Annaly Capital Management (NLY) 10-Q 6 Aug 09 2009 Q2 Quarterly report Financial data

Document Information

Document Information
	6 Months Ended Jun. 30, 2009 USD / shares
Document information
Document type	10-Q
Amendment flag	false
Document period end date	2009-06-30

Entity Information

Entity Information (USD $)
	6 Months Ended Jun. 30, 2009	Aug. 05, 2009	Jun. 30, 2008
Entity Information [Line Items]
Entity registrant name	Annaly Capital Management, Inc.
Entity central index key	0001043219
Current fiscal year end date	--12-31
Entity well known seasoned issuer	Yes
Entity voluntary filers	No
Entity current reporting status	Yes
Entity filer category	Large Accelerated Filer
Entity public float			$8,306,036,131
Entity Listings [Line Items]
Entity common stock shares outstanding		544,357,410

Consolidated Statements of Fina

Consolidated Statements of Financial Condition (USD $)
In Thousands	Jun. 30, 2009	Dec. 31, 2008
ASSETS
Cash and cash equivalents	$1,352,798	$909,353	[1]
Reverse repurchase agreements with affiliates	170,916	562,119	[1]
Mortgage-Backed Securities, at fair value	65,165,126	55,046,995	[1]
Agency debentures, at fair value	616,893	598,945	[1]
Available for sale equity securities, at fair value	156,990	52,795	[1]
Receivable for Investment Securities Sold	412,214	75,546	[1]
Accrued interest and dividends receivable	313,772	282,532	[1]
Receivable from Prime Broker	16,886	16,886	[1]
Receivable for advisory and service fees	10,039	6,103	[1]
Intangible for customer relationships, net	11,091	12,380	[1]
Goodwill	27,917	27,917	[1]
Interest rate swaps, at fair value	7,267	0	[1]
Other assets	5,346	6,044	[1]
Total assets	68,267,255	57,597,615	[1]
Liabilities:
Repurchase agreements	51,326,930	46,674,885	[1]
Payable for Investment Securities purchased	7,017,444	2,062,030	[1]
Accrued interest payable	102,662	199,985	[1]
Dividends payable	326,612	270,736	[1]
Accounts payable and other liabilities	40,115	8,380	[1]
Interest rate swaps, at fair value	722,700	1,102,285	[1]
Total liabilities	59,536,463	50,318,301	[1]
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000 shares authorized 2,604,814 and 3,963,525 shares issued and outstanding respectively	63,118	96,042	[1]
Commitments and contingencies (Note 14)	0	0	[1]
Stockholders' Equity:
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500 shares authorized, issued and outstanding	177,088	177,088	[1]
Common stock: par value $.01 per share; 987,987,500 shares authorized, 544,353,997 and 541,475,366 issued and outstanding, respectively	5,444	5,415	[1]
Additional paid-in capital	7,668,988	7,633,438	[1]
Accumulated other comprehensive income	1,362,134	252,230	[1]
Accumulated deficit	(545,980)	(884,899)	[1]
Total stockholders' equity	8,667,674	7,183,272	[1]
Total liabilities, Series B Cumulative Convertible Preferred Stock and stockholders' equity	$68,267,255	$57,597,615	[1]
[1]Derived from the audited consolidated statement of financial condition at December 31, 2008.

1_Consolidated Statements of Fi

Consolidated Statements of Financial Condition Parentheticals (USD $)
	Jun. 30, 2009	Dec. 31, 2008
6.00% Series B Cumulative Convertible Preferred Stock:
6.00% Series B Cumulative Convertible Preferred Stock, shares authorized	4,600,000	4,600,000
6.00% Series B Cumulative Convertible Preferred Stock, shares issued	2,604,814	3,963,525
6.00% Series B Cumulative Convertible Preferred Stock, shares outstanding	2,604,814	3,963,525
7.875% Series A Cumulative Redeemable Preferred Stock:
7.875% Series A Cumulative Redeemable Preferred Stock, shares authorized	7,412,500	7,412,500
7.875% Series A Cumulative Redeemable Preferred Stock, shares issued	7,412,500	7,412,500
7.875% Series A Cumulative Redeemable Preferred Stock, shares outstanding	7,412,500	7,412,500
Common stock:
Common Stock, par value per share	0.01	0.01
Common Stock, shares authorized	987,987,500	987,987,500
Common Stock, shares issued	544,353,997	541,475,366
Common Stock, shares outstanding	544,353,997	541,475,366

Consolidated Statements of Oper

Consolidated Statements of Operations and Comprehensive Income (USD $)
In Thousands, except Share data	3 Months Ended Jun. 30, 2009	3 Months Ended Jun. 30, 2008	6 Months Ended Jun. 30, 2009	6 Months Ended Jun. 30, 2008
Interest income	$710,401	$773,359	$1,426,416	$1,564,487
Interest expense	322,596	442,251	701,221	979,857
Net interest income	387,805	331,108	725,195	584,630
Other income:
Investment advisory and service fees	11,736	6,406	19,497	13,004
Gain on sale of Investment Securities	2,364	2,830	7,387	12,247
Income from trading securities	0	2,180	0	4,034
Dividend income from available-for-sale equity securities	3,221	580	4,139	1,521
Unrealized gain on interest rate swaps	230,207	0	265,752	0
Total other income	247,528	11,996	296,775	30,806
Expenses:
Distribution fees	432	370	860	1,003
General and administrative expenses	30,046	27,215	59,928	51,210
Total expenses	30,478	27,585	60,788	52,213
Income before income taxes and noncontrolling interest	604,855	315,519	961,182	563,223
Income taxes	7,801	7,527	14,235	12,137
Net income	597,054	307,992	946,947	551,086
Noncontrolling interest	0	0	0	58
Net income attributable to controlling interest	597,054	307,992	946,947	551,028
Dividends on preferred stock	4,625	5,334	9,251	10,707
Net income available to common shareholders	592,429	302,658	937,696	540,321
Net income available per share to common shareholders-basic	1.09	0.6	1.72	1.14
Net income available per share to common shareholders-diluted	1.08	0.59	1.71	1.13
Weighted average number of common shares outstanding-basic	544,344,844	503,758,079	543,627,960	473,785,256
Weighted average number of common shares outstanding-diluted	550,099,709	512,678,975	549,394,817	482,813,463
Net income attributable to controlling interest	597,054	307,992	946,947	551,028
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities	176,013	(529,008)	996,191	(311,445)
Unrealized gain (loss) on interest rate swaps	66,934	388,861	121,100	(2,902)
Reclassification adjustment for net gains included in net income	(2,364)	(2,830)	(7,387)	(12,247)
Other comprehensive income (loss)	240,583	(142,977)	1,109,904	(326,594)
Comprehensive income attributable to controlling interest	$837,637	$165,015	$2,056,851	$224,434

Consolidated Statement of Stock

Consolidated Statement of Stockholders' Equity (USD $)
In Thousands	Preferred Stock	Common Stock Par Value	Additional Paid-In Capital	Accumulated Other Comprehensive Income	Accumulated Deficit	Total
BALANCE, DECEMBER 31, 2008 at Dec. 31, 2008	$177,088	$5,415	$7,633,438	$252,230	($884,899)	$7,183,272	[1]
Net income attributable to controlling interest					946,947	946,947
Other comprehensive income (loss)				1,109,904		1,109,904
Exercise of stock options and stock grants			721			721
Stock option expense and long-term compensation expense			1,933			1,933
Conversion of Series B Cumulative Convertible Preferred Stock		29	32,896			32,925
Preferred Series A dividends declared, $0.984376 per share					(7,296)	(7,296)
Preferred Series B dividends declared, $0.75 per share					(1,955)	(1,955)
Common dividends declared, $1.10 per share					(598,777)	(598,777)
BALANCE, JUNE 30, 2009 at Jun. 30, 2009	177,088	5,444	7,668,988	1,362,134	(545,980)	8,667,674
BALANCE, DECEMBER 31, 2008 at Mar. 31, 2009	177,088
BALANCE, JUNE 30, 2009 at Jun. 30, 2009	$177,088
[1]Derived from the audited consolidated statement of financial condition at December 31, 2008.

Consolidated Statements of Cash

Consolidated Statements of Cash Flows (USD $)
In Thousands	3 Months Ended Jun. 30, 2009	3 Months Ended Jun. 30, 2008	6 Months Ended Jun. 30, 2009		6 Months Ended Jun. 30, 2008
Cash flows from operating activities:
Net income	$597,054	$307,992	$946,947		$551,086
Adjustments to reconcile net income to net cash provided by operating activities:
Net income attributable to noncontrolling interest	0	0	0		(58)
Amortization of Mortgage-Backed Securities premiums and discounts, net	58,415	26,613	99,429		54,126
Amortization of intangibles	414	1,236	1,502		2,238
Amortization of trading securities premiums and discounts	0	0	0		(3)
Gain on sale of Investment Securities	(2,364)	(2,830)	(7,387)		(12,247)
Stock option and long-term compensation expense	1,054	517	1,933		839
Unrealized gain on interest rate swaps	(230,207)	0	(265,752)		0
Net realized gain on trading investments	0	(1,837)	0		(7,130)
Unrealized depreciation on trading investments	0	351	0		4,778
Increase in accrued interest and dividends receivable	(13,661)	(17,040)	(22,186)		(32,350)
Decrease in trading sales receivables	0	0	0		157
Decrease in other assets	264	1,131	484		1,327
Purchase of trading securities	0	(11,270)	0		(12,016)
Proceeds from sale of trading securities	0	0	0		9,926
Purchase of trading securities sold, not yet purchased	0	(1,987)	0		(6,032)
Proceeds from securities sold, not yet purchased	0	4,551	0		14,399
Increase in advisory and service fees receivable	(3,532)	(123)	(3,936)		(1,105)
Decrease in interest payable	(9,795)	(17,960)	(97,323)		(102,993)
Increase (decrease) in accrued expenses and other liabilities	16,145	16,501	31,735		(63)
Proceeds from repurchase agreements on from broker dealer	25,947,444	0	27,033,470		0
Payments on repurchase agreements, broker dealer	(23,403,174)	0	(23,603,174)		0
Proceeds from reverse repo from broker dealer	589,777	0	589,777		0
Payment on reverse repo from broker dealer	(637,210)	0	(637,210)		0
Net cash provided by operating activities	2,910,624	305,845	4,068,309		464,879
Cash flows from investing activities:
Purchase of Mortgage-Backed Securities	(5,422,358)	(6,802,127)	(11,667,006)		(17,255,754)
Proceeds from sale of Investment Securities	147,180	1,497,894	1,029,934		5,658,254
Principal payments of Mortgage-Backed Securities	3,511,885	2,793,143	6,014,692		5,329,720
Agency debentures called	0	0	602,000		0
Purchase of agency debentures	(623,361)	0	(623,361)		(500,000)
Purchase of reverse repurchase agreements	901,916	750,036	1,011,555		(49,964)
Payments on reverse repurchase agreements	(572,919)	0	(572,919)		0
Purchase of available-for-sale equity securities from affiliate	(90,078)	0	(90,078)		0
Net cash used in investing activities	(2,147,735)	(1,761,054)	(4,295,183)		(6,817,744)
Cash flows from financing activities:
Proceeds from repurchase agreements	92,570,304	108,736,743	182,356,640		223,326,233
Principal payments on repurchase agreements	(92,738,822)	(108,221,087)	(181,134,891)		(217,533,130)
Proceeds from exercise of stock options	99	195	722		1,830
Proceeds from direct purchase and dividend reinvestment	0	16,490	0		71,047
Net proceeds from follow-on offerings	0	1,066,718	0		2,147,549
Net proceeds from ATM programs	0	0	0		71,832
Noncontrolling interest	0	0	0		(1,573)
Dividends paid	(276,790)	(230,154)	(552,152)		(372,146)
Net cash provided by financing activities	(445,209)	1,368,905	670,319		7,711,642
Net increase in cash and cash equivalents	317,680	(86,304)	443,445		1,358,777
Cash and cash equivalents, beginning of period	1,035,118	1,549,041	909,353	[1]	103,960
Cash and cash equivalents, end of period	1,352,798	1,462,737	1,352,798		1,462,737
Supplemental disclosure of cash flow information:
Interest paid	332,391	460,211	798,544		1,082,849
Taxes paid	11,291	9,091	19,648		9,340
Noncash financing activities:
Net change in unrealized gain (loss) on available-for-sale securities and interest rate swaps, net of reclassification adjustment	240,583	(142,977)	1,109,904		(326,594)
Dividends declared, not yet paid			326,612		296,201
Noncash investing activities:
Receivable for Investment Securities Sold			412,214		824,308
Payable for Investment Securities purchased			$7,017,444		$1,405,109
[1]Derived from the audited consolidated statement of financial condition at December 31, 2008.

Organization and Significant Ac

Organization and Significant Accounting Policies
	6 Months Ended Jun. 30, 2009 USD / shares
Organization and Significant Accounting Policies [Abstract]
Organization and Significant Accounting Policies [Text Block]	1.ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES Annaly Capital Management, Inc. (Annaly or the Company) was incorporated in Maryland on November 25, 1996.The Company commenced its operations of purchasing and managing an investment portfolio of mortgage-backed securities on February 18, 1997, upon receipt of the net proceeds from the private placement of equity capital, and completed its initial public offering on October 14, 1997.The Company is a real estate investment trust (REIT) under the Internal Revenue Code of 1986, as amended.Fixed Income Discount Advisory Company (FIDAC) is a registered investment advisor and is a wholly owned taxable REIT subsidiary of the Company. During the third quarter of 2008, the Company formed RCap Securities, Inc. (RCap).RCap was granted membership in the Financial Industry Regulatory Authority (FINRA) on January 26, 2009, andoperates as broker-dealer.RCap is a wholly owned taxable REIT subsidiary of the Company.On October 31, 2008, the Company acquired Merganser Capital Management, Inc. (Merganser).Merganser is a registered investment advisor and is a wholly owned taxable REIT subsidiary of the Company. A summary of the Companys significant accounting policies follows: Basis of Presentation - The accompanying unaudited consolidated financial statements have been prepared in conformity with the instructions to Form 10-Q and Article 10, Rule 10-01 of Regulation S-X for interim financial statements.Accordingly, they may not include all of the information and footnotes required by accounting principles generally accepted in the United States of America (GAAP). The consolidated interim financial statements are unaudited; however, in the opinion of the Company's management, all adjustments, consisting only of normal recurring accruals, necessary for a fair statement of the financial positions, results of operations, and cash flows have been included. These unaudited consolidated financial statements should be read in conjunction with the audited consolidated financial statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2008. The nature of the Company's business is such that the results of any interim period are not necessarily indicative of results for a full year. The consolidated financial statements include the accounts of the Company, FIDAC, Merganser, RCap and an affiliated investment fund (the Fund).The Fund is a wholly owned subsidiary of the Company whose assets are subject tothe administrationof Lehman Brothers International (Europe) (LBIE) under Englishbankruptcylaw. Cash and Cash Equivalents - Cash and cash equivalents include cash on hand and cash held in money market funds on an overnight basis. Reverse Repurchase Agreements - The Company may invest its daily available cash balances via reverse repurchase agreements to provide additional yield on its assets.These investments will typically be recorded as short term investments and will generally mature daily.Reverse repurchase agreements are recorded at cost and are collateralized by mortgage-backed securities pledged by the counterparty to the agreement.Reverse repurchase agreements e

Mortgage-Backed Securities

Mortgage-Backed Securities
	6 Months Ended Jun. 30, 2009 USD / shares
Mortgage-Backed Securities [Abstract]
Mortgage-Backed Securities [Text Block]	2. MORTGAGE-BACKED SECURITIES The following tables present the Companys available-for-sale Mortgage-Backed Securities portfolio as of June 30, 2009 and December 31, 2008 which were carried at their fair value: June 30, 2009 Federal Home Loan Mortgage Corporation Federal National Mortgage Association Government National Mortgage Association Total Mortgage- Backed Securities (dollars in thousands) Mortgage-Backed Securities, gross $ 20,107,289 $ 41,473,471 $ 1,095,474 $ 62,676,234 Unamortized discount (23,353 ) (31,944 ) (86 ) (55,383 ) Unamortized premium 249,822 703,958 27,114 980,894 Amortized cost 20,333,758 42,145,485 1,122,502 63,601,745 Gross unrealized gains 603,310 1,072,807 25,281 1,701,398 Gross unrealized losses (41,163 ) (96,489 ) (365 ) (138,017 ) Estimated fair value $ 20,895,905 $ 43,121,803 $ 1,147,418 $ 65,165,126 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Estimated Fair Value (dollars in thousands) Adjustable rate $ 19,852,419 $ 493,547 $ (111,885 ) $ 20,234,081 Fixed rate 43,749,326 1,207,851 (26,132 ) 44,931,045 Total $ 63,601,745 $ 1,701,398 $ (138,017 ) $ 65,165,126 December 31, 2008 Federal Home Loan Mortgage Corporation Federal National Mortgage Association Government National Mortgage Association Total Mortgage- Backed Securities (dollars in thousands) Mortgage-Backed Securities, gross $ 19,898,430 $ 32,749,123 $ 1,259,118 $ 53,906,671 Unamortized discount (26,733 ) (36,647 ) (787 ) (64,167 ) Unamortized premium 212,354 381,433 25,694 619,481 Amortized cost 20,084,051 33,093,909 1,284,025 54,461,985 Gross unrealized gains 297,366 468,824 14,606 780,796 Gross unrealized losses (71,195 ) (123,443 ) (1,148 ) (195,786 ) Estimated fair value $ 20,310,222 $ 33,439,290 $ 1,297,483 $ 55,046,995 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Estimated Fair Value (dollars in thousands) Adjustable rate $ 19,509,017 $ 287,249 $ (178,599 ) $ 19,617,667 Fixed rate 34,952,968 493,547 (17,187 ) 35,429,328 Total $ 54,461,985 $ 780,796 $ (195,786 ) $ 55,046,995 Actual maturities of Mortgage-Backed Securities are generally shorter than stated contractual maturities because actual maturities of Mortgage-Backed Securities are affected by the contractual lives of the underlying mortgages, periodic

Agency Debentures

Agency Debentures
	6 Months Ended Jun. 30, 2009 USD / shares
Agency Debentures [Abstract]
Agency Debentures [TextBlock]	3. AGENCY DEBENTURES At June 30, 2009, the Company owned agency debentures with a carrying value of $616.9 million, including an unrealized loss of $6.5 million.At December 31, 2008, the Company owned agency debentures with a carrying value of $598.9 million including an unrealized loss of $2.8 million.

Available For Sale Equity Secur

Available For Sale Equity Securities
	6 Months Ended Jun. 30, 2009 USD / shares
Available For Sale Equity Securities [Abstract]
Available For Sale Equity Securities [Text Block]	4. AVAILABLE FOR SALE EQUITY SECURITIES All of the available-for-sale equity securities are shares of Chimera and are reported at fair value.The Company owned approximately 45.0 million shares of Chimera at a fair value of approximately $157.0 million at June 30, 2009 and approximately 15.3 million shares of Chimera at fair value of approximately $52.8 million at December 31, 2008.At June 30, 2009 and December 31, 2008, the investment in Chimera had an unrealized gain of $18.1 million and $4.0 million, respectively.

Reverse Repurchase Agreement

Reverse Repurchase Agreement
	6 Months Ended Jun. 30, 2009 USD / shares
Reverse Repurchase Agreement [Abstract]
Reverse Repurchase Agreement [Text Block]	5. REVERSE REPURCHASE AGREEMENT At June 30, 2009 and December 31, 2008, the Company had lent $123.5 million and $562.1 million, respectively, to Chimera in a weekly reverse repurchase agreement.This amount is included at the principal amount which approximates fair value in the Companys Statement of Financial Condition.The interest rate at June 30, 2009 and December 31, 2008 was at the market rate of 1.79% and 1.43%, respectively.The collateral for this loan is mortgage-backed securities with a fair value of $183.0 million and $680.8 million at June 30, 2009 and December 31, 2008, respectively. At June 30, 2009, RCap, in its ordinary course of business, financed though matched repurchase agreements, at current market rates,$47.4 million for a fund that is managed by FIDAC.

Receivable From Prime Broker

Receivable From Prime Broker
	6 Months Ended Jun. 30, 2009 USD / shares
Receivable From Prime Broker [Abstract]
Receivable From Prime Broker [Text Block]	6. RECEIVABLE FROM PRIME BROKER The net assets of the investment fund owned by the Company are subject toEnglishbankruptcylaw, whichgoverns the administrationof Lehman BrothersInternational(Europe) (LBIE), as well as the law of New York, which governs the contractual documents.Untilthe Companys contractual documentswith LBIE are terminated, the value of the assets and liabilities in its account with LBIE will continue to fluctuate based on market movements.The Company does not intend to terminate these contractual documents until LBIE's administrators have clarifiedthe consequences of doing so. The Company has notreceived notice from LBIE's administrators that LBIE has terminated the documents. LBIEsadministratorshave advised the Company thattheycan provide no additional information about the account at this time. As a result, the Company has recorded a receivable from LBIE based on the fair value of its account with LBIE as of September 15, 2008 of $16.9 million, which is the date of the last statement it received from LBIE on the accounts assets and liabilities. The Company can provide no assurance, however, that it will recover all or any portion of these assets following completion ofLBIE'sadministration(and any subsequent liquidation). Based on the information known at June 30, 2009, a loss was not determined to be probable.If additional information indicates otherwise and it is determined that the loss is probable, the estimated loss will be reflected in the statement of operations.

Fair Value Measurements

Fair Value Measurements
	6 Months Ended Jun. 30, 2009 USD / shares
Fair Value Measurements [Abstract]
Fair Value Measurements [Text Block]	7.FAIR VALUE MEASUREMENTS SFAS 157 defines fair value, establishes a framework for measuring fair value, establishes a three-level valuation hierarchy for disclosure of fair value measurement and enhances disclosure requirements for fair value measurements.The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date.The three levels are defined as follow: Level 1 inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 inputs to the valuation methodology are unobservable and significant to overall fair value. Available for sale equity securities are valued based on quoted prices (unadjusted) in an active market.Mortgage-Backed Securities and interest rate swaps are valued using quoted prices for similar assets and dealer quotes.The dealer will incorporate common market pricing methods, including a spread measurement to the Treasury curve or interest rate swap curve as well as underlying characteristics of the particular security including coupon, periodic and life caps, rate reset period and expected life of the security.Management reviews all prices used to ensure that current market conditions are represented.This review includes comparisons of similar market transactions and comparisons to a pricing model.The Companys financial assets and liabilities carried at fair value on a recurring basis are valued as follows: Level 1 Level 2 Level 3 (dollars in thousands) Assets: Mortgage-Backed Securities - $ 65,165,126 - Agency debentures - 616,893 - Available for sale equity securities $ 156,990 - - Interestrate swaps - 7,267 - Liabilities: Interest rate swaps - $ 722,700 - The classification of assets and liabilities by level remains unchanged at June 30, 2009, when compared to the previous quarter.

Repurchase Agreements

Repurchase Agreements
	6 Months Ended Jun. 30, 2009 USD / shares
Repurchase Agreements [Abstract]
Repurchase Agreements [Text Block]	8.REPURCHASE AGREEMENTS The Company had outstanding $51.3 billion and $46.7 billion of repurchase agreements with weighted average borrowing rates of 2.54% and 4.08%, after giving effect to the Companys interest rate swaps, and weighted average remaining maturities of 196 days and 238 days as of June 30, 2009 and December 31, 2008, respectively.Investment Securities pledged as collateral under these repurchase agreements and interest rate swaps had an estimated fair value of $55.8 billion at June 30, 2009 and $51.8 billion at December 31, 2008. At June 30, 2009 and December 31, 2008, the repurchase agreements had the following remaining maturities: June 30, 2009 December 31, 2008 (dollars in thousands) 1 day $ 3,969,859 $ - 2 to 29 days 35,087,648 32,025,186 30 to 59 days 4,182,992 5,205,352 60 to 89 days 207,272 209,673 90 to 119 days 712,181 254,674 Over 120 days 7,166,978 8,980,000 Total $ 51,326,930 $ 46,674,885 The Company did not have an amount at risk greater than 10% of the equity of the Company with any counterparty as of June 30, 2009 or December 31, 2008. The Company has entered into long-term repurchase agreements which provide the counterparty with the right to call the balance prior to maturity date.These repurchase agreements totaled $8.8 billion and the fair value of the option to call was ($405.9 million) at June 30, 2009.These repurchase agreements totaled $8.1 billion and the fair value of the option to call was ($574.3 million) at December 31, 2008.Management has determined that the call option is not required to be bifurcated under the provisions of SFAS 133 as it is deemed clearly and closely related to the debt instrument, therefore the fair value of the option is not recorded in the consolidated financial statements. The structured repurchase agreements are modeled and priced as pay fixedversus receive floating interest rate swaps whereby the fixed receiver has the option to cancel the swap after an initial lockout period. Therefore the structured repurchase agreements are priced as a combination of an interest rate swaps with an embedded call options.

Interest Rate Swaps

Interest Rate Swaps
	6 Months Ended Jun. 30, 2009 USD / shares
Interest Rate Swaps [Abstract]
Interest Rate Swaps [Text Block]	9.INTEREST RATE SWAPS In connection with the Companys interest rate risk management strategy, the Company hedges a portion of its interest rate risk by entering into derivative financial instrument contracts. As of June 30, 2009, such instruments are comprised of interest rate swaps, which in effect modify the cash flows on repurchase agreements. The use of interest rate swaps creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its Mortgage-Backed Securities pledged as collateral for swaps.The Company does not anticipate any defaults by its counterparties. The Companys swaps are used to lock in the fixed rate related to a portion of its current and anticipated future 30-day term repurchase agreements. The location and fair value of derivative instruments reported in the Consolidated Statement of Financial Position as of June 30, 2009 are as follows: Location on Statement of Financial Condition Notional Amount (dollars in thousands) Net Estimated Fair Value/Carrying Value (dollars in thousands) June 30, 2009 Liabilities $ 18,383,650 $ (722,700 ) June 30, 2009 Assets $ 1,450,000 $ 7,267 The effect of derivatives on the Statement of Operations and Comprehensive Income is as follows: Location on Statement of Operations and Comprehensive Income Interest Expense Unrealized Gain on Interest Rate Swaps (dollars in thousands) For the Quarter Ended June 30, 2009 $ 175,080 $ 230,207 The weighted average pay rate at June 30, 2009 was 4.20% and the weighted average receive rate was 0.38%.

Preferred Stock And Common Stoc

Preferred Stock And Common Stock
	6 Months Ended Jun. 30, 2009 USD / shares
Preferred Stock And Common Stock [Abstract]
Preferred Stock And Common Stock [Text Block]	10.PREFERRED STOCK AND COMMON STOCK (A) Common Stock Issuances During the quarter and six months ended June 30, 2009, 8,375 and 64,262 options were exercisedunder the Long-Term Stock Incentive Plan, or Incentive Plan, for an aggregate exercise price of $98,000 and $722,000.During the six months ended June 30, 2009, 7,550 shares of restricted stock were issued under the Incentive Plan.During the quarter and six months ended June 30, 2009, 2,750 and 1.4 million shares of Series B Preferred Stock were converted into 5,837 and 2.8 million shares of common stock, respectively. During the quarter and six months ended June 30, 2008, 16,600 and 187,217 options were exercised under the Incentive Plan for an aggregate exercise price of $195,000 and $1.8 million respectively. On May 13, 2008 the Company entered into an underwriting agreement pursuant to which it sold 69,000,000 shares of its common stock for net proceeds following underwriting expenses of approximately $1.1 billion. This transaction settled on May 19, 2008. On January 23, 2008 the Company entered into an underwriting agreement pursuant to which it sold 58,650,000 shares of its common stock for net proceeds following underwriting expenses of approximately $1.1 billion. This transaction settled on January 29, 2008. During the year ended December 31, 2008, the Company raised $93.7 million by issuing 5.8 million shares, through the Direct Purchase and Dividend Reinvestment Program. During the year ended December 31, 2008, 300,000 options were exercised under the Incentive Plan for an aggregate exercise price of $2.8 million. On August 3, 2006, the Company entered into an ATM Equity Offering(sm) Sales Agreement with Merrill Lynch Co. and Merrill Lynch, Pierce, Fenner Smith Incorporated, relating to the sale of shares of the Companys common stock from time to time through Merrill Lynch. Sales of the shares, if any, are made by means of ordinary brokers' transaction on the New York Stock Exchange. During the quarter and six month ended June 30, 2009, the Company did not issue shares pursuant to this program.During the year ended December 31, 2008, 588,000 shares of the Companys common stock were issued pursuant to this program, totaling $11.5 million in net proceeds. On August 3, 2006, the Company entered into an ATM Equity Sales Agreement with UBS Securities LLC, relating to the sale of shares of the Companys common stock from time to time through UBS Securities. Sales of the shares, if any, will be made by means of ordinary brokers' transaction on the New York Stock Exchange. During the quarter and six months ended June 30, 2009, the Company did not issue shares pursuant to this program.During the year ended December 31, 2008, 3.8 million shares of the Companys common stock were issued pursuant to this program, totaling $60.3 million in net proceeds. (B) Preferred Stock At June 30, 2009 and December 31, 2008, the Company had issued and outstanding 7,412,500 shares of Series A Cumulative Redeemable Preferred Stock (Series A Preferred Stock), with a par value $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid

Net Income Per Common Share

Net Income Per Common Share
	6 Months Ended Jun. 30, 2009 USD / shares
Net Income Per Common Share [Abstract]
Net Income Per Common Share [Text Block]	11.NET INCOME PER COMMON SHARE The following table presents a reconciliation of the net income and shares used in calculating basic and diluted earnings per share for the quarters and six months ended June 30, 2009 and 2008. For the Quarters Ended June 30, For the Six Months June 30, 2009 2008 2009 2008 Net income attributable to controlling interest $ 597,054 $ 307,992 $ 946,947 $ 551,028 Less: Preferred stock dividends 4,625 5,334 9,251 10,707 Net income available to common shareholders, prior to adjustment forSeries B dividends, if necessary $ 592,429 $ 302,658 $ 937,696 $ 540,321 Add: Preferred Series B dividends, if Series B shares are dilutive 977 1,685 1,955 3,410 Net income available to common shareholders, as adjusted $ 593,406 $ 304,343 $ 939,651 $ 543,731 Weighted average shares of common stock outstanding-basic 544,345 503,758 543,628 473,785 Add:Effect of dilutive stock options and 38 128 50 235 Series B Cumulative Convertible Preferred Stock 5,717 8,793 5,717 8,793 Weighted average shares of common stock outstanding-diluted 550,100 512,679 549,395 482,813 Options to purchase 4.5 million and 4.5 million shares of common stock were outstanding and considered anti-dilutive as their exercise price exceeded the average stock price for the quarter and six months ended June 30, 2009, respectively.Options to purchase 1.8 million and 572,000 shares of common stock were outstanding and considered anti-dilutive as their exercise price exceeded the average stock price for the quarter and six months ended June 30, 2008, respectively.

Long-Term Stock Incentive Plan

Long-Term Stock Incentive Plan
	6 Months Ended Jun. 30, 2009 USD / shares
Long-Term Stock Incentive Plan [Abstract]
Long-Term Stock Incentive Plan [Text Block]	12.LONG-TERM STOCK INCENTIVE PLAN The Company has adopted a long term stock incentive plan for executive officers, key employees and non-employee directors (the Incentive Plan).The Incentive Plan authorizes the Compensation Committee of the board of directors to grant awards, including non-qualified options as well as incentive stock options as defined under Section 422 of the Code.The Incentive Plan authorizes the granting of options or other awards for an aggregate of the greater of 500,000 shares or 9.5% of the diluted outstanding shares of the Companys common stock, up to a ceiling of 8,932,921 shares.Stock options are issued at the current market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years.The grant date fair value is calculated using the Black-Scholes option valuation model. For the Six Months Ended June 30, 2009 June 30, 2008 Number of Shares Weighted Average Exercise Price Number of Shares Weighted Average Exercise Price Options outstanding at the beginning of period 5,180,164 $ 15.87 3,437,267 $ 15.23 Granted 2,537,000 13.26 1,004,900 16.45 Exercised (64,262 ) 11.24 (187,217 ) 9.77 Forfeited (10,000 ) 15.61 (2,550 ) 16.16 Expired (11,250 ) 17.32 (5,000 ) 20.70 Options outstanding at the end of period 7,631,652 $ 15.04 4,247,400 $ 15.76 Options exercisable at the end of period 2,229,577 $ 16.13 2,060,750 $ 15.92 The weighted average remaining contractual term was approximately 8.0 years for stock options outstanding and approximately 5.3 years for stock options exercisable as of June 30, 2009.As of June 30, 2009, there was approximately $15.6 million of total unrecognized compensation cost related to nonvested share-based compensation awards.That cost is expected to be recognized over a weighted average period of 3.4 years. The weighted average remaining contractual term was approximately 7.4 years for stock options outstanding and approximately 5.9 years for stock options exercisable as of June 30, 2008.As of June 30, 2008, there was approximately $5.3 million of total unrecognized compensation cost related to nonvested share-based compensation awards.That cost is expected to be recognized over a weighted average period of 3.2 years. During the six months ended June 30, 2009, the Company granted 7,550 shares of restricted common stock to certain of its employees.As of June 30, 2009, 5,663 of these restricted shares were unvested and subject to forfeiture.During the year ended December 31, 2007, the Company granted 7,000 shares of restricted common stock to certain of its employees.As of June 30, 2009, 3,360 of these restricted shares were unvested and subject to forfeiture.

Income Taxes

Income Taxes
	6 Months Ended Jun. 30, 2009 USD / shares
Income Taxes [Abstract]
Income Taxes [Text Block]	13. INCOME TAXES As a REIT, the Company is not subject to federal income tax on earnings distributed to its shareholders. Most states recognize REIT status as well. The Company has decided to distribute the majority of its income and retain a portion of the permanent difference between book and taxable income arising from Section 162(m) of the Code pertaining to employee remuneration. During the quarter and six months ended June 30, 2009, the Companys taxable REIT subsidiariesrecorded $1.6 million and $2.1 millionof income tax expense for income attributable to those subsidiaries, and the portion of earnings retained based on Code Section 162(m) limitations.During the quarter and six months ended June 30, 2009, the Company recorded $6.2 million and $12.1 million of income tax expense for a portion of earnings retained based on Section 162(m) limitations.The effective tax rate was 54% for the six months ended June 30, 2009. During the quarterand six months ended June 30, 2008, FIDAC, a taxable REIT subsidiary, recorded $856,000 and $1.6 million, respectively, of income tax expense for income and for the portion of earnings retained based on Code Section 162(m) limitations.During the quarter and six months ended June 30, 2008, the Company recorded $6.7 million and $10.5 million, respectively, of income tax expense for a portion of earnings retained based on Section 162(m) limitations.The effective tax rate was 52% for the six months ended June 30, 2008. The Companys effective tax rate was 54% and 52% for the six months ended June 30, 2009 and 2008, respectively.These rates differed from the federal statutory rate as a result of state and local taxes and permanent difference pertaining to employee remuneration as discussed above. The statutory combined federal, state, and city corporate tax rate is 45%.This amount is applied to the amount of estimated REIT taxable income retained (if any, and only up to 10% of ordinary income as all capital gain income is distributed) and to taxable income earned at the taxable subsidiaries.Thus, as a REIT, the Companys effective tax rate is significantly less as it is allowed to deduct dividend distributions.

Lease Commitments And Contingen

Lease Commitments And Contingencies
	6 Months Ended Jun. 30, 2009 USD / shares
Lease Commitments And Contingencies [Abstract]
Lease Commitments And Contingencies [Text Block]	14.LEASE COMMITMENTS AND CONTINGENCIES The Company has a non-cancelable lease for office space, which commenced in May 2002 and expires in December 2009. The Companys aggregate future minimum lease payments total $266,000.Merganser has a non-cancelable lease for office space, which commenced on May 2003 and expires in May 2014.The following table details the lease payments, net of sub-lease receipts. Year Ending December Lease Commitment Sublease Income Net Amount (dollars in thousands) 2009 (remaining) $ 300 $ 67 $ 233 2010 608 56 552 2011 632 - 632 2012 642 - 642 2013 682 - 682 Thereafter 189 - 189 $ 3,053 $ 123 $ 2,930 From time to time, the Company is involved in various claims and legal actions arising in the ordinary course of business.In the opinion of management, the ultimate disposition of these matters will not have a material effect on the Companys consolidated financial statements and therefore no accrual is required as of June 30, 2009 and December 31, 2008. Mergansers prior owners may receive additional consideration as an earn-out during 2012 if Merganser meets specific performance goals under the merger agreement.The Company cannot currently calculate how much consideration will be paid under the earn-out provisions because the payment amount will vary depending upon whether and the extent to which Merganser achieves specific performance goals.Any amounts paid under this provision will be recorded as additional goodwill.

Interest Rate Risk

Interest Rate Risk
	6 Months Ended Jun. 30, 2009 USD / shares
Interest Rate Risk [Abstract]
Interest Rate Risk [Text Block]	15.INTEREST RATE RISK The primary market risk to the Company is interest rate risk.Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond the Companys control.Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned on interest-earning assets and the interest expense incurred in connection with the interest-bearing liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities.Changes in the level of interest rates also can affect the value of the Investment Securities and the Companys ability to realize gains from the sale of these assets.A decline in the value of the Investment Securities pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels.Liquidation of collateral at losses could have an adverse accounting impact, as discussed in Note 1. The Company seeks to manage the extent to which net income changes as a function of changes in interest rates by matching adjustable-rate assets with variable-rate borrowings.The Company may seek to mitigate the potential impact on net income of periodic and lifetime coupon adjustment restrictions in the portfolio of Investment Securities by entering into interest rate agreements such as interest rate caps and interest rate swaps. As of June 30, 2009, the Company had entered into interest rate swaps to pay a fixed rate and receive a floating rate of interest, with a total notional amount of $19.8 billion. Changes in interest rates may also have an effect on the rate of mortgage principal prepayments and, as a result, prepayments on Mortgage-Backed Securities.The Company will seek to mitigate the effect of changes in the mortgage principal repayment rate by balancing assets purchased at a premium with assets purchased at a discount.To date, the aggregate premium exceeds the aggregate discount on the Mortgage-Backed Securities.As a result, prepayments, which result in the expensing of unamortized premium, will reduce net income compared to what net income would be absent such prepayments.

Related Party Transactions

Related Party Transactions
	6 Months Ended Jun. 30, 2009 USD / shares
Related Party Transactions [Abstract]
Related Party Transactions [Text Block]	16.RELATED PARTY TRANSACTIONS At June 30, 2009 and December 31, 2008, the Company had lent $123.5 million and $562.1 million, respectively, to Chimera pursuant to a weekly reverse repurchase agreement.This amount is included at the principal amount which approximates fair value in the Companys Statement of Financial Condition.The interest rate at June 30, 2009 and December 31, 2008 was at the market rate of 1.79% and 1.43%, respectively.The collateral for this loan is mortgage-backed securities with a fair value of $183.0 million and $680.8 million at June 30, 2009 and December 31, 2008, respectively. At June 30, 2009, the Company had $3.2 billion of repurchase agreements outstanding with RCap.The weighted average interest rate is 0.45% and the terms are one to two months.These agreements are collateralized by agency mortgage backed securities, with an estimated market value of $3.4 billion. At June 30, 2009, RCap, in its ordinary course of business, financed through matched repurchase agreement, at market rates, $47.4 million for a fund managed by FIDAC.

Subsequent Events

Subsequent Events
	6 Months Ended Jun. 30, 2009 USD / shares
Subsequent Events [Abstract]
Subsequent Events [Text Block]	17.SUBSEQUENT EVENTS At August 4, 2009, the Company had lent $372.6 million to Chimera in a reverse repurchase agreement.At August 4, 2009, the Company had $4.3 billion of repurchase agreements outstanding with RCap. Effective July 1, 2009the Company entered into a lease extension and modification agreement for our offices at 1211 Ave of the Americas New York, NY 10036. The Companymodified its existing lease to allow for the addition of space contiguous to itsexisting space for the remaining six months of 2009. In addition, the Company extended its existing lease, effective January 1, 2010 to December 31, 2014, to included the space leased in 2009 as well as additional space that will become available on or prior to January 1, 2010.