Exhibit 99.1
Annaly Capital Management, Inc. Reports Results for the 1st Quarter 2012
NEW YORK--(BUSINESS WIRE)--May 2, 2012--Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net income for the quarter ended March 31, 2012 of $901.8 million or $0.92 per average common share as compared to GAAP net income of $699.9 million or $0.92 per average common share for the quarter ended March 31, 2011, and GAAP net income of $445.6 million or $0.46 per average common share for the quarter ended December 31, 2011.
Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities, net income for the quarter ended March 31, 2012, was $529.3 million or $0.54 per average common share as compared to $530.6 million or $0.70 per average common share for the quarter ended March 31, 2011, and $525.3 million or $0.54 per average common share for the quarter ended December 31, 2011.
During the quarter ended March 31, 2012, the Company disposed of $5.3 billion of Agency mortgage-backed securities and debentures, resulting in a realized gain of $80.3 million. During the quarter ended March 31, 2011, the Company disposed of $4.2 billion of Agency mortgage-backed securities and debentures, resulting in a realized gain of $27.2 million. During the quarter ended December 31, 2011, the Company disposed of $10.3 billion of Agency mortgage-backed securities and debentures, resulting in a realized gain of $80.7 million.
Common dividends declared for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011 were $0.55, $0.62, and $0.57 per common share, respectively. The Company distributes dividends based on its current estimate of taxable earnings per common share, not GAAP earnings. Taxable and GAAP earnings will typically differ due to items such as non-taxable unrealized and realized gains and losses, differences in premium amortization and discount accretion, and non-deductible general and administrative expenses.
The annualized dividend yield on the Company’s common stock for the quarter ended March 31, 2012, based on the March 31, 2012, closing price of $15.82, was 13.91%, as compared to 14.21% for the quarter ended March 31, 2011, and 14.29% for the quarter ended December 31, 2011.
On a GAAP basis, the Company provided an annualized return on average equity for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011, of 22.73%, 24.56% and 11.23%, respectively. Without the effect of the unrealized gains or losses on interest rate swaps and Agency interest-only mortgage-backed securities, the Company provided an annualized return on average equity for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011, of 13.34%, 18.62% and 13.24%, respectively.
Michael A.J. Farrell, Chairman, Chief Executive Officer and President of Annaly, commented on the Company’s results: “Risks continue to evolve in the market, with an emphasis on sovereign weakness, slow economic growth, central bank activism and the implications of proposed regulatory reforms. Against this background of potential challenges to global financial stability, we continue to see the benefits of being conservative in our business. It enables us to maneuver through these markets to deliver attractive risk-adjusted returns to shareholders, protect our portfolio and maintain our flexibility to take advantage of investment opportunities as they arise.”
For the quarter ended March 31, 2012, the annualized yield on average interest-earning assets was 3.23% and the annualized cost of funds on average interest-bearing liabilities, including the net interest payments on interest rate swaps, was 1.52%, which resulted in an average interest rate spread of 1.71%. This was a 46 basis point decrease from the 2.17% annualized interest rate spread for the quarter ended March 31, 2011, and equal to the 1.71% average interest rate spread for the quarter ended December 31, 2011. At March 31, 2012, the weighted average yield on investment securities was 3.21% and the weighted average cost of funds on borrowings, including the net interest payments on interest rate swaps, was 1.51%, which resulted in an interest rate spread of 1.70%. Beginning with the quarter ended June 30, 2011, net interest payments on interest rate swaps, reflected in the consolidated statements of operations and comprehensive income (loss) as realized gains (losses) on interest rate swaps, are included in the summary table presentation of cost of funds and interest rate spread. This change does not affect GAAP or taxable net income, shareholders’ equity, cash flows or earnings per share. Leverage at March 31, 2012, March 31, 2011, and December 31, 2011 was 5.8:1, 6.3:1 and 5.4:1, respectively.
Fixed-rate mortgage-backed securities and Agency debentures comprised 91% of the Company’s portfolio at March 31, 2012. The balance of the mortgage-backed securities and Agency debentures was comprised of 8% adjustable-rate mortgage-backed securities and Agency debentures and 1% LIBOR floating-rate collateralized mortgage obligations. At March 31, 2012, the Company had entered into interest rate swaps with a notional amount of $42.1 billion, or 40% of the Company’s Agency mortgage-backed securities and debentures. Changes in the unrealized gains or losses on the interest rate swaps are reflected in the Company’s consolidated statements of operations. The purpose of the interest rate swaps is to mitigate the risk of rising interest rates that affect the Company’s cost of funds. Since the Company receives a floating rate on the notional amount of the swaps, the intended effect of the swaps is to lock in a spread relative to the cost of financing. As of March 31, 2012, the swap portfolio had a weighted average pay rate of 2.42% and a weighted average receive rate of 0.31%. As of March 31, 2012, substantially all of the Company’s Investment Securities were Fannie Mae, Freddie Mac and Ginnie Mae mortgage-backed securities and debentures.
“We continue to generate attractive returns while maintaining our risk in a range we believe to be prudent in current market conditions,” said Wellington Denahan-Norris, Annaly’s Vice Chairman, Chief Investment Officer and Chief Operating Officer. “Although prepayment speeds remained muted relative to the level of interest rates and the efforts of government-mandated refinancing programs, we are closely monitoring activity and believe our portfolio is prepared for a range of outcomes. After taking into account the effect of interest rate swaps, our portfolio of mortgage-backed securities and Agency debentures was comprised of 41% floating-rate, 8% adjustable-rate and 51% fixed-rate assets.”
The following table summarizes portfolio information for the Company:
| | March 31, 2012 | | March 31, 2011 | | December 31, 2011 |
| Leverage at period-end | | 5.8:1 | | 6.3:1 | | 5.4:1 |
Fixed-rate Agency mortgage-backed securities and debentures as a percentage of portfolio | | 91% | | 88% | | 90% |
Adjustable-rate Agency mortgage-backed securities and debentures as a percentage of portfolio | | 8% | | 11% | | 9% |
Floating-rate Agency mortgage-backed securities and debentures as a percentage of portfolio | | 1% | | 1% | | 1% |
Notional amount of interest rate swaps as a percentage of Investment securities | | 40% | | 37% | | 41% |
Annualized yield on average interest-earning assets during the quarter | | 3.23% | | 3.79% | | 3.31% |
Annualized cost of funds on average interest-bearing liabilities during the quarter | | 1.52% | | 1.62% | | 1.60% |
| Annualized interest rate spread during the quarter | | 1.71% | | 2.17% | | 1.71% |
Weighted average yield on investment securities at period-end | | 3.21% | | 3.89% | | 3.22% |
| Weighted average cost of funds on interest-bearing liabilities at period-end | | 1.51% | | 1.65% | | 1.60% |
| Interest rate spread at period-end | | 1.70% | | 2.24% | | 1.62% |
| Weighted average receive rate on interest rate swaps at period-end | | 0.31% | | 0.28% | | 0.33% |
| Weighted average pay rate on interest rate swaps at period-end | | 2.42% | | 2.92% | | 2.55% |
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The Constant Prepayment Rate for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011 was 19%, 17% and 22%, respectively. The weighted average purchase price of the Company’s Agency mortgage-backed securities and debentures at March 31, 2012, March 31, 2011 and December 31, 2011 was 102.9%, 102.1% and 102.7%, respectively. The net amortization of premiums and accretion of discounts on Agency mortgage-backed securities and debentures for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011 was $280.3 million, $174.7 million, and $292.1 million, respectively. The total net premium and discount balance at March 31, 2012, March 31, 2011, and December 31, 2011, was $3.8 billion, $2.9 billion, and $3.3 billion, respectively.
General and administrative expenses as a percentage of average assets was 0.24%, 0.23% and 0.23% for the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011, respectively. At March 31, 2012, March 31, 2011, and December 31, 2011, the Company had a common stock book value per share of $16.18, $15.76 and $16.06, respectively.
At March 31, 2012, March 31, 2011, and December 31, 2011, the Company’s wholly-owned registered investment advisors had under management approximately $12.4 billion, $12.5 billion and $12.2 billion in net assets, respectively, and $20.0 billion, $22.5 billion and $19.9 billion in gross assets, respectively. For the quarters ended March 31, 2012, March 31, 2011, and December 31, 2011, investment advisory and other fee income was $20.8 million, $17.2 million and $20.5 million, respectively.
Annaly manages assets on behalf of institutional and individual investors worldwide. The Company’s principal business objective is to generate net income for distribution to investors from its Investment Securities and from dividends it receives from its subsidiaries.
The Company will hold the 2012 first quarter earnings conference call on Thursday May 3, 2012 at 9:00 a.m. EDT. The number to call is 877-883-0383 for domestic calls and 412-902-6506 for international calls. The conference passcode is 0167750. The replay number is 877-344-7529 for domestic calls and 412-317-0088 for international calls and the conference passcode is 10013349. The replay is available for 48 hours after the earnings call. There will be a web cast of the call on www.annaly.com. If you would like to be added to the e-mail distribution list, please visit www.annaly.com, click on Investor Relations, then select Email Alerts and complete the email notification form.
This news release and our public documents to which we refer contain or incorporate by reference certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. Forward-looking statements which are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” or similar terms or variations on those terms or the negative of those terms. Actual results could differ materially from those set forth in forward-looking statements due to a variety of factors, including, but not limited to, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability of mortgage-backed securities and other securities for purchase, the availability of financing and, if available, the terms of any financing, changes in the market value of our assets, changes in business conditions and the general economy, our ability to consummate any contemplated investment opportunities, changes in government regulations affecting our business, our ability to maintain our qualification as a REIT for federal income tax purposes, our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, and risks associated with the broker-dealer business of our subsidiary, and risks associated with the investment advisory business of our subsidiaries, including the removal by clients of assets they manage, their regulatory requirements and competition in the investment advisory business. For a discussion of the risks and uncertainties which could cause actual results to differ from those contained in the forward-looking statements, see “Risk Factors” in our most recent Annual Report on Form 10-K and any subsequent Quarterly Reports on Form 10-Q. We do not undertake, and specifically disclaim any obligation, to publicly release the result of any revisions which may be made to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements.
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES |
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION |
(dollars in thousands, except share and per share data) |
| |
| | March 31, 2012 (Unaudited) | | December 31, 2011(1) | | September 30, 2011 (Unaudited) | | June 30, 2011 (Unaudited) | | March 31, 2011 (Unaudited) |
| ASSETS | | | | | | | | | | |
| | | | | | | | | | |
| Cash and cash equivalents | | $ | 932,761 | | | $ | 994,198 | | | $ | 3,473,866 | | | $ | 401,844 | | | $ | 357,012 | |
| Reverse repurchase agreements | | | 2,540,601 | | | | 860,866 | | | | 360,315 | | | | 593,865 | | | | 1,348,069 | |
| Investments, at fair value: | | | | | | | | | | |
| U.S. Treasury securities | | | 2,622,714 | | | | 928,547 | | | | 172,892 | | | | 748,118 | | | | 1,088,657 | |
| Securities borrowed | | | 1,122,453 | | | | 928,732 | | | | 1,052,810 | | | | 519,929 | | | | 368,714 | |
| Agency mortgage-backed securities | | | 110,291,712 | | | | 104,251,055 | | | | 106,588,710 | | | | 96,773,448 | | | | 93,644,409 | |
| Agency debentures | | | 1,499,127 | | | | 889,580 | | | | 824,092 | | | | 703,093 | | | | 414,660 | |
| Investments in affiliates | | | 225,818 | | | | 211,970 | | | | 209,374 | | | | 261,659 | | | | 303,713 | |
| Equity securities | | | 4,470 | | | | 3,891 | | | | 3,929 | | | | - | | | | - | |
| Corporate debt, held for investment | | | 50,806 | | | | 52,073 | | | | 27,988 | | | | 27,982 | | | | 21,224 | |
| Receivable for investments sold | | | 454,278 | | | | - | | | | 402,817 | | | | 40,751 | | | | 320,465 | |
| Accrued interest and dividends receivable | | | 418,489 | | | | 409,023 | | | | 410,862 | | | | 386,160 | | | | 391,356 | |
| Receivable from Prime Broker | | | 3,272 | | | | 3,272 | | | | 3,272 | | | | 3,272 | | | | 3,272 | |
| Receivable for advisory and service fees | | | 19,608 | | | | 19,550 | | | | 19,656 | | | | 19,666 | | | | 16,631 | |
| Intangible for customer relationships, net | | | 10,281 | | | | 10,807 | | | | 11,531 | | | | 12,141 | | | | 8,990 | |
| Goodwill | | | 55,417 | | | | 42,030 | | | | 42,030 | | | | 42,030 | | | | 42,030 | |
| Interest rate swaps, at fair value | | | - | | | | - | | | | - | | | | - | | | | 8,879 | |
| Other derivative contracts, at fair value | | | 321 | | | | 113 | | | | 1,450 | | | | 767 | | | | 1,539 | |
| Other assets | | | 29,412 | | | | 24,295 | | | | 26,112 | | | | 22,282 | | | | 87,988 | |
| | | | | | | | | | |
| Total assets | | $ | 120,281,540 | | | $ | 109,630,002 | | | $ | 113,631,706 | | | $ | 100,557,007 | | | $ | 98,427,608 | |
| | | | | | | | | | |
| LIABILITIES AND STOCKHOLDERS’ EQUITY | | | | | | | | | | |
| | | | | | | | | | |
| Liabilities: | | | | | | | | | | |
| U.S. Treasury Securities sold, not yet purchased, at fair value | | $ | 2,577,905 | | | $ | 826,912 | | | $ | 549,505 | | | $ | 491,740 | | | $ | 788,898 | |
| Repurchase agreements | | | 91,720,865 | | | | 84,097,885 | | | | 86,495,905 | | | | 78,447,165 | | | | 79,983,914 | |
| Securities loaned, at fair value | | | 876,849 | | | | 804,901 | | | | 907,061 | | | | 447,330 | | | | 359,852 | |
| Payable for investments purchased | | | 5,708,412 | | | | 4,315,796 | | | | 5,852,986 | | | | 4,824,618 | | | | 2,476,409 | |
| Payable for investments purchased with affiliate | | | - | | | | - | | | | - | | | | - | | | | 57,500 | |
| Convertible Senior Notes | | | 524,420 | | | | 539,913 | | | | 557,045 | | | | 600,000 | | | | 600,000 | |
| Accrued interest payable | | | 129,108 | | | | 138,965 | | | | 128,371 | | | | 122,753 | | | | 113,101 | |
| Dividends payable | | | 534,401 | | | | 552,806 | | | | 581,752 | | | | 539,970 | | | | 498,697 | |
| Interest rate swaps, at fair value | | | 2,211,048 | | | | 2,552,687 | | | | 2,540,558 | | | | 1,035,215 | | | | 577,150 | |
| Accounts payable and other liabilities | | | 57,927 | | | | 7,223 | | | | 74,837 | | | | 78,895 | | | | 79,087 | |
| | | | | | | | | | |
| Total liabilities | | | 104,340,935 | | | | 93,837,088 | | | | 97,688,020 | | | | 86,587,686 | | | | 85,534,608 | |
| | | | | | | | | | |
6.00% Series B Cumulative Convertible Preferred Stock: 4,600,000 shares authorized, 0, 1,331,849, 1,389,249, 1,649,047 and 1,650,047 shares issued and outstanding, respectively | | | - | | | | 32,272 | | | | 33,664 | | | | 39,959 | | | | 39,983 | |
| | | | | | | | | | |
| Stockholders’ Equity: | | | | | | | | | | |
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500 authorized, issued and outstanding | | | 177,088 | | | | 177,088 | | | | 177,088 | | | | 177,088 | | | | 177,088 | |
Common stock, par value $.01 per share, 1,987,987,500 authorized, 974,325,338, 970,161,647, 969,913,060, 831,047,443 and 804,350,532 issued and outstanding, respectively | | | 9,743 | | | | 9,702 | | | | 9,699 | | | | 8,310 | | | | 8,044 | |
| Additional paid-in capital | | | 15,127,882 | | | | 15,068,870 | | | | 15,042,361 | | | | 12,579,012 | | | | 12,119,817 | |
| Accumulated other comprehensive income | | | 2,766,430 | | | | 3,008,988 | | | | 3,073,488 | | | | 2,049,831 | | | | 1,009,528 | |
| Accumulated deficit | | | (2,140,538 | ) | | | (2,504,006 | ) | | | (2,392,614 | ) | | | (884,879 | ) | | | (461,460 | ) |
| | | | | | | | | | |
| Total stockholders’ equity | | | 15,940,605 | | | | 15,760,642 | | | | 15,910,022 | | | | 13,929,362 | | | | 12,853,017 | |
Total liabilities, Series B Cumulative Convertible Preferred Stock and stockholders’ equity | | $ | 120,281,540 | | | $ | 109,630,002 | | | $ | 113,631,706 | | | $ | 100,557,007 | | | $ | 98,427,608 | |
| (1) Derived from the audited consolidated financial statements at December 31, 2011. |
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ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES |
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS) |
(UNAUDITED) |
(dollars in thousands, except share and per share data) |
| |
| | For the quarters ended |
| | March 31, | | December 31, | | September 30, | | June 30, | | March 31, |
| | 2012 | | 2011 | | 2011 | | 2011 | | 2011 |
| Interest income: | | | | | | | | | | |
| Investments | | $ | 850,959 | | | $ | 844,874 | | | $ | 926,558 | | | $ | 948,703 | | | $ | 837,880 | |
| U.S. Treasury Securities | | | 1,418 | | | | 1,082 | | | | 2,302 | | | | 6,497 | | | | 4,825 | |
| Securities loaned | | | 2,518 | | | | 1,744 | | | | 1,942 | | | | 1,868 | | | | 1,343 | |
| Total interest income | | | 854,895 | | | | 847,700 | | | | 930,802 | | | | 957,068 | | | | 844,048 | |
| | | | | | | | | | |
| Interest expense: | | | | | | | | | | |
| Repurchase agreements | | | 113,914 | | | | 114,989 | | | | 109,014 | | | | 100,164 | | | | 102,602 | |
| Convertible Senior Notes | | | 14,727 | | | | 12,552 | | | | 8,798 | | | | 6,900 | | | | 6,767 | |
| U.S. Treasury Securities sold, not yet purchased | | | 2,644 | | | | 1,214 | | | | 2,109 | | | | 4,772 | | | | 4,986 | |
| Securities borrowed | | | 2,060 | | | | 1,378 | | | | 1,496 | | | | 1,484 | | | | 1,101 | |
| Total interest expense | | | 133,345 | | | | 130,133 | | | | 121,417 | | | | 113,320 | | | | 115,456 | |
| | | | | | | | | | |
| Net interest income | | | 721,550 | | | | 717,567 | | | | 809,385 | | | | 843,748 | | | | 728,592 | |
| | | | | | | | | | |
| Other income (loss): | | | | | | | | | | |
| Investment advisory and other fee income | | | 20,766 | | | | 20,460 | | | | 20,828 | | | | 20,710 | | | | 17,207 | |
Net gains (losses) on sales of Agency mortgage-backed securities and debentures | | | 80,299 | | | | 80,657 | | | | 91,668 | | | | 7,336 | | | | 27,185 | |
| Dividend income from affiliates | | | 7,521 | | | | 8,283 | | | | 8,706 | | | | 8,230 | | | | 6,297 | |
| Net gains (losses) on trading assets | | | 5,256 | | | | 6,356 | | | | 1,942 | | | | (5,712 | ) | | | 18,812 | |
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | | | 30,877 | | | | (67,612 | ) | | | (39,321 | ) | | | 276 | | | | - | |
| Income (expense) from underwriting | | | (8 | ) | | | 19 | | | | 2,772 | | | | (77 | ) | | | 2,904 | |
| Subtotal | | | 144,711 | | | | 48,163 | | | | 86,595 | | | | 30,763 | | | | 72,405 | |
| Realized gains (losses) on interest rate swaps(1) | | | (219,340 | ) | | | (227,638 | ) | | | (231,849 | ) | | | (216,760 | ) | | | (206,148 | ) |
| Realized gain (loss) on termination of interest rate swaps | | | (2,385 | ) | | | - | | | | - | | | | - | | | | - | |
| Unrealized gains (losses) on interest rate swaps | | | 341,639 | | | | (12,139 | ) | | | (1,505,333 | ) | | | (466,943 | ) | | | 169,308 | |
| Subtotal | | | 119,914 | | | | (239,777 | ) | | | (1,737,182 | ) | | | (683,703 | ) | | | (36,840 | ) |
| Total other income (loss) | | | 264,625 | | | | (191,614 | ) | | | (1,650,587 | ) | | | (652,940 | ) | | | 35,565 | |
| | | | | | | | | | |
| Expenses: | | | | | | | | | | |
| Compensation expense | | | 59,014 | | | | 54,340 | | | | 57,629 | | | | 49,752 | | | | 44,530 | |
| Other general and administrative expenses | | | 8,893 | | | | 8,754 | | | | 7,565 | | | | 7,477 | | | | 7,297 | |
| Total general and administrative expenses | | | 67,907 | | | | 63,094 | | | | 65,194 | | | | 57,229 | | | | 51,827 | |
| | | | | | | | | | |
Income before income taxes and income from equity method investment in affiliate | | | 918,268 | | | | 462,859 | | | | (906,396 | ) | | | 133,579 | | | | 712,330 | |
| | | | | | | | | | |
| Income taxes | | | (16,462 | ) | | | (17,297 | ) | | | (15,417 | ) | | | (12,762 | ) | | | (13,575 | ) |
| | | | | | | | | | |
| Income (loss) from equity method investment in affiliate | | | - | | | | - | | | | - | | | | - | | | | 1,140 | |
| | | | | | | | | | |
| Net income (loss) | | | 901,806 | | | | 445,562 | | | | (921,813 | ) | | | 120,817 | | | | 699,895 | |
| | | | | | | | | | |
| Dividends on preferred stock | | | 3,938 | | | | 4,148 | | | | 4,172 | | | | 4,267 | | | | 4,267 | |
| | | | | | | | | | |
| Net income (loss) available (related) to common shareholders | | $ | 897,868 | | | $ | 441,414 | | | | ($925,985 | ) | | $ | 116,550 | | | $ | 695,628 | |
| | | | | | | | | | |
Net income (loss) per share available (related) to common shareholders: | | | | | | | | | | |
| Basic | | $ | 0.92 | | | $ | 0.46 | | | | ($0.98 | ) | | $ | 0.14 | | | $ | 0.92 | |
| Diluted | | $ | 0.89 | | | $ | 0.44 | | | | ($0.98 | ) | | $ | 0.14 | | | $ | 0.89 | |
| | | | | | | | | | |
| Weighted average number of common shares outstanding: | | | | | | | | | | |
| Basic | | | 971,727,701 | | | | 970,056,491 | | | | 948,545,975 | | | | 822,623,370 | | | | 752,413,605 | |
| Diluted | | | 1,010,588,609 | | | | 1,011,495,682 | | | | 948,545,975 | | | | 827,754,731 | | | | 790,993,841 | |
| | | | | | | | | | |
| Net income (loss) | | $ | 901,806 | | | $ | 445,562 | | | | ($921,813 | ) | | $ | 120,817 | | | $ | 699,895 | |
| Other comprehensive income (loss): | | | | | | | | | | |
| Unrealized gains (losses) on available-for-sale securities | | | (162,259 | ) | | | 16,157 | | | | 1,115,325 | | | | 1,047,639 | | | | (142,227 | ) |
| Unrealized losses on interest rate swaps | | | - | | | | - | | | | - | | | | - | | | | 14,298 | |
Reclassification adjustment for net (gains) losses included in net income (loss) | | | (80,299 | ) | | | (80,657 | ) | | | (91,668 | ) | | | (7,336 | ) | | | (27,185 | ) |
| Other comprehensive income (loss) | | | (242,558 | ) | | | (64,500 | ) | | | 1,023,657 | | | | 1,040,303 | | | | (155,114 | ) |
| Comprehensive income (loss) | | $ | 659,248 | | | $ | 381,062 | | | $ | 101,844 | | | $ | 1,161,120 | | | $ | 544,781 | |
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| (1) Interest expense related to the Company’s interest rate swaps is recorded in Realized gains (losses) on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss). |
CONTACT:
Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
