the beginning of 2024(6)
"We were pleased to generate a 4.8% economic return in the first quarter as each of our three investment strategies contributed to our book value appreciation, as well as generated stable earnings," commented David Finkelstein, Annaly's Chief Executive Officer and Chief Investment Officer. "Our core Agency MBS portfolio performed well as spreads were supported during the first quarter by lower volatility and an improved supply and demand picture. Our Residential Credit business continued to expand market share across the non-Agency sector with record lock and whole loan securitization volume and our MSR portfolio increased in value given the interest rate environment.
"Annaly remains prepared for elevated volatility, which we have seen materialize subsequent to quarter end, with a well-hedged portfolio, a responsible leverage and liquidity profile and a capital allocation that can perform throughout different interest rate and macro environments. Importantly, we continue to see attractive returns across our three investment strategies and are well-positioned for future opportunities where most attractive."
(1) Total portfolio represents Annaly's investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Agency assets include TBA purchase contracts (market value) of $1.1 billion. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $15.6 billion, include $1.6 billion of retained securities that are eliminated in consolidation and $153.1 million of Non-Agency CMBS and are shown net of participations issued totaling $1.2 billion. Total portfolio represents Annaly's investments that are on-balance sheet as well as investments that are off-balance sheet in which Annaly has economic exposure. Agency assets include TBA purchase contracts (market value) of $1.1 billion. Residential Credit assets exclude assets transferred or pledged to securitization vehicles of $15.6 billion, include $1.6 billion of retained securities that are eliminated in consolidation and $153.1 million of Non-Agency CMBS and are shown net of participations issued totaling $1.2 billion. (2) Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy's allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of March 31, 2024 include Non-Agency CMBS within Residential Credit. Capital allocation for each of the investment strategies is calculated as the difference between each investment strategy's allocated assets, which include TBA purchase contracts, and liabilities. Dedicated capital allocations as of March 31, 2024 include Non-Agency CMBS within Residential Credit. (3) Represents the market value of a deal where Annaly has executed a letter of intent. There can be no assurance whether this deal will close or when it will close. Represents the market value of a deal where Annaly has executed a letter of intent. There can be no assurance whether this deal will close or when it will close. (4) Represents $5.3 billion of unencumbered assets, which represents Annaly's excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $0.9 billion of fair value of collateral pledged for future advances. Represents $5.3 billion of unencumbered assets, which represents Annaly's excess liquidity and defined as assets that have not been pledged or securitized (generally including cash and cash equivalents, Agency MBS, CRT, Non-Agency MBS, residential mortgage loans, MSR, reverse repurchase agreements, other unencumbered financial assets and capital stock), and $0.9 billion of fair value of collateral pledged for future advances. (5) Includes a $575 million whole loan securitization that closed in April 2024 and $441 million whole loan securitization that priced in April 2024. Includes a $575 million whole loan securitization that closed in April 2024 and $441 million whole loan securitization that priced in April 2024. (6) Issuer ranking data from Inside Nonconforming Markets for Q1 2024 (April 12, 2024 issue). Issuer ranking data from Inside Nonconforming Markets for Q1 2024 (April 12, 2024 issue).
Financial Performance
The following table summarizes certain key performance indicators as of and for the quarters ended March 31, 2024, December 31, 2023 and March 31, 2023:
March 31, 2024 December 31, 2023 March 31, 2023
$ 19.73 $ 19.44 $ 20.77
Book value per common share
$ 0.85 $ (0.88 ) $ (1.79 )
GAAP net income (loss) per average common share (1)
16.29 % (14.21 %) (28.84 %)
Annualized GAAP return (loss) on average equity (2)
6.7:1 6.8:1 5.9:1
GAAP leverage at period-end (3)
(0.03 %) (0.25 %) 0.09 %
Net interest margin (4)
4.88 % 4.55 % 3.96 %
Average yield on interest earning assets (5)
5.40 % 5.37 % 4.52 %
Average GAAP cost of interest bearing liabilities (6)
(0.52 %) (0.82 %) (0.56 %)
Net interest spread
Non-GAAP metrics *
$ 0.64 $ 0.68 $ 0.81
Earnings available for distribution per average common share (1)
12.63 % 13.76 % 14.82 %
Annualized EAD return on average equity
5.6:1 5.7:1 6.4:1
Economic leverage at period-end (3)
1.43 % 1.58 % 1.76 %
Net interest margin (excluding PAA) (4)
4.87 % 4.64 % 3.96 %
Average yield on interest earning assets (excluding PAA) (5)
3.78 % 3.42 % 2.34 %
Average economic cost of interest bearing liabilities (6)
* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information.
(1) Net of dividends on preferred stock. Net of dividends on preferred stock.
(2) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 4.07%, (3.55%), and (7.21%) for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023, respectively. Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 4.07%, (3.55%), and (7.21%) for the quarters ended March 31, 2024, December 31, 2023, and March 31, 2023, respectively.
(3) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and US Treasury securities, sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to the Company and are excluded from economic leverage. GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") and CMBX derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and US Treasury securities, sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to the Company and are excluded from economic leverage.
(4) Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less 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. Net interest margin represents interest income less interest expense divided by average Interest Earning Assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income and CMBX coupon income less 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.
(5) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA).
(6) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense and the net interest component of interest rate swaps. 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.
Other Information
This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements which are based on various assumptions (some of which are beyond our control) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as "may," "will," "believe," "expect," "anticipate," "continue," or similar terms or variations on those terms or the negative of those terms. Such statements include those relating to the Company's future performance, macro outlook, the interest rate and credit environments, tax reform and future opportunities. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability of mortgage-backed securities ("MBS") and other securities for purchase; the availability of financing and, if available, the terms of any financing; changes in the market value of the Company's assets; changes in business conditions and the general economy; the Company's ability to grow its residential credit business; the Company's ability to grow its mortgage servicing rights business; credit risks related to the Company's investments in credit risk transfer securities and residential mortgage-backed securities and related residential mortgage credit assets; risks related to investments in mortgage servicing rights; the Company's ability to consummate any contemplated investment opportunities; changes in government regulations or policy affecting the Company's business; the Company's ability to maintain its qualification as a REIT for U.S. federal income tax purposes; the Company's ability to maintain its exemption from registration under the Investment Company Act of 1940; and operational risks or risk management failures by us or critical third parties, including cybersecurity incidents. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see "Risk Factors" in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. The Company does not undertake, and specifically disclaims any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements, except as required by law.
Annaly is a leading diversified capital manager with investment strategies across mortgage finance. Annaly's principal business objective is to generate net income for distribution to its stockholders and to optimize its returns through prudent management of its diversified investment strategies. Annaly is internally managed and has elected to be taxed as a real estate investment trust, or REIT, for federal income tax purposes. Additional information on the company can be found at www.annaly.com.
We use our website (www.annaly.com) and LinkedIn account (www.linkedin.com/company/annaly-capital-management) as channels of distribution of company information. The information we post through these channels may be deemed material. Accordingly, investors should monitor these channels, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Annaly when you enroll your email address by visiting the "Investors" section of our website, then clicking on "Investor Resources" and selecting "Email Alerts" to complete the email notification form. Our website, any alerts and social media channels are not incorporated by reference into, and are not a part of, this document.
The Company prepares an investor presentation and supplemental financial information for the benefit of its shareholders. Please refer to the investor presentation for definitions of both GAAP and non-GAAP measures used in this news release. Both the First Quarter 2024 Investor Presentation and the First Quarter 2024 Supplemental Information can be found at the Company's website (www.annaly.com) in the "Investors" section under "Investor Presentations."
Conference Call
The Company will hold the first quarter 2024 earnings conference call on April 25, 2024 at 9:00 a.m. Eastern Time. Participants are encouraged to pre-register for the conference call to receive a unique PIN to gain immediate access to the call and bypass the live operator. Pre-registration may be completed by accessing the pre-registration link found on the homepage or "Investors" section of the Company's website at www.annaly.com, or by using the following link: https://dpregister.com/sreg/10187593/fc055a6491. 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 6582139. 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, March 31, December 31, September 30, June 30, March 31,
2024 2024 2023 (1) 2023 2023 2023
--------------------------------------------------------------- --------------------------------------------------- --------------------------------------------------- ------------------------------------------------------ ------------------------------------------------------ ------------------------------------------------------
(unaudited) (unaudited) (unaudited) (unaudited)
Assets
$ 1,665,370 $ 1,412,148 $ 1,241,122 $ 1,236,872 $ 1,794,173
Cash and cash equivalents
66,500,689 69,613,565 69,860,730 71,202,461 69,238,185
Securities
2,717,823 2,353,084 1,793,140 1,154,320 1,642,822
Loans, net
2,651,279 2,122,196 2,234,813 2,018,896 1,790,980
Mortgage servicing rights
15,614,750 13,307,622 11,450,346 11,318,419 10,277,588
Assets transferred or pledged to securitization vehicles
203,799 162,557 549,833 457,119 400,139
Derivative assets
941,366 2,710,224 1,047,566 787,442 679,096
Receivable for unsettled trades
867,348 1,222,705 1,158,648 944,537 773,722
Principal and interest receivable
11,433 12,106 12,778 15,163 15,921
Intangible assets, net
309,689 311,029 299,447 195,248 219,391
Other assets
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total assets $ 91,483,546 $ 93,227,236 $ 89,648,423 $ 89,330,477 $ 86,832,017
==================== =========== ==================== ==================== =========== ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== ============== ====================
Liabilities and stockholders' equity
Liabilities
$ 58,975,232 $ 62,201,543 $ 64,693,821 $ 61,637,600 $ 60,993,018
Repurchase agreements
600,000 500,000 500,000 500,000 250,000
Other secured financing
13,690,967 11,600,338 9,983,847 9,789,282 8,805,911
Debt issued by securitization vehicles
1,161,323 1,103,835 788,442 492,307 673,431
Participations issued
2,077,404 2,132,751 -- -- --
U.S. Treasury securities sold, not yet purchased
103,142 302,295 97,616 156,182 473,515
Derivative liabilities
2,556,798 3,249,389 2,214,319 4,331,315 3,259,034
Payable for unsettled trades
350,405 287,937 198,084 140,620 118,395
Interest payable
325,286 325,052 321,629 321,031 321,023
Dividends payable
146,876 179,005 173,608 74,795 28,657
Other liabilities
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total liabilities 79,987,433 81,882,145 78,971,366 77,443,132 74,922,984
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Stockholders' equity
1,536,569 1,536,569 1,536,569 1,536,569 1,536,569
Preferred stock, par value $0.01 per share (2)
5,004 5,001 4,948 4,939 4,939
Common stock, par value $0.01 per share (3)
23,673,687 23,672,391 23,572,996 23,550,346 23,543,091
Additional paid-in capital
(1,281,918 ) (1,335,400 ) (2,694,776 ) (2,382,531 ) (2,550,614 )
Accumulated other comprehensive income (loss)
(12,523,809 ) (12,622,768 ) (11,855,267 ) (10,933,044 ) (10,741,863 )
Accumulated deficit
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total stockholders' equity 11,409,533 11,255,793 10,564,470 11,776,279 11,792,122
86,580 89,298 112,587 111,066 116,911
Noncontrolling interests
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total equity 11,496,113 11,345,091 10,677,057 11,887,345 11,909,033
-------------------- ----------- -------------------- -------------------- ----------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- --------------------
Total liabilities and equity $ 91,483,546 $ 93,227,236 $ 89,648,423 $ 89,330,477 $ 86,832,017
==================== =========== ==================== ==================== =========== ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== ============== ====================
(1) Derived from the audited consolidated financial statements at December 31, 2023. Derived from the audited consolidated financial statements at December 31, 2023. (2) 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding. 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding. (3) Includes 1,468,250,000 shares authorized. Includes 500,440,023 shares issued and outstanding at March 31, 2024, 500,080,287 shares issued and outstanding at December 31, 2023, 494,814,038 shares issued and outstanding at September 30, 2023, 493,893,288 shares issued and outstanding at June 30, 2023, 493,880,938 shares issued and outstanding at March 31, 2023. Includes 1,468,250,000 shares authorized. Includes 500,440,023 shares issued and outstanding at March 31, 2024, 500,080,287 shares issued and outstanding at December 31, 2023, 494,814,038 shares issued and outstanding at September 30, 2023, 493,893,288 shares issued and outstanding at June 30, 2023, 493,880,938 shares issued and outstanding at March 31, 2023.
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except per share data)
(Unaudited)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
For the quarters ended
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
March 31, December 31, September 30, June 30, March 31,
2024 2023 2023 2023 2023
Net interest income
$ 1,094,488 $ 990,352 $ 1,001,485 $ 921,494 $ 818,250
Interest income
1,100,939 1,043,902 1,046,819 953,457 798,787
Interest expense
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Net interest income (6,451 ) (53,550 ) (45,334 ) (31,963 ) 19,463
Net servicing income
115,084 98,474 97,620 83,790 84,273
Servicing and related income
12,216 11,219 9,623 8,930 7,880
Servicing and related expense
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Net servicing income 102,868 87,255 87,997 74,860 76,393
Other income (loss)
(994,127 ) 1,894,744 (2,713,126 ) (1,308,948 ) 1,712
Net gains (losses) on investments and other
1,377,144 (2,301,911 ) 2,127,430 1,475,325 (900,752 )
Net gains (losses) on derivatives
-- -- -- -- 219
Loan loss (provision) reversal
23,367 22,863 26,250 9,105 15,498
Other, net
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Total other income (loss) 406,384 (384,304 ) (559,446 ) 175,482 (883,323 )
General and administrative expenses
Compensation expense 28,721 29,502 30,064 30,635 29,391
Other general and administrative expenses 9,849 9,399 9,845 12,280 11,437
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Total general and administrative expenses 38,570 38,901 39,909 42,915 40,828
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Income (loss) before income taxes 464,231 (389,500 ) (556,692 ) 175,464 (828,295 )
Income taxes (943 ) 1,732 12,392 14,277 11,033
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Net income (loss) 465,174 (391,232 ) (569,084 ) 161,187 (839,328 )
Net income (loss) attributable to noncontrolling interests 2,282 12,511 (6,879 ) (5,846 ) 4,928
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Net income (loss) attributable to Annaly 462,892 (403,743 ) (562,205 ) 167,033 (844,256 )
Dividends on preferred stock 37,061 37,181 36,854 35,766 31,875
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Net income (loss) available (related) to common stockholders $ 425,831 $ (440,924 ) $ (599,059 ) $ 131,267 $ (876,131 )
==================== ================= ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== =========== ====================
Net income (loss) per share available (related) to common stockholders
$ 0.85 $ (0.88 ) $ (1.21 ) $ 0.27 $ (1.79 )
Basic
$ 0.85 $ (0.88 ) $ (1.21 ) $ 0.27 $ (1.79 )
Diluted
Weighted average number of common shares outstanding
500,612,840 499,871,725 494,330,361 494,165,256 489,688,364
Basic
501,182,043 499,871,725 494,330,361 494,358,982 489,688,364
Diluted
Other comprehensive income (loss)
Net income (loss) $ 465,174 $ (391,232 ) $ (569,084 ) $ 161,187 $ (839,328 )
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
(281,869 ) 1,024,637 (825,286 ) (294,045 ) 675,374
Unrealized gains (losses) on available-for-sale securities
335,351 334,739 513,041 462,128 482,908
Reclassification adjustment for net (gains) losses included in net income (loss)
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Other comprehensive income (loss) 53,482 1,359,376 (312,245 ) 168,083 1,158,282
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
518,656 968,144 (881,329 ) 329,270 318,954
Comprehensive income (loss)
2,282 12,511 (6,879 ) (5,846 ) 4,928
Comprehensive income (loss) attributable to noncontrolling interests
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Comprehensive income (loss) attributable to Annaly 516,374 955,633 (874,450 ) 335,116 314,026
37,061 37,181 36,854 35,766 31,875
Dividends on preferred stock
-------------------- ----------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- -------------- -------------------- -------------------- ----------- --------------------
Comprehensive income (loss) attributable to common stockholders $ 479,313 $ 918,452 $ (911,304 ) $ 299,350 $ 282,151
==================== ================= ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== ============== ==================== ==================== =========== ====================
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, 2024, December 31, 2023 and March 31, 2023:
March 31, 2024 December 31, 2023 March 31, 2023
Portfolio related metrics
98 % 98 % 98 %
Fixed-rate Residential Securities as a percentage of total Residential Securities
2 % 2 % 2 %
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities
6.0 % 6.3 % 5.5 %
Weighted average experienced CPR for the period
8.9 % 9.4 % 8.4 %
Weighted average projected long-term CPR at period-end
Liabilities and hedging metrics
43 44 59
Weighted average days to maturity on repurchase agreements outstanding at period-end
97 % 106 % 106 %
Hedge ratio (1)
3.20 % 3.04 % 2.13 %
Weighted average pay rate on interest rate swaps at period-end (2)
5.26 % 5.31 % 4.87 %
Weighted average receive rate on interest rate swaps at period-end (2)
(2.06 %) (2.27 %) (2.74 %)
Weighted average net rate on interest rate swaps at period-end (2)
6.7:1 6.8:1 5.9:1
GAAP leverage at period-end (3)
12.6 % 12.2 % 13.7 %
GAAP capital ratio at period-end (4)
Performance related metrics
$ 19.73 $ 19.44 $ 20.77
Book value per common share
$ 0.85 $ (0.88 ) $ (1.79 )
GAAP net income (loss) per average common share(5)
16.29 % (14.21 %) (28.84 %)
Annualized GAAP return (loss) on average equity(6)
(0.03 %) (0.25 %) 0.09 %
Net interest margin (7)
4.88 % 4.55 % 3.96 %
Average yield on interest earning assets (8)
5.40 % 5.37 % 4.52 %
Average GAAP cost of interest bearing liabilities (9)
(0.52 %) (0.82 %) (0.56 %)
Net interest spread
$ 0.65 $ 0.65 $ 0.65
Dividend declared per common share
1