财务亮点 |
业务亮点 |
截至2024年6月30日止三个月的营收为37亿美元,较去年同期下降了11%。该减少主要是由于公司采取了减少低利润元件关系的措施以及汇率影响所致。美国的营收下降了15%,日本的营收下降了7%(但在不考虑汇率波动的情况下增加),主要市场的营收下降了5%,策略市场的营收下降了15%,以上数字与截至2023年6月30日止三个月相比。其中,净利润为1,100万美元,较去年同期增长了1,5200万美元,原因是折旧开销降低。折旧开销降低源于2024年4月1日起实施的信息技术装备期望使用时间更改,具体带来的净年度收益为$ |
2024年9月30日 | 2024年6月30日止季度 | 2023年9月30日 | |||||||||||||||
每股普通股的帐面价值 | $ | 19.54 | $ | 19.25 | $ | 18.25 | |||||||||||
根据会计准则的净利润(损失)每股平均份额 (1) | $ | 0.05 | $ | (0.09) | $ | (1.21) | |||||||||||
年化的依据会计准则的平均权益回报(损失) (2) | 2.77 | % | (0.31 | %) | (20.18 | %) | |||||||||||
期末的依据会计准则的杠杆(3) | 6.9:1 | 7.1:1 | 7.1:1 | ||||||||||||||
净利息收益率 (4) | 0.06 | % | 0.24 | % | (0.20 | %) | |||||||||||
利息收入资产的平均收益率 (5) | 5.16 | % | 5.17 | % | 4.49 | % | |||||||||||
按照GAAP标准计算的轴承负债成本 (6) | 5.42 | % | 5.43 | % | 5.27 | % | |||||||||||
净利息差 | (0.26 | %) | (0.26 | %) | (0.78 | %) | |||||||||||
非GAAP指标* | |||||||||||||||||
每股可供派息的盈利 (1) | $ | 0.66 | $ | 0.68 | $ | 0.66 | |||||||||||
平均权益年化超额抵押贷款利润率 | 12.95 | % | 13.36 | % | 12.96 | % | |||||||||||
期末经济杠杆(3) | 5.7:1 | 5.8:1 | 6.4:1 | ||||||||||||||
净利息收益率(不含PAA) (4) | 1.52 | % | 1.58 | % | 1.48 | % | |||||||||||
收益资产平均收益率(不包括平均资产养护品) (5) | 5.25 | % | 5.14 | % | 4.46 | % | |||||||||||
融通负债的平均经济成本 (6) | 3.93 | % | 3.90 | % | 3.28 | % | |||||||||||
净利息价差(不包括平均资产养护品) | 1.32 | % | 1.24 | % | 1.18 | % | |||||||||||
* 代表一项非GAAP财务指标。请查阅「非GAAP财务指标」一节以获得更多资讯。 (1) 优先股股息之净额。 (2) 年化GAAP股东权益的收益(损失)将实现及未实现之收益和(损失)年化,可能不具全年表现的指标,未经年化的GAAP股东权益的收益(损失)分别为0.69%、(0.08%)和(5.04%) 截至2024年9月30日、2024年6月30日和2023年9月30日的各个季度。 (3) GAAP杠杆是指购回协议、其他抵押融资、资产证券化所发行的债务、参与发行和未购买的美国国库券被除以总权益所计算的总和。经济杠杆是指追索债务、对待成本的待公布("TBA")衍生品未实现损益和投资的净额正向(负向)购买被除以总权益所计算的总和。追索债务包括购回协议、其他抵押融资和美国国库券,资产证券化所发行的债务和已发行的参与发行对公司来说是不追索的,因此被排除在经济杠杆之外。 (4) 净利息收益率代表利息收入减去利息支出后除以平均利息收入资产。净利息收益率不包括利率掉期的净利息成分。净利息收益率(不包括PAA)代表利息收入总和(不包括PAA)加上TBA美元卷动收入少经济利息支出后除以平均利息收入资产加上平均未清TBA合约余额总和。PAA代表公司代理机构按揭证券相关预估长期预偿速度的季度对季度变化在之前时期的累积影响,但不包括当前季度。 (5) 利息收入资产平均收益率代表年化的利息收入除以平均利息收入资产。平均利息收入资产反映我们在期间内投资的平均摊销成本。利息收入资产平均收益率(不包括PAA)是使用年化的利息收入(不包括PAA)计算的。 (6) 利息负债平均GAAP成本代表年化的利息支出除以平均利息负债。平均利息负债反映期间内的平均余额。利息负债平均经济成本代表年化的经济利息支出除以平均的利息负债。经济利息支出由GAAP利息支出、利率掉期的净利息成分和从2024年6月30日起开始,与利率掉期相关的初始保证金的净利息组成,后者在公司的综合损益合并报表的其他项目中报告,但之前的结果尚未根据此变更进行调整,因为影响不重大。与利率掉期相关的变动保证金的净利息以前和目前包括在该公司的综合损益合并报表的利率掉期的净利息组成中,适用于所呈现的所有时期。 |
其他资讯 |
Conference Call |
Financial Statements |
September 30, 2024 | June 30, 2024 | March 31, 2024 | December 31, 2023 (1) | September 30, 2023 | |||||||||||||||||||||||||
(unaudited) | (unaudited) | (unaudited) | (unaudited) | ||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 1,560,159 | $ | 1,587,108 | $ | 1,665,370 | $ | 1,412,148 | $ | 1,241,122 | |||||||||||||||||||
Securities | 71,700,177 | 67,044,753 | 66,500,689 | 69,613,565 | 69,860,730 | ||||||||||||||||||||||||
Loans, net | 2,305,613 | 2,548,228 | 2,717,823 | 2,353,084 | 1,793,140 | ||||||||||||||||||||||||
Mortgage servicing rights | 2,693,057 | 2,785,614 | 2,651,279 | 2,122,196 | 2,234,813 | ||||||||||||||||||||||||
Assets transferred or pledged to securitization vehicles | 21,044,007 | 17,946,812 | 15,614,750 | 13,307,622 | 11,450,346 | ||||||||||||||||||||||||
Derivative assets | 59,071 | 187,868 | 203,799 | 162,557 | 549,833 | ||||||||||||||||||||||||
Receivable for unsettled trades | 766,341 | 320,659 | 941,366 | 2,710,224 | 1,047,566 | ||||||||||||||||||||||||
Principal and interest receivable | 1,060,991 | 917,130 | 867,348 | 1,222,705 | 1,158,648 | ||||||||||||||||||||||||
Intangible assets, net | 10,088 | 10,761 | 11,433 | 12,106 | 12,778 | ||||||||||||||||||||||||
Other assets | 316,491 | 319,644 | 309,689 | 311,029 | 299,447 | ||||||||||||||||||||||||
Total assets | $ | 101,515,995 | $ | 93,668,577 | $ | 91,483,546 | $ | 93,227,236 | $ | 89,648,423 | |||||||||||||||||||
Liabilities and stockholders’ equity | |||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||
Repurchase agreements | $ | 64,310,276 | $ | 60,787,994 | $ | 58,975,232 | $ | 62,201,543 | $ | 64,693,821 | |||||||||||||||||||
Other secured financing | 600,000 | 600,000 | 600,000 | 500,000 | 500,000 | ||||||||||||||||||||||||
Debt issued by securitization vehicles | 18,709,118 | 15,831,915 | 13,690,967 | 11,600,338 | 9,983,847 | ||||||||||||||||||||||||
Participations issued | 467,006 | 1,144,821 | 1,161,323 | 1,103,835 | 788,442 | ||||||||||||||||||||||||
U.S. Treasury securities sold, not yet purchased | 2,043,519 | 1,974,602 | 2,077,404 | 2,132,751 | — | ||||||||||||||||||||||||
Derivative liabilities | 102,628 | 100,829 | 103,142 | 302,295 | 97,616 | ||||||||||||||||||||||||
Payable for unsettled trades | 1,885,286 | 1,096,271 | 2,556,798 | 3,249,389 | 2,214,319 | ||||||||||||||||||||||||
Interest payable | 276,397 | 369,106 | 350,405 | 287,937 | 198,084 | ||||||||||||||||||||||||
Dividends payable | 362,731 | 325,662 | 325,286 | 325,052 | 321,629 | ||||||||||||||||||||||||
Other liabilities | 219,085 | 174,473 | 146,876 | 179,005 | 173,608 | ||||||||||||||||||||||||
Total liabilities | 88,976,046 | 82,405,673 | 79,987,433 | 81,882,145 | 78,971,366 | ||||||||||||||||||||||||
Stockholders’ equity | |||||||||||||||||||||||||||||
Preferred stock, par value $0.01 per share (2) | 1,536,569 | 1,536,569 | 1,536,569 | 1,536,569 | 1,536,569 | ||||||||||||||||||||||||
Common stock, par value $0.01 per share (3) | 5,580 | 5,010 | 5,004 | 5,001 | 4,948 | ||||||||||||||||||||||||
Additional paid-in capital | 24,851,604 | 23,694,663 | 23,673,687 | 23,672,391 | 23,572,996 | ||||||||||||||||||||||||
Accumulated other comprehensive income (loss) | (712,203) | (1,156,927) | (1,281,918) | (1,335,400) | (2,694,776) | ||||||||||||||||||||||||
Accumulated deficit | (13,238,288) | (12,898,191) | (12,523,809) | (12,622,768) | (11,855,267) | ||||||||||||||||||||||||
Total stockholders’ equity | 12,443,262 | 11,181,124 | 11,409,533 | 11,255,793 | 10,564,470 | ||||||||||||||||||||||||
Noncontrolling interests | 96,687 | 81,780 | 86,580 | 89,298 | 112,587 | ||||||||||||||||||||||||
Total equity | 12,539,949 | 11,262,904 | 11,496,113 | 11,345,091 | 10,677,057 | ||||||||||||||||||||||||
Total liabilities and equity | $ | 101,515,995 | $ | 93,668,577 | $ | 91,483,546 | $ | 93,227,236 | $ | 89,648,423 | |||||||||||||||||||
(1) Derived from the audited consolidated financial statements at December 31, 2023. (2) 6.95% Series F Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 28,800,000 shares authorized, issued and outstanding. 6.50% Series G Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock - Includes 17,000,000 shares authorized, issued and outstanding. 6.75% Series I Preferred Stock - Includes 17,700,000 shares authorized, issued and outstanding. (3) Includes 1,468,250,000 shares authorized. Includes 558,047,743 shares issued and outstanding at September 30, 2024, 501,018,415 shares issued and outstanding at June 30, 2024, 500,440,023 shares issued and outstanding at March 31, 2024, 500,080,287 shares issued and outstanding at December 31, 2023, 494,814,038 shares issued and outstanding at September 30, 2023. |
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) | |||||||||||||||||||||||||||||
For the quarters ended | |||||||||||||||||||||||||||||
September 30, 2024 | June 30, 2024 | March 31, 2024 | December 31, 2023 | September 30, 2023 | |||||||||||||||||||||||||
Net interest income | |||||||||||||||||||||||||||||
Interest income | $ | 1,229,341 | $ | 1,177,325 | $ | 1,094,488 | $ | 990,352 | $ | 1,001,485 | |||||||||||||||||||
Interest expense | 1,215,940 | 1,123,767 | 1,100,939 | 1,043,902 | 1,046,819 | ||||||||||||||||||||||||
Net interest income | 13,401 | 53,558 | (6,451) | (53,550) | (45,334) | ||||||||||||||||||||||||
Net servicing income | |||||||||||||||||||||||||||||
Servicing and related income | 122,583 | 120,515 | 115,084 | 98,474 | 97,620 | ||||||||||||||||||||||||
Servicing and related expense | 12,988 | 12,617 | 12,216 | 11,219 | 9,623 | ||||||||||||||||||||||||
Net servicing income | 109,595 | 107,898 | 102,868 | 87,255 | 87,997 | ||||||||||||||||||||||||
Other income (loss) | |||||||||||||||||||||||||||||
Net gains (losses) on investments and other | 1,723,713 | (568,745) | (994,127) | 1,894,744 | (2,713,126) | ||||||||||||||||||||||||
Net gains (losses) on derivatives | (1,754,010) | 430,487 | 1,377,144 | (2,301,911) | 2,127,430 | ||||||||||||||||||||||||
Other, net | 27,438 | 24,791 | 23,367 | 22,863 | 26,250 | ||||||||||||||||||||||||
Total other income (loss) | (2,859) | (113,467) | 406,384 | (384,304) | (559,446) | ||||||||||||||||||||||||
General and administrative expenses | |||||||||||||||||||||||||||||
Compensation expense | 34,453 | 33,274 | 28,721 | 29,502 | 30,064 | ||||||||||||||||||||||||
Other general and administrative expenses | 9,468 | 11,617 | 9,849 | 9,399 | 9,845 | ||||||||||||||||||||||||
Total general and administrative expenses | 43,921 | 44,891 | 38,570 | 38,901 | 39,909 | ||||||||||||||||||||||||
Income (loss) before income taxes | 76,216 | 3,098 | 464,231 | (389,500) | (556,692) | ||||||||||||||||||||||||
Income taxes | (6,135) | 11,931 | (943) | 1,732 | 12,392 | ||||||||||||||||||||||||
Net income (loss) | 82,351 | (8,833) | 465,174 | (391,232) | (569,084) | ||||||||||||||||||||||||
Net income (loss) attributable to noncontrolling interests | 15,906 | 650 | 2,282 | 12,511 | (6,879) | ||||||||||||||||||||||||
Net income (loss) attributable to Annaly | 66,445 | (9,483) | 462,892 | (403,743) | (562,205) | ||||||||||||||||||||||||
Dividends on preferred stock | 41,628 | 37,158 | 37,061 | 37,181 | 36,854 | ||||||||||||||||||||||||
Net income (loss) available (related) to common stockholders | $ | 24,817 | $ | (46,641) | $ | 425,831 | $ | (440,924) | $ | (599,059) | |||||||||||||||||||
Net income (loss) per share available (related) to common stockholders | |||||||||||||||||||||||||||||
Basic | $ | 0.05 | $ | (0.09) | $ | 0.85 | $ | (0.88) | $ | (1.21) | |||||||||||||||||||
Diluted | $ | 0.05 | $ | (0.09) | $ | 0.85 | $ | (0.88) | $ | (1.21) | |||||||||||||||||||
Weighted average number of common shares outstanding | |||||||||||||||||||||||||||||
Basic | 515,729,658 | 500,950,563 | 500,612,840 | 499,871,725 | 494,330,361 | ||||||||||||||||||||||||
Diluted | 516,832,152 | 500,950,563 | 501,182,043 | 499,871,725 | 494,330,361 | ||||||||||||||||||||||||
Other comprehensive income (loss) | |||||||||||||||||||||||||||||
Net income (loss) | $ | 82,351 | $ | (8,833) | $ | 465,174 | $ | (391,232) | $ | (569,084) | |||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 428,955 | (54,243) | (281,869) | 1,024,637 | (825,286) | ||||||||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 15,769 | 179,234 | 335,351 | 334,739 | 513,041 | ||||||||||||||||||||||||
Other comprehensive income (loss) | 444,724 | 124,991 | 53,482 | 1,359,376 | (312,245) | ||||||||||||||||||||||||
Comprehensive income (loss) | 527,075 | 116,158 | 518,656 | 968,144 | (881,329) | ||||||||||||||||||||||||
Comprehensive income (loss) attributable to noncontrolling interests | 15,906 | 650 | 2,282 | 12,511 | (6,879) | ||||||||||||||||||||||||
Comprehensive income (loss) attributable to Annaly | 511,169 | 115,508 | 516,374 | 955,633 | (874,450) | ||||||||||||||||||||||||
Dividends on preferred stock | 41,628 | 37,158 | 37,061 | 37,181 | 36,854 | ||||||||||||||||||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 469,541 | $ | 78,350 | $ | 479,313 | $ | 918,452 | $ | (911,304) | |||||||||||||||||||
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) | |||||||||||
For the nine months ended | |||||||||||
September 30, 2024 | September 30, 2023 | ||||||||||
(unaudited) | (unaudited) | ||||||||||
Net interest income | |||||||||||
Interest income | $ | 3,501,154 | $ | 2,741,229 | |||||||
Interest expense | 3,440,646 | 2,799,063 | |||||||||
Net interest income | 60,508 | (57,834) | |||||||||
Net servicing income | |||||||||||
Servicing and related income | 358,182 | 265,683 | |||||||||
Servicing and related expense | 37,821 | 26,433 | |||||||||
Net servicing income | 320,361 | 239,250 | |||||||||
Other income (loss) | |||||||||||
Net gains (losses) on investments and other | 160,841 | (4,020,362) | |||||||||
Net gains (losses) on derivatives | 53,621 | 2,702,003 | |||||||||
Loan loss (provision) reversal | — | 219 | |||||||||
Other, net | 75,596 | 50,853 | |||||||||
Total other income (loss) | 290,058 | (1,267,287) | |||||||||
General and administrative expenses | |||||||||||
Compensation expense | 96,448 | 90,090 | |||||||||
Other general and administrative expenses | 30,934 | 33,562 | |||||||||
Total general and administrative expenses | 127,382 | 123,652 | |||||||||
Income (loss) before income taxes | 543,545 | (1,209,523) | |||||||||
Income taxes | 4,853 | 37,702 | |||||||||
Net income (loss) | 538,692 | (1,247,225) | |||||||||
Net income (loss) attributable to noncontrolling interests | 18,838 | (7,797) | |||||||||
Net income (loss) attributable to Annaly | 519,854 | (1,239,428) | |||||||||
Dividends on preferred stock | 115,847 | 104,495 | |||||||||
Net income (loss) available (related) to common stockholders | $ | 404,007 | $ | (1,343,923) | |||||||
Net income (loss) per share available (related) to common stockholders | |||||||||||
Basic | $ | 0.80 | $ | (2.73) | |||||||
Diluted | $ | 0.80 | $ | (2.73) | |||||||
Weighted average number of common shares outstanding | |||||||||||
Basic | 505,800,723 | 492,744,997 | |||||||||
Diluted | 506,618,143 | 492,744,997 | |||||||||
Other comprehensive income (loss) | |||||||||||
Net income (loss) | $ | 538,692 | $ | (1,247,225) | |||||||
Unrealized gains (losses) on available-for-sale securities | 92,843 | (443,957) | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | 530,354 | 1,458,077 | |||||||||
Other comprehensive income (loss) | 623,197 | 1,014,120 | |||||||||
Comprehensive income (loss) | 1,161,889 | (233,105) | |||||||||
Comprehensive income (loss) attributable to noncontrolling interests | 18,838 | (7,797) | |||||||||
Comprehensive income (loss) attributable to Annaly | 1,143,051 | (225,308) | |||||||||
Dividends on preferred stock | 115,847 | 104,495 | |||||||||
Comprehensive income (loss) attributable to common stockholders | $ | 1,027,204 | $ | (329,803) | |||||||
Key Financial Data |
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Portfolio related metrics | |||||||||||||||||
Fixed-rate Residential Securities as a percentage of total Residential Securities | 98 | % | 98 | % | 98 | % | |||||||||||
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities | 2 | % | 2 | % | 2 | % | |||||||||||
Weighted average experienced CPR for the period | 7.6 | % | 7.4 | % | 7.3 | % | |||||||||||
Weighted average projected long-term CPR at period-end | 11.9 | % | 8.5 | % | 7.1 | % | |||||||||||
Liabilities and hedging metrics | |||||||||||||||||
Weighted average days to maturity on repurchase agreements outstanding at period-end | 34 | 36 | 52 | ||||||||||||||
Hedge ratio (1) | 101 | % | 98 | % | 115 | % | |||||||||||
Weighted average pay rate on interest rate swaps at period-end (2) | 3.05 | % | 3.13 | % | 2.61 | % | |||||||||||
Weighted average receive rate on interest rate swaps at period-end (2) | 4.94 | % | 5.30 | % | 5.27 | % | |||||||||||
Weighted average net rate on interest rate swaps at period-end (2) | (1.89 | %) | (2.17 | %) | (2.66 | %) | |||||||||||
GAAP leverage at period-end (3) | 6.9:1 | 7.1:1 | 7.1:1 | ||||||||||||||
GAAP capital ratio at period-end (4) | 12.4 | % | 12.0 | % | 11.9 | % | |||||||||||
Performance related metrics | |||||||||||||||||
Book value per common share | $ | 19.54 | $ | 19.25 | $ | 18.25 | |||||||||||
GAAP net income (loss) per average common share(5) | $ | 0.05 | $ | (0.09) | $ | (1.21) | |||||||||||
Annualized GAAP return (loss) on average equity(6) | 2.77 | % | (0.31 | %) | (20.18 | %) | |||||||||||
Net interest margin (7) | 0.06 | % | 0.24 | % | (0.20 | %) | |||||||||||
Average yield on interest earning assets (8) | 5.16 | % | 5.17 | % | 4.49 | % | |||||||||||
Average GAAP cost of interest bearing liabilities (9) | 5.42 | % | 5.43 | % | 5.27 | % | |||||||||||
Net interest spread | (0.26 | %) | (0.26 | %) | (0.78 | %) | |||||||||||
Dividend declared per common share | $ | 0.65 | $ | 0.65 | $ | 0.65 | |||||||||||
Annualized dividend yield (10) | 12.95 | % | 13.64 | % | 13.82 | % | |||||||||||
Non-GAAP metrics * | |||||||||||||||||
Earnings available for distribution per average common share (5) | $ | 0.66 | $ | 0.68 | $ | 0.66 | |||||||||||
Annualized EAD return on average equity (excluding PAA) | 12.95 | % | 13.36 | % | 12.96 | % | |||||||||||
Economic leverage at period-end (3) | 5.7:1 | 5.8:1 | 6.4:1 | ||||||||||||||
Economic capital ratio at period end (4) | 14.6 | % | 14.2 | % | 13.1 | % | |||||||||||
Net interest margin (excluding PAA) (7) | 1.52 | % | 1.58 | % | 1.48 | % | |||||||||||
Average yield on interest earning assets (excluding PAA) (8) | 5.25 | % | 5.14 | % | 4.46 | % | |||||||||||
Average economic cost of interest bearing liabilities (9) | 3.93 | % | 3.90 | % | 3.28 | % | |||||||||||
Net interest spread (excluding PAA) | 1.32 | % | 1.24 | % | 1.18 | % | |||||||||||
* Represents a non-GAAP financial measure. Please refer to the "Non-GAAP Financial Measures" section for additional information. (1) Measures total notional balances of interest rate swaps, interest rate swaptions (excluding receiver swaptions), futures and U.S. Treasury securities sold, not yet purchased, relative to repurchase agreements, other secured financing, cost basis of TBA derivatives outstanding and net forward purchases (sales) of investments; excludes MSR and the effects of term financing, both of which serve to reduce interest rate risk. Additionally, the hedge ratio does not take into consideration differences in duration between assets and liabilities. (2) Excludes forward starting swaps. (3) GAAP leverage is computed as the sum of repurchase agreements, other secured financing, debt issued by securitization vehicles, participations issued, and U.S. Treasury securities sold, not yet purchased divided by total equity. Economic leverage is computed as the sum of recourse debt, cost basis of to-be-announced ("TBA") derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to the Company and are excluded from economic leverage. (4) GAAP capital ratio is computed as total equity divided by total assets. Economic capital ratio is computed as total equity divided by total economic assets. Total economic assets include the implied market value of TBA derivatives and are net of debt issued by securitization vehicles. (5) Net of dividends on preferred stock. (6) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 0.69%, (0.08%) and (5.04%) for the quarters ended September 30, 2024, June 30, 2024, and September 30, 2023, respectively. (7) Net interest margin represents interest income less interest expense divided by average interest earning assets. Net interest margin does not include net interest component of interest rate swaps. Net interest margin (excluding PAA) represents the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances. (8) Average yield on interest earning assets represents annualized interest income divided by average interest earning assets. Average interest earning assets reflects the average amortized cost of our investments during the period. Average yield on interest earning assets (excluding PAA) is calculated using annualized interest income (excluding PAA). (9) Average GAAP cost of interest bearing liabilities represents annualized interest expense divided by average interest bearing liabilities. Average interest bearing liabilities reflects the average balances during the period. Average economic cost of interest bearing liabilities represents annualized economic interest expense divided by average interest bearing liabilities. Economic interest expense is comprised of GAAP interest expense, the net interest component of interest rate swaps, and, beginning with the quarter ended June 30, 2024, net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statement of Comprehensive Income (Loss). Prior period results have not been adjusted in accordance with this change as the impact is not material. Net interest on variation margin related to interest rate swaps was previously and is currently included in the Net interest component of interest rate swaps in the Company's Consolidated Statement of Comprehensive Income (Loss) for all periods presented. (10) Based on the closing price of the Company’s common stock of $20.07, $19.06 and $18.81 at September 30, 2024, June 30, 2024 and September 30, 2023, respectively. |
For the quarters ended | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Agency mortgage-backed securities | $ | 69,150,399 | $ | 64,390,905 | $ | 66,591,536 | |||||||||||
Residential credit risk transfer securities | 826,841 | 838,437 | 982,951 | ||||||||||||||
Non-agency mortgage-backed securities | 1,616,696 | 1,702,859 | 2,063,861 | ||||||||||||||
Commercial mortgage-backed securities | 106,241 | 112,552 | 222,382 | ||||||||||||||
Total securities | $ | 71,700,177 | $ | 67,044,753 | $ | 69,860,730 | |||||||||||
Residential mortgage loans | $ | 2,305,613 | $ | 2,548,228 | $ | 1,793,140 | |||||||||||
Total loans, net | $ | 2,305,613 | $ | 2,548,228 | $ | 1,793,140 | |||||||||||
Mortgage servicing rights | $ | 2,693,057 | $ | 2,785,614 | $ | 2,234,813 | |||||||||||
Residential mortgage loans transferred or pledged to securitization vehicles | $ | 21,044,007 | $ | 17,946,812 | $ | 11,450,346 | |||||||||||
Assets transferred or pledged to securitization vehicles | $ | 21,044,007 | $ | 17,946,812 | $ | 11,450,346 | |||||||||||
Total investment portfolio | $ | 97,742,854 | $ | 90,325,407 | $ | 85,339,029 | |||||||||||
Non-GAAP Financial Measures |
For the quarters ended | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||
GAAP net income (loss) | $ | 82,351 | $ | (8,833) | $ | (569,084) | |||||||||||
Adjustments to exclude reported realized and unrealized (gains) losses | |||||||||||||||||
Net (gains) losses on investments and other (1) | (1,724,051) | 568,874 | 2,710,208 | ||||||||||||||
Net (gains) losses on derivatives (2) | 2,071,493 | (132,115) | (1,732,753) | ||||||||||||||
Other adjustments | |||||||||||||||||
Amortization of intangibles | 673 | 673 | 2,384 | ||||||||||||||
Non-EAD (income) loss allocated to equity method investments (3) | 1,465 | (523) | (140) | ||||||||||||||
Transaction expenses and non-recurring items (4) | 4,966 | 5,329 | 1,882 | ||||||||||||||
Income tax effect of non-EAD income (loss) items | (9,248) | 10,016 | 9,444 | ||||||||||||||
TBA dollar roll income (5) | (1,132) | 486 | (1,016) | ||||||||||||||
MSR amortization (6) | (62,480) | (56,100) | (49,073) | ||||||||||||||
EAD attributable to noncontrolling interests | (2,893) | (3,362) | (3,811) | ||||||||||||||
Premium amortization adjustment cost (benefit) | 21,365 | (7,306) | (6,062) | ||||||||||||||
Earnings available for distribution * | 382,509 | 377,139 | 361,979 | ||||||||||||||
Dividends on preferred stock | 41,628 | 37,158 | 36,854 | ||||||||||||||
Earnings available for distribution attributable to common stockholders * | $ | 340,881 | $ | 339,981 | $ | 325,125 | |||||||||||
GAAP net income (loss) per average common share | $ | 0.05 | $ | (0.09) | $ | (1.21) | |||||||||||
Earnings available for distribution per average common share * | $ | 0.66 | $ | 0.68 | $ | 0.66 | |||||||||||
Annualized GAAP return (loss) on average equity (7) | 2.77 | % | (0.31 | %) | (20.18 | %) | |||||||||||
Annualized EAD return on average equity * | 12.95 | % | 13.36 | % | 12.96 | % | |||||||||||
* Represents a non-GAAP financial measure. (1) Includes write-downs or recoveries on investments which are reported in Other, net in the Company's Consolidated Statement of Comprehensive Income (Loss). (2) The adjustment to add back Net (gains) losses on derivatives does not include the net interest component of interest rate swaps which is reflected in earnings available for distribution. The net interest component of interest rate swaps totaled $317.5 million, $298.4 million and $394.7 million for the quarters ended September 30, 2024, June 30, 2024 and September 30, 2023, respectively. (3) The Company excludes non-EAD (income) loss allocated to equity method investments, which represents the unrealized (gains) losses allocated to equity interests in a portfolio of MSR, which is a component of Other, net. (4) Represents costs incurred in connection with securitizations of residential whole loans. (5) TBA dollar roll income represents a component of Net gains (losses) on derivatives. (6) MSR amortization utilizes purchase date cash flow assumptions and actual unpaid principal balances and is calculated as the difference between projected MSR yield income and net servicing income for the period. (7) Annualized GAAP return (loss) on average equity annualizes realized and unrealized gains and (losses) which may not be indicative of full year performance, unannualized GAAP return (loss) on average equity is 0.69%, (0.08%), and (5.04%) for the quarters ended September 30, 2024, June 30, 2024, and September 30, 2023, respectively. |
For the quarters ended | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
(dollars in thousands) | |||||||||||||||||
Premium amortization expense (accretion) | $ | 53,448 | $ | 10,437 | $ | 24,272 | |||||||||||
Less: PAA cost (benefit) | 21,365 | (7,306) | (6,062) | ||||||||||||||
Premium amortization expense (excluding PAA) | $ | 32,083 | $ | 17,743 | $ | 30,334 | |||||||||||
As of | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Economic leverage ratio reconciliation | (dollars in thousands) | ||||||||||||||||
Repurchase agreements | $ | 64,310,276 | $ | 60,787,994 | $ | 64,693,821 | |||||||||||
Other secured financing | 600,000 | 600,000 | 500,000 | ||||||||||||||
Debt issued by securitization vehicles | 18,709,118 | 15,831,915 | 9,983,847 | ||||||||||||||
Participations issued | 467,006 | 1,144,821 | 788,442 | ||||||||||||||
U.S Treasury securities sold, not yet purchased | 2,043,519 | 1,974,602 | — | ||||||||||||||
Total GAAP debt | $ | 86,129,919 | $ | 80,339,332 | $ | 75,966,110 | |||||||||||
Less Non-Recourse Debt: | |||||||||||||||||
Debt issued by securitization vehicles | $ | (18,709,118) | $ | (15,831,915) | $ | (9,983,847) | |||||||||||
Participations issued | (467,006) | (1,144,821) | (788,442) | ||||||||||||||
Total recourse debt | $ | 66,953,795 | $ | 63,362,596 | $ | 65,193,821 | |||||||||||
Plus / (Less): | |||||||||||||||||
Cost basis of TBA derivatives | $ | 3,333,873 | $ | 1,639,941 | $ | 1,965,117 | |||||||||||
Payable for unsettled trades | 1,885,286 | 1,096,271 | 2,214,319 | ||||||||||||||
Receivable for unsettled trades | (766,341) | (320,659) | (1,047,566) | ||||||||||||||
Economic debt * | $ | 71,406,613 | $ | 65,778,149 | $ | 68,325,691 | |||||||||||
Total equity | $ | 12,539,949 | $ | 11,262,904 | $ | 10,677,057 | |||||||||||
Economic leverage ratio * | 5.7:1 | 5.8:1 | 6.4:1 | ||||||||||||||
* Represents a non-GAAP financial measure. |
As of | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Economic capital ratio reconciliation | (dollars in thousands) | ||||||||||||||||
Total GAAP assets | $ | 101,515,995 | $ | 93,668,577 | $ | 89,648,423 | |||||||||||
Less: | |||||||||||||||||
Gross unrealized gains on TBA derivatives (1) | (2,869) | (14,641) | (7,232) | ||||||||||||||
Debt issued by securitization vehicles | (18,709,118) | (15,831,915) | (9,983,847) | ||||||||||||||
Plus: | |||||||||||||||||
Implied market value of TBA derivatives | 3,328,141 | 1,652,389 | 1,925,614 | ||||||||||||||
Total economic assets * | $ | 86,132,149 | $ | 79,474,410 | $ | 81,582,958 | |||||||||||
Total equity | $ | 12,539,949 | $ | 11,262,904 | $ | 10,677,057 | |||||||||||
Economic capital ratio * | 14.6% | 14.2% | 13.1% | ||||||||||||||
* Represents a non-GAAP financial measure. (1) Included in Derivative assets in the Company’s Consolidated Statements of Financial Condition. | |||||||||||||||||
For the quarters ended | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Interest income (excluding PAA) reconciliation | (dollars in thousands) | ||||||||||||||||
GAAP interest income | $ | 1,229,341 | $ | 1,177,325 | $ | 1,001,485 | |||||||||||
Premium amortization adjustment | 21,365 | (7,306) | (6,062) | ||||||||||||||
Interest income (excluding PAA) * | $ | 1,250,706 | $ | 1,170,019 | $ | 995,423 | |||||||||||
Economic interest expense reconciliation | |||||||||||||||||
GAAP interest expense | $ | 1,215,940 | $ | 1,123,767 | $ | 1,046,819 | |||||||||||
Add: | |||||||||||||||||
Net interest component of interest rate swaps and net interest on initial margin related to interest rate swaps (1) | (333,696) | (317,297) | (394,677) | ||||||||||||||
Economic interest expense * | $ | 882,244 | $ | 806,470 | $ | 652,142 | |||||||||||
Economic net interest income (excluding PAA) reconciliation | |||||||||||||||||
Interest income (excluding PAA) * | $ | 1,250,706 | $ | 1,170,019 | $ | 995,423 | |||||||||||
Less: | |||||||||||||||||
Economic interest expense * | 882,244 | 806,470 | 652,142 | ||||||||||||||
Economic net interest income (excluding PAA) * | $ | 368,462 | $ | 363,549 | $ | 343,281 | |||||||||||
* Represents a non-GAAP financial measure. (1) Interest on initial margin related to interest rate swaps is reported in Other, net in the Company’s Consolidated Statement of Comprehensive Income (Loss). |
For the quarters ended | |||||||||||||||||
September 30, 2024 | June 30, 2024 | September 30, 2023 | |||||||||||||||
Economic metrics (excluding PAA) | (dollars in thousands) | ||||||||||||||||
Average interest earning assets | $ | 95,379,071 | $ | 91,008,934 | $ | 89,300,922 | |||||||||||
Interest income (excluding PAA) * | $ | 1,250,706 | $ | 1,170,019 | $ | 995,423 | |||||||||||
Average yield on interest earning assets (excluding PAA) * | 5.25 | % | 5.14 | % | 4.46 | % | |||||||||||
Average interest bearing liabilities | $ | 87,819,655 | $ | 81,901,233 | $ | 77,780,989 | |||||||||||
Economic interest expense * | $ | 882,244 | $ | 806,470 | $ | 652,142 | |||||||||||
Average economic cost of interest bearing liabilities * | 3.93 | % | 3.90 | % | 3.28 | % | |||||||||||
Economic net interest income (excluding PAA) * | $ | 368,462 | $ | 363,549 | $ | 343,281 | |||||||||||
Net interest spread (excluding PAA) * | 1.32 | % | 1.24 | % | 1.18 | % | |||||||||||
Interest income (excluding PAA) * | $ | 1,250,706 | $ | 1,170,019 | $ | 995,423 | |||||||||||
TBA dollar roll income | (1,132) | 486 | (1,016) | ||||||||||||||
Economic interest expense * | (882,244) | (806,470) | (652,142) | ||||||||||||||
Subtotal | $ | 367,330 | $ | 364,035 | $ | 342,265 | |||||||||||
Average interest earnings assets | $ | 95,379,071 | $ | 91,008,934 | $ | 89,300,922 | |||||||||||
Average TBA contract balances | 973,713 | 998,990 | 2,960,081 | ||||||||||||||
Subtotal | $ | 96,352,784 | $ | 92,007,924 | $ | 92,261,003 | |||||||||||
Net interest margin (excluding PAA) * | 1.52 | % | 1.58 | % | 1.48 | % | |||||||||||
* Represents a non-GAAP financial measure. |