EX-99.1 2 a2024q3nlyex991.htm EX-99.1

安那利資本管理公司報告2024年第三季度業績。

紐約─2024年10月23日─安那利資本管理公司（紐交所：NLY）（"安那利"或"公司"）今天宣布了截至2024年9月30日的季度財務結果。

財務亮點

•每股普通股平均每季度按照GAAP標準計算的凈利潤為每股$0.05

•每股普通股平均盈餘可分派額（"EAD"）為每股$0.66。

•第三季經濟回報率為4.9%，截至第三季度年初至今為10.5%。

•每股普通股的帳面價值為19.54美元

•GAAP槓桿率為6.9倍，低於前一季的7.1倍；經濟槓桿率為5.7倍，低於前一季的5.8倍。

•宣布每股普通股現金股息為0.65美元

業務亮點

投資與策略

•總投資組合為818億美元，其中高流動性機構組合達725億美元(1)

•安納利的機構投資組合季度季度增加了64億美元，因為我們部署了12億美元增值普通股的一部分(2) 自季初以來籌集的資金轉入高品質、票面較高的特定組合和TBAs

–安納利的經紀投資組合佔專門股本的61％。(3)，較上一季的58％有所增加。

•積極管理對沖組合，隨著利率期貨急劇下滑，將對沖工具轉為較短期限，輕微增加對沖比例至101%。

•安納利的住宅信貸組合增加了9%，達到65億美元(1) 鑑於持續創紀錄的整合貸款對應頻道活動，佔專款股本的18%(3)

–自2021年4月通訊渠道成立以來，貸款資金已超過150億美元，而第三季度購買的30億美元整額貸款創下了季度紀錄

•安納利的抵押貸款服務權（MSR）組合在本季結束時市值為28億美元，與上一季相比幾乎沒有變化，佔專門股本的21%。(1) 市值為28億美元，與上季相較無幾，佔專屬股本的21%。(3)

–宣布與Rocket Mortgage（"Rocket"）建立戰略性副服務關係，Rocket將負責管理和重新收回Annaly MSR投資組合的部分活動

融資與資本

•總計74億資產可用於融資。(4)，包括現金和未抵押的Agency MBS共47億。

•按照GAAP標準，融資負債的平均成本降低了一個基點，為5.42％；按照經濟準則，融資負債的平均成本則季度對季度增加了三個基點，達3.93％。

•Annaly的住宅信用和MSR業務通過新設和擴大的信貸渠道分別增加了56000萬和30000萬美元的融資能力；兩個業務的總庫存容量達50億美元，包括19億美元的承諾容量。(5)

•回購協議的加權平均到期日從上一季的36天下降至34天。

•自2024年初以來，安納利住宅信貸集團共定價了18筆整條貸款證券化項目，總額達94億美元(6)

–安納利保持著最大的非銀行發行人地位，也是最大的首要珍寶和擴大信用MBS的第二大發行人。(7)

在第三季度，安納利經濟回報率達到4.9%，全年前九個月達到10.5%，展示了我們多元化住房金融投資組合的實力，該公司首席執行官和首席投資官大衛·芬克爾斯坦（David Finkelstein）表示。"機構MBS從美聯儲降息周期開始受益，我們能夠將本季度籌集到的股本投入到這一板塊，因為新資金回報率具有吸引力。與此同時，我們的整額貸款對應渠道繼續創造記錄性的產量，具有卓越的信用質量，我們獨特的MSR組合持續超出預期表現。展望未來，我們對正在改善的運營環境持樂觀態度，相信我們的投資組合已經妥善定位，能夠提供強勁的風險調整回報。

(1) 總投資組合代表安納利在資產負債表上以及在資產負債表之外具有經濟風險的投資。資產不包括轉讓或抵押給21.0億美元的證券化工具，包括市值為3.3億美元的TBA購買合約，包括未結算的MSR承諾為1.25億美元，包括被兌現的證券21.0億美元，這些資產在合併中被消除，並以發行的參與部分為0.5億美元顯示淨額。 MSR承諾代表安納利已簽署意向書的交易的市值。尚無法保證這些交易是否會完成，或何時會完成。

(2) 金額包括公司在季度內和季度結束後通過其大宗市場銷售計劃籌集的11.5億美元和5000萬美元，扣除銷售代理佣金和其他發行費用。

(3) 每個投資策略的資本配置是根據每個投資策略的資產配置（包括TBA購買合同）和負債之間的差額計算。

(4) 由65億美元的資產組成，這代表著安納利資產的超額流動性，被定義為未被抵押或證券化的資產（通常包括現金及現金等價物、機構MBS、CRt、非機構MBS、住宅按揭貸款、MSR、逆回購協議、其他未被抵押的金融資產和股本），以及價值9億美元的未來提款所抵押的標的資產。

(5) 包括一項3億美元的信用額度，供應Annaly的MSR業務，在季度結束後完成交易。

(6) 包括於2024年10月定價的63600萬美元整合貸款證券化。

(7) Inside Nonconforming Markets於2023年第三季至2024年第三季（2024年10月11日出版）發布的發行人排名數據。

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截至2024年6月30日止三個月的營收為37億美元，較去年同期下降了11%。該減少主要是由於公司採取了減少低利潤元件關係的措施以及匯率影響所致。美國的營收下降了15%，日本的營收下降了7%（但在不考慮匯率波動的情況下增加），主要市場的營收下降了5%，策略市場的營收下降了15%，以上數字與截至2023年6月30日止三個月相比。其中，凈利潤為1,100萬美元，較去年同期增長了1,5200萬美元，原因是折舊開銷降低。折舊開銷降低源於2024年4月1日起實施的信息技術裝備期望使用時間更改，具體帶來的淨年度收益為$

以下表格彙總了截至2024年9月30日、2024年6月30日和2023年9月30日季結束時的某些關鍵績效因數：

			2024年9月30日						2024年6月30日止季度						2023年9月30日
每股普通股的帳面價值			$	19.54					$	19.25					$	18.25
根據會計準則的凈利潤（損失）每股平均份額 (1)			$	0.05					$	(0.09)					$	(1.21)
年化的依據會計準則的平均權益回報（損失） (2)			2.77		%				(0.31		%)				(20.18		%)
期末的依據會計準則的槓桿(3)			6.9:1						7.1:1						7.1:1
凈利息收益率 (4)			0.06		%				0.24		%				(0.20		%)
利息收入資產的平均收益率 (5)			5.16		%				5.17		%				4.49		%
按照GAAP標準計算的軸承負債成本 (6)			5.42		%				5.43		%				5.27		%
淨利息差			(0.26		%)				(0.26		%)				(0.78		%)
非GAAP指標*
每股可供派息的盈利 (1)			$	0.66					$	0.68					$	0.66
平均權益年化超額抵押貸款利潤率			12.95		%				13.36		%				12.96		%
期末經濟槓桿(3)			5.7:1						5.8:1						6.4:1
凈利息收益率（不含PAA） (4)			1.52		%				1.58		%				1.48		%
收益資產平均收益率（不包括平均資產養護品） (5)			5.25		%				5.14		%				4.46		%
融通負債的平均經濟成本 (6)			3.93		%				3.90		%				3.28		%
凈利息價差（不包括平均資產養護品）			1.32		%				1.24		%				1.18		%
* 代表一項非GAAP財務指標。請查閱「非GAAP財務指標」一節以獲得更多資訊。 (1) 優先股股息之淨額。 (2) 年化GAAP股東權益的收益（損失）將實現及未實現之收益和（損失）年化，可能不具全年表現的指標，未經年化的GAAP股東權益的收益（損失）分別為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日的各個季度。 (3) GAAP槓桿是指購回協議、其他抵押融資、資產證券化所發行的債務、參與發行和未購買的美國國庫券被除以總權益所計算的總和。經濟槓桿是指追索債務、對待成本的待公布（"TBA"）衍生品未實現損益和投資的淨額正向（負向）購買被除以總權益所計算的總和。追索債務包括購回協議、其他抵押融資和美國國庫券，資產證券化所發行的債務和已發行的參與發行對公司來說是不追索的，因此被排除在經濟槓桿之外。 (4) 凈利息收益率代表利息收入減去利息支出後除以平均利息收入資產。凈利息收益率不包括利率掉期的淨利息成分。凈利息收益率（不包括PAA）代表利息收入總和（不包括PAA）加上TBA美元捲動收入少經濟利息支出後除以平均利息收入資產加上平均未清TBA合約餘額總和。PAA代表公司代理機構按揭證券相關預估長期預償速度的季度對季度變化在之前時期的累積影響，但不包括當前季度。 (5) 利息收入資產平均收益率代表年化的利息收入除以平均利息收入資產。平均利息收入資產反映我們在期間內投資的平均攤銷成本。利息收入資產平均收益率（不包括PAA）是使用年化的利息收入（不包括PAA）計算的。 (6) 利息負債平均GAAP成本代表年化的利息支出除以平均利息負債。平均利息負債反映期間內的平均餘額。利息負債平均經濟成本代表年化的經濟利息支出除以平均的利息負債。經濟利息支出由GAAP利息支出、利率掉期的淨利息成分和從2024年6月30日起開始，與利率掉期相關的初始保證金的淨利息組成，後者在公司的綜合損益合併報表的其他項目中報告，但之前的結果尚未根據此變更進行調整，因為影響不重大。與利率掉期相關的變動保證金的淨利息以前和目前包括在該公司的綜合損益合併報表的利率掉期的淨利息組成中，適用於所呈現的所有時期。

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其他資訊

本新聞稿及我們參考的公開文件包含或納入了某些前瞻性陳述，這些陳述基於各種假設（其中一些超出我們的控制範圍），可透過提及未來的時期或時期或使用前瞻性術語來識別，例如“可能”，“將”，“相信”，“期望”，“預期”，“繼續”，或類似術語或術語的變化或其否定。此類陳述包括與公司未來表現、宏觀環境、利率和信貸環境、稅改以及未來機遇有關的陳述。由於各種因素，實際結果可能與前瞻性陳述中所述的有實質差異，這些因素包括但不限於利率變動；收益曲線變動；預付速度變動；購買抵押支持證券（“MBS”）和其他證券的可用性；融資的可用性以及如果可用的話，任何融資的條款；本公司資產市值變動；業務環境和整體經濟狀況的變動；公司發展其住宅信用業務的能力；公司擴展其抵押服務權業務的能力；與公司對信用風險轉移證券和住宅抵押支持證券以及相關住宅抵押信用資產的投資相關的信用風險；與抵押服務權投資相關的風險；公司完成任何擬議投資機會的能力；政府法規或影響公司業務的政策變動；公司保持其作為美國聯邦所得稅法REIt的資格的能力；公司保持其在1940年投資公司法下的豁免；以及由我們或重要第三方引起的營運風險或風險管理失敗，包括網絡安全概念事件。有關可能導致實際結果與前瞻性陳述不同的風險和不確定性的討論，請參閱我們最近的10-k表格上的“風險因素”以及任何後續的10-Q季度報告。公司不擔保，並特別否認對任何可能對任何前瞻性陳述進行的任何修正的結果進行公開發布，以反映在該等陳述日期之後發生的預期或非預期事件或情況，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, 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.

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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, 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)

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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)

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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, 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.

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The following table contains additional information on our investment portfolio as of the dates presented:

			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

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.

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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, 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.

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

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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, 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

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, 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.

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, 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.

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, 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).

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, 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.

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