EX-99.1 2 a2024q3nlyex991.htm EX-99.1 Document

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安那利资本管理公司报告2024年第三季度业绩。
纽约─2024年10月23日─安那利资本管理公司(纽交所:NLY)("安那利"或"公司")今天宣布了截至2024年9月30日的季度财务结果。
财务亮点
每股普通股平均每季度按照GAAP标准计算的净利润为每股$0.05
每股普通股平均盈余可分派额("EAD")为每股$0.66。
第三季经济回报率为4.9%,截至第三季度年初至今为10.5%。
每股普通股的帐面价值为19.54美元
GAAP杠杆率为6.9倍,低于前一季的7.1倍;经济杠杆率为5.7倍,低于前一季的5.8倍。
宣布每股普通股现金股息为0.65美元

业务亮点
投资与策略
总投资组合为818亿美元,其中高流动性机构组合达725亿美元(1)
安纳利的机构投资组合季度季度增加了64亿美元,因为我们部署了12亿美元增值普通股的一部分(2) 自季初以来筹集的资金转入高品质、票面较高的特定组合和TBAs
安纳利的经纪投资组合占专门股本的61%。(3),较上一季的58%有所增加。
积极管理对冲组合,随著利率期货急剧下滑,将对冲工具转为较短期限,轻微增加对冲比例至101%。
安纳利的住宅信贷组合增加了9%,达到65亿美元(1) 鉴于持续创纪录的整合贷款对应频道活动,占专款股本的18%(3)
自2021年4月通讯渠道成立以来,贷款资金已超过150亿美元,而第三季度购买的30亿美元整额贷款创下了季度纪录
安纳利的抵押贷款服务权(MSR)组合在本季结束时市值为28亿美元,与上一季相比几乎没有变化,占专门股本的21%。(1) 市值为28亿美元,与上季相较无几,占专属股本的21%。(3)
宣布与Rocket Mortgage("Rocket")建立战略性副服务关系,Rocket将负责管理和重新收回Annaly MSR投资组合的部分活动

融资与资本
总计74亿资产可用于融资。(4),包括现金和未抵押的Agency MBS共47亿。
按照GAAP标准,融资负债的平均成本降低了一个基点,为5.42%;按照经济准则,融资负债的平均成本则季度对季度增加了三个基点,达3.93%。
Annaly的住宅信用和MSR业务通过新设和扩大的信贷渠道分别增加了56000万和30000万美元的融资能力;两个业务的总库存容量达50亿美元,包括19亿美元的承诺容量。(5)
回购协议的加权平均到期日从上一季的36天下降至34天。
自2024年初以来,安纳利住宅信贷集团共定价了18笔整条贷款证券化项目,总额达94亿美元(6)
安纳利保持著最大的非银行发行人地位,也是最大的首要珍宝和扩大信用MBS的第二大发行人。(7)

在第三季度,安纳利经济回报率达到4.9%,全年前九个月达到10.5%,展示了我们多元化住房金融投资组合的实力,该公司首席执行官和首席投资官大卫·芬克尔斯坦(David Finkelstein)表示。"机构MBS从美联储降息周期开始受益,我们能够将本季度筹集到的股本投入到这一板块,因为新资金回报率具有吸引力。与此同时,我们的整额贷款对应渠道继续创造记录性的产量,具有卓越的信用质量,我们独特的MSR组合持续超出预期表现。展望未来,我们对正在改善的运营环境持乐观态度,相信我们的投资组合已经妥善定位,能够提供强劲的风险调整回报。


(1) 总投资组合代表安纳利在资产负债表上以及在资产负债表之外具有经济风险的投资。资产不包括转让或抵押给21.0亿美元的证券化工具,包括市值为3.3亿美元的TBA购买合约,包括未结算的MSR承诺为1.25亿美元,包括被兑现的证券21.0亿美元,这些资产在合并中被消除,并以发行的参与部分为0.5亿美元显示净额。 MSR承诺代表安纳利已签署意向书的交易的市值。尚无法保证这些交易是否会完成,或何时会完成。
(2) 金额包括公司在季度内和季度结束后通过其大宗市场销售计划筹集的11.5亿美元和5000万美元,扣除销售代理佣金和其他发行费用。
(3) 每个投资策略的资本配置是根据每个投资策略的资产配置(包括TBA购买合同)和负债之间的差额计算。
(4) 由65亿美元的资产组成,这代表著安纳利资产的超额流动性,被定义为未被抵押或证券化的资产(通常包括现金及现金等价物、机构MBS、CRt、非机构MBS、住宅按揭贷款、MSR、逆回购协议、其他未被抵押的金融资产和股本),以及价值9亿美元的未来提款所抵押的标的资产。
(5) 包括一项3亿美元的信用额度,供应Annaly的MSR业务,在季度结束后完成交易。
(6) 包括于2024年10月定价的63600万美元整合贷款证券化。
(7) Inside Nonconforming Markets于2023年第三季至2024年第三季(2024年10月11日出版)发布的发行人排名数据。



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$
以下表格汇总了截至2024年9月30日、2024年6月30日和2023年9月30日季结束时的某些关键绩效因数:
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)
6.9:17.1:17.1:1
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)
5.7:15.8:16.4:1
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。
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其他资讯
本新闻稿及我们参考的公开文件包含或纳入了某些前瞻性陈述,这些陈述基于各种假设(其中一些超出我们的控制范围),可透过提及未来的时期或时期或使用前瞻性术语来识别,例如“可能”,“将”,“相信”,“期望”,“预期”,“继续”,或类似术语或术语的变化或其否定。此类陈述包括与公司未来表现、宏观环境、利率和信贷环境、税改以及未来机遇有关的陈述。由于各种因素,实际结果可能与前瞻性陈述中所述的有实质差异,这些因素包括但不限于利率变动;收益曲线变动;预付速度变动;购买抵押支持证券(“MBS”)和其他证券的可用性;融资的可用性以及如果可用的话,任何融资的条款;本公司资产市值变动;业务环境和整体经济状况的变动;公司发展其住宅信用业务的能力;公司扩展其抵押服务权业务的能力;与公司对信用风险转移证券和住宅抵押支持证券以及相关住宅抵押信用资产的投资相关的信用风险;与抵押服务权投资相关的风险;公司完成任何拟议投资机会的能力;政府法规或影响公司业务的政策变动;公司保持其作为美国联邦所得税法REIt的资格的能力;公司保持其在1940年投资公司法下的豁免;以及由我们或重要第三方引起的营运风险或风险管理失败,包括网络安全概念事件。有关可能导致实际结果与前瞻性陈述不同的风险和不确定性的讨论,请参阅我们最近的10-k表格上的“风险因素”以及任何后续的10-Q季度报告。公司不担保,并特别否认对任何可能对任何前瞻性陈述进行的任何修正的结果进行公开发布,以反映在该等陈述日期之后发生的预期或非预期事件或情况,除非法律另有要求。
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 Third Quarter 2024 Investor Presentation and the Third 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 third quarter 2024 earnings conference call on October 24, 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/10193341/fda88631c3. 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 3078594. 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.



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Financial Statements
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except per share data)
September 30, 2024June 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 
Securities71,700,177 67,044,753 66,500,689 69,613,565 69,860,730 
Loans, net2,305,613 2,548,228 2,717,823 2,353,084 1,793,140 
Mortgage servicing rights2,693,057 2,785,614 2,651,279 2,122,196 2,234,813 
Assets transferred or pledged to securitization vehicles21,044,007 17,946,812 15,614,750 13,307,622 11,450,346 
Derivative assets59,071 187,868 203,799 162,557 549,833 
Receivable for unsettled trades766,341 320,659 941,366 2,710,224 1,047,566 
Principal and interest receivable1,060,991 917,130 867,348 1,222,705 1,158,648 
Intangible assets, net10,088 10,761 11,433 12,106 12,778 
Other assets316,491 319,644 309,689 311,029 299,447 
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 financing600,000 600,000 600,000 500,000 500,000 
Debt issued by securitization vehicles18,709,118 15,831,915 13,690,967 11,600,338 9,983,847 
Participations issued467,006 1,144,821 1,161,323 1,103,835 788,442 
U.S. Treasury securities sold, not yet purchased2,043,519 1,974,602 2,077,404 2,132,751 — 
Derivative liabilities102,628 100,829 103,142 302,295 97,616 
Payable for unsettled trades1,885,286 1,096,271 2,556,798 3,249,389 2,214,319 
Interest payable276,397 369,106 350,405 287,937 198,084 
Dividends payable362,731 325,662 325,286 325,052 321,629 
Other liabilities219,085 174,473 146,876 179,005 173,608 
Total liabilities88,976,046 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 capital24,851,604 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’ equity12,443,262 11,181,124 11,409,533 11,255,793 10,564,470 
Noncontrolling interests96,687 81,780 86,580 89,298 112,587 
Total equity12,539,949 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.






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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, 2024June 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 expense1,215,940 1,123,767 1,100,939 1,043,902 1,046,819 
Net interest income13,401 53,558 (6,451)(53,550)(45,334)
Net servicing income
Servicing and related income122,583 120,515 115,084 98,474 97,620 
Servicing and related expense12,988 12,617 12,216 11,219 9,623 
Net servicing income109,595 107,898 102,868 87,255 87,997 
Other income (loss)
Net gains (losses) on investments and other1,723,713 (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, net27,438 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 expense34,453 33,274 28,721 29,502 30,064 
Other general and administrative expenses9,468 11,617 9,849 9,399 9,845 
Total general and administrative expenses43,921 44,891 38,570 38,901 39,909 
Income (loss) before income taxes76,216 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 interests15,906 650 2,282 12,511 (6,879)
Net income (loss) attributable to Annaly66,445 (9,483)462,892 (403,743)(562,205)
Dividends on preferred stock41,628 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
Basic515,729,658 500,950,563 500,612,840 499,871,725 494,330,361 
Diluted516,832,152 500,950,563 501,182,043 499,871,725 494,330,361 
Other comprehensive income (loss)
Net income (loss) $82,351 $(8,833)$465,174 $(391,232)$(569,084)
Unrealized gains (losses) on available-for-sale securities428,955 (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 interests15,906 650 2,282 12,511 (6,879)
Comprehensive income (loss) attributable to Annaly511,169 115,508 516,374 955,633 (874,450)
Dividends on preferred stock41,628 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)







5


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, 2024September 30, 2023
(unaudited)(unaudited)
Net interest income
Interest income$3,501,154 $2,741,229 
Interest expense3,440,646 2,799,063 
Net interest income60,508 (57,834)
Net servicing income
Servicing and related income358,182 265,683 
Servicing and related expense37,821 26,433 
Net servicing income320,361 239,250 
Other income (loss)
Net gains (losses) on investments and other160,841 (4,020,362)
Net gains (losses) on derivatives53,621 2,702,003 
Loan loss (provision) reversal 219 
Other, net75,596 50,853 
Total other income (loss)290,058 (1,267,287)
General and administrative expenses
Compensation expense96,448 90,090 
Other general and administrative expenses30,934 33,562 
Total general and administrative expenses127,382 123,652 
Income (loss) before income taxes543,545 (1,209,523)
Income taxes4,853 37,702 
Net income (loss)538,692 (1,247,225)
Net income (loss) attributable to noncontrolling interests18,838 (7,797)
Net income (loss) attributable to Annaly519,854 (1,239,428)
Dividends on preferred stock115,847 104,495 
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
Basic505,800,723 492,744,997 
Diluted506,618,143 492,744,997 
Other comprehensive income (loss)
Net income (loss) $538,692 $(1,247,225)
Unrealized gains (losses) on available-for-sale securities92,843 (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 interests18,838 (7,797)
Comprehensive income (loss) attributable to Annaly1,143,051 (225,308)
Dividends on preferred stock115,847 104,495 
Comprehensive income (loss) attributable to common stockholders$1,027,204 $(329,803)







\
6


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 September 30, 2024, June 30, 2024 and September 30, 2023:
September 30, 2024June 30, 2024September 30, 2023
Portfolio related metrics
Fixed-rate Residential Securities as a percentage of total Residential Securities98 %98 %98 %
Adjustable-rate and floating-rate Residential Securities as a percentage of total Residential Securities2 %%%
Weighted average experienced CPR for the period7.6 %7.4 %7.3 %
Weighted average projected long-term CPR at period-end11.9 %8.5 %7.1 %
Liabilities and hedging metrics
Weighted average days to maturity on repurchase agreements outstanding at period-end343652
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)
6.9:17.1:17.1:1
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)
5.7:15.8:16.4:1
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.
7


The following table contains additional information on our investment portfolio as of the dates presented:
For the quarters ended
 September 30, 2024June 30, 2024September 30, 2023
Agency mortgage-backed securities$69,150,399 $64,390,905 $66,591,536 
Residential credit risk transfer securities826,841 838,437 982,951 
Non-agency mortgage-backed securities1,616,696 1,702,859 2,063,861 
Commercial mortgage-backed securities106,241 112,552 222,382 
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
To supplement its consolidated financial statements, which are prepared and presented in accordance with U.S. generally accepted accounting principles ("GAAP"), the Company provides the following non-GAAP measures:
earnings available for distribution ("EAD");
earnings available for distribution attributable to common stockholders;
earnings available for distribution per average common share;
annualized EAD return on average equity;
economic leverage;
economic capital ratio;
interest income (excluding PAA);
economic interest expense;
economic net interest income (excluding PAA);
average yield on interest earning assets (excluding PAA);
average economic cost of interest bearing liabilities;
net interest margin (excluding PAA); and
net interest spread (excluding PAA).

These measures should not be considered a substitute for, or superior to, financial measures computed in accordance with GAAP. While intended to offer a fuller understanding of the Company’s results and operations, non-GAAP financial measures also have limitations. For example, the Company may calculate its non-GAAP metrics, such as earnings available for distribution, or the PAA, differently than its peers making comparative analysis difficult. Additionally, in the case of non-GAAP measures that exclude the PAA, the amount of amortization expense excluding the PAA is not necessarily representative of the amount of future periodic amortization nor is it indicative of the term over which the Company will amortize the remaining unamortized premium. Changes to actual and estimated prepayments will impact the timing and amount of premium amortization and, as such, both GAAP and non-GAAP results.
These non-GAAP measures provide additional detail to enhance investor understanding of the Company’s period-over-period operating performance and business trends, as well as for assessing the Company’s performance versus that of industry peers. Additional information pertaining to the Company’s use of these non-GAAP financial measures, including discussion of how each such measure may be useful to investors, and reconciliations to their most directly comparable GAAP results are provided below.
Earnings available for distribution, earnings available for distribution attributable to common stockholders, earnings available for distribution per average common share and annualized EAD return on average equity
The Company's principal business objective is to generate net income for distribution to its stockholders and to preserve capital through prudent selection of investments and continuous management of its portfolio. The Company generates net income by earning a net interest spread on its investment portfolio, which is a function of interest income from its investment portfolio less financing, hedging and operating costs.  Earnings available for distribution, which is defined as the sum of (a) economic net interest income, (b) TBA dollar roll income, (c) net servicing income less realized amortization of MSR, (d) other income (loss) (excluding amortization of intangibles, non-EAD income allocated to equity method investments and other non-EAD components of other income (loss)), (e) general and administrative expenses (excluding transaction expenses and non-recurring items), and (f) income taxes (excluding the income tax effect of non-EAD income (loss) items) and excludes (g) the premium amortization adjustment ("PAA") representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities is used by the Company's management and, the Company believes, used by analysts and investors to measure its progress in achieving its principal business objective.
The Company seeks to fulfill this objective through a variety of factors including portfolio construction, the degree of market risk exposure and related hedge profile, and the use and forms of leverage, all while operating within the parameters of the Company's capital allocation policy and risk governance framework.
8


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
September 30, 2024June 30, 2024September 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 intangibles673 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 stock41,628 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.
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
9


value on its Consolidated Statements of Financial Condition and recognizes periodic changes in fair value in Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss), which includes both unrealized and realized gains and losses on derivatives.
TBA dollar roll income is calculated as the difference in price between two TBA contracts with the same terms but different settlement dates multiplied by the notional amount of the TBA contract. Although accounted for as derivatives, TBA dollar rolls capture the economic equivalent of net interest income, or carry, on the underlying Agency mortgage-backed security (interest income less an implied cost of financing). TBA dollar roll income is reported as a component of Net gains (losses) on derivatives in the Consolidated Statements of Comprehensive Income (Loss).
Premium Amortization Expense
In accordance with GAAP, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities, excluding interest-only securities, multifamily and reverse mortgages, taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third-party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security’s acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period.
The Company’s GAAP metrics include the unadjusted impact of amortization and accretion associated with this method. Certain of the Company’s non-GAAP metrics exclude the effect of the PAA, which quantifies the component of premium amortization representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term CPR.
The following table illustrates the impact of the PAA on premium amortization expense for the Company’s Residential Securities portfolio and residential securities transferred or pledged to securitization vehicles, for the quarters ended September 30, 2024, June 30, 2024 and September 30, 2023:
For the quarters ended
September 30, 2024June 30, 2024September 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 
Economic leverage and economic capital ratios
The Company uses capital coupled with borrowed funds to invest primarily in real estate related investments, earning the spread between the yield on its assets and the cost of its borrowings and hedging activities. The Company’s capital structure is designed to offer an efficient complement of funding sources to generate positive risk-adjusted returns for its stockholders while maintaining appropriate liquidity to support its business and meet the Company’s financial obligations under periods of market stress. To maintain its desired capital profile, the Company utilizes a mix of debt and equity funding. Debt funding may include the use of repurchase agreements, loans, securitizations, participations issued, lines of credit, asset backed lending facilities, corporate bond issuance, convertible bonds or other liabilities. Equity capital primarily consists of common and preferred stock.
The Company’s economic leverage ratio is computed as the sum of recourse debt, cost basis of TBA derivatives outstanding, and net forward purchases (sales) of investments divided by total equity. Recourse debt consists of repurchase agreements, other secured financing, and U.S. Treasury securities sold, not yet purchased. Debt issued by securitization vehicles and participations issued are non-recourse to the Company and are excluded from economic leverage.
The following table presents a reconciliation of GAAP debt to economic debt for purposes of calculating the Company’s economic leverage ratio for the periods presented:
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As of
September 30, 2024June 30, 2024September 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 purchased2,043,519 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 trades1,885,286 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 *
5.7:15.8:16.4:1
* Represents a non-GAAP financial measure.

The following table presents a reconciliation of GAAP total assets to economic total assets for purposes of calculating the Company’s economic capital ratio for the periods presented:
As of
September 30, 2024June 30, 2024September 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.

Interest income (excluding PAA), economic interest expense and economic net interest income (excluding PAA)
Interest income (excluding PAA) represents interest income excluding the effect of the PAA, and serves as the basis for deriving average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA) and net interest margin (excluding PAA), which are discussed below. The Company believes this measure provides management and investors with additional detail to enhance their understanding of the Company’s operating results and trends by excluding the component of premium amortization expense representing the cumulative impact on prior periods, but not the current period, of quarter-over-quarter changes in estimated long-term prepayment speeds related to the Company’s Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), which can obscure underlying trends in the performance of the portfolio.
Economic interest expense includes GAAP interest expense, the net interest component of interest rate swaps (which includes net interest on variation margin related to interest rate swaps) and net interest on initial margin related to interest rate swaps, which is reported in Other, net in the Company’s Consolidated Statement of Comprehensive Income (Loss). The Company uses interest rate swaps to manage its exposure to changing interest rates on its repurchase agreements by economically hedging cash flows associated with these borrowings. Accordingly, adding the net interest component of interest rate swaps to interest expense, as computed in accordance with GAAP, reflects the total contractual interest expense and thus, provides investors with additional information about the cost of the Company's financing strategy. The Company may use market agreed coupon ("MAC") interest rate swaps in which the Company may receive or make a payment at the time of entering into such interest rate swap to compensate for the off-market nature of such interest rate swap. In accordance with GAAP, upfront payments associated with MAC interest rate swaps are not reflected in the net interest component of interest rate swaps in the Company's Consolidated Statements of Comprehensive Income (Loss).
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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
September 30, 2024June 30, 2024September 30, 2023
Interest income (excluding PAA) reconciliation(dollars in thousands)
GAAP interest income$1,229,341 $1,177,325 $1,001,485 
Premium amortization adjustment21,365 (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).

Average yield on interest earning assets (excluding PAA), net interest spread (excluding PAA), net interest margin (excluding PAA) and average economic cost of interest bearing liabilities
Net interest spread (excluding PAA), which is the difference between the average yield on interest earning assets (excluding PAA) and the average economic cost of interest bearing liabilities, which represents annualized economic interest expense divided by average interest bearing liabilities, and net interest margin (excluding PAA), which is calculated as the sum of interest income (excluding PAA) plus TBA dollar roll income less economic interest expense divided by the sum of average interest earning assets plus average TBA contract balances, provide management with additional measures of the Company’s profitability that management relies upon in monitoring the performance of the business.
Disclosure of these measures, which are presented below, provides investors with additional detail regarding how management evaluates the Company’s performance.
For the quarters ended
September 30, 2024June 30, 2024September 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 balances973,713 998,990 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.
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