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Annaly Capital Management, Inc. Reports Results for the 3rd Quarter 2012

  Annaly Capital Management, Inc. Reports Results for the 3rd Quarter 2012

Business Wire

NEW YORK -- November 05, 2012

Annaly Capital Management, Inc. (NYSE: NLY) today reported GAAP net income for
the quarter ended September 30, 2012 of $224.8 million or $0.22 per average
common share as compared to GAAP net loss of $921.8 million or $0.98 per
average common share for the quarter ended September 30, 2011, and GAAP net
loss of $91.2 million or $0.10 per average common share for the quarter ended
June 30, 2012.

Without the effect of the unrealized gains or losses on interest rate swaps
and Agency interest-only mortgage-backed securities and net loss on
extinguishment of 4% Convertible Senior Notes Due 2015 (the “4% Convertible
Notes”), net income for the quarter ended September 30, 2012, was $449.8
million or $0.45 per average common share as compared to $622.8 million or
$0.65 per average common share for the quarter ended September 30, 2011, and
$546.2 million or $0.55 per average common share for the quarter ended June
30, 2012.

During the quarter ended September 30, 2012, the Company disposed of $7.3
billion of investments, resulting in a realized gain of $142.2 million. During
the quarter ended September 30, 2011, the Company disposed of $3.9 billion of
investments, resulting in a realized gain of $91.7 million. During the quarter
ended June 30, 2012, the Company disposed of $6.4 billion of investments,
resulting in a realized gain of $94.8 million.

Common dividends declared for the quarters ended September 30, 2012, September
30, 2011, and June 30, 2012 were $0.50, $0.60, and $0.55 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 September 30, 2012, based on the September 30, 2012, closing price of
$16.84, was 11.88%, as compared to 14.43% for the quarter ended September 30,
2011, and 13.11% for the quarter ended June 30, 2012.

During the quarter ended September 30, 2012, the Company issued 18.4 million
shares of 7.50% Series D Cumulative Redeemable Preferred Stock for net
proceeds of $445.5 million.

During the quarter ended September 30, 2012, the Company repurchased
approximately $280.7 million of the outstanding $600.0 million of its 4.00%
Convertible Senior Notes for $357.2 million. The 4% Convertible Senior Notes
are convertible into shares of common stock at a conversion rate that
increases as the Company pays dividends. As a result, this repurchase will
reduce future dilution to common shareholders.

On a GAAP basis, the Company produced an annualized return on average equity
for the quarter ended September 30, 2012 of 5.39% and an annualized loss on
average equity for the quarters ended September 30, 2011 and June 30, 2012 of
24.65% and 2.26%, respectively. Without the effect of the unrealized gains or
losses on interest rate swaps and Agency interest-only mortgage-backed
securities and net loss on extinguishment of 4% Convertible Senior Notes, the
Company provided an annualized return on average equity for the quarters ended
September 30, 2012, September 30, 2011, and June 30, 2012, of 10.78%, 16.66%
and 13.56%, respectively.

Wellington Denahan-Norris, Chief Executive Officer of Annaly, commented on the
Company’s results. “The active involvement of policymakers in the mortgage
market, particularly the Federal Reserve’s latest, open-ended, large scale
asset purchase program, has introduced unique challenges for all investors.
These policy decisions will have consequences in a wide range of markets, not
just Agency mortgage-backed securities. We continue to pursue a conservative
stance in these conditions, as we assess relative value opportunities across
asset classes, on both sides of our balance sheet and throughout our
business.”

For the quarter ended September 30, 2012, the annualized yield on average
interest-earning assets was 2.54% 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
1.02%. This was a 106 basis point decrease from the 2.08% annualized interest
rate spread for the quarter ended September 30, 2011, and a 52 basis point
decrease from the 1.54% average interest rate spread for the quarter ended
June 30, 2012. At September 30, 2012, the weighted average yield on investment
securities was 2.79% and the weighted average cost of funds on borrowings,
including the net interest payments on interest rate swaps, was 1.55%, which
resulted in an interest rate spread of 1.24%. Leverage at September 30, 2012,
September 30, 2011, and June 30, 2012 was 6.0:1, 5.5:1 and 6.0:1,
respectively.

Fixed-rate Agency mortgage-backed securities and debentures comprised 93% of
the Company’s portfolio at September 30, 2012. Adjustable-rate Agency
mortgage-backed securities and debentures comprised 7% of the Company’s
portfolio. At September 30, 2012, the Company had entered into interest rate
swaps with a notional amount of $46.7 billion, or 38% 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 comprehensive income. 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 September 30, 2012, the swap portfolio had a
weighted average pay rate of 2.23%, a weighted average receive rate of 0.27%
and weighted average years to maturity of 4.93 years. As of September 30,
2012, substantially all of the Company’s Investment Securities were Fannie
Mae, Freddie Mac and Ginnie Mae mortgage-backed securities and debentures.

The following table summarizes portfolio information for the Company:

                                    September 30,     September     June 30,
                                 2012            30,         2012     
                                                      2011
Leverage at period-end             6.0:1           5.5:1       6.0:1
Fixed-rate Agency
mortgage-backed securities
and                                 93%               90%           92%

debentures as a percentage
of portfolio
Adjustable-rate Agency
mortgage-backed securities
and                                 7%                9%            7%

debentures as a percentage
of portfolio
Floating-rate Agency
mortgage-backed securities
and                                 -                 1%            1%

debentures as a percentage
of portfolio
Notional amount of interest
rate swaps as a percentage of       38%               40%           41%

Investment Securities
Annualized yield on average
interest-earning assets
during                              2.54%             3.71%         3.04%

the quarter
Annualized cost of funds on
average interest-bearing
                                    1.52%             1.63%         1.50%
liabilities during the
quarter
Annualized interest rate            1.02%             2.08%         1.54%
spread during the quarter
Weighted average yield on
investment securities at            2.79%             3.58%         3.17%

period-end
Weighted average cost of
funds on interest-bearing
liabilities at                      1.55%             1.62%         1.58%

period-end
Interest rate spread at             1.24%             1.96%         1.59%
period-end
Weighted average days to
maturity on interest-bearing
liabilities at                      220               130           216

period-end
Weighted average receive rate
on interest rate swaps at           0.27%             0.25%         0.30%
period-end
Weighted average pay rate on
interest rate swaps at              2.23%             2.57%         2.29%
period-end
                                                                             

The following table summarizes certain characteristics of the Company’s
interest rate swaps as of September 30, 2012:

                                                       Weighted     Weighted
                                          Weighted                  Average
Maturity             Current        Average    Average    Years
                         Notional
                                          Pay Rate     Receive      to
                                                       Rate         Maturity
                    (dollars in thousands)                              
0 - 3 years              $17,758,800      2.26%        0.28%        1.97
3 - 6 years              20,273,660       1.85%        0.26%        3.95
6 - 10 years             4,650,000        2.80%        0.29%        7.71
Greater than 10         4,064,250      3.37%      0.26%      19.59    
years
Total / Weighted        $46,746,710    2.23%      0.27%      4.93     
Average
                                                                             

The following table presents the maturities of repurchase agreements at
September 30, 2012:

Maturity              Principal       Weighted      
                          Balance            Average Rate
(dollars in thousands)                                     
Within 30 days            $30,820,191        0.43%
30 to 59 days             18,726,669         0.43%
60 to 89 days             4,795,439          0.41%
90 to 119 days            11,309,846         0.49%
Over 120 days^(1)        35,381,001      0.93%         
Total                    $101,033,146    0.61%         

    (1)   Of the total repurchase agreements, approximately 11% have a
                remaining maturity over 1 year.
                

The Constant Prepayment Rate for the quarters ended September 30, 2012,
September 30, 2011, and June 30, 2012 was 20%, 18% and 19%, respectively. The
weighted average purchase price of the Company’s Agency mortgage-backed
securities and debentures at September 30, 2012, September 30, 2011 and June
30, 2012 was 103.7%, 102.3% and 103.2%, respectively. The net amortization of
premiums and accretion of discounts on Agency mortgage-backed securities and
debentures for the quarters ended September 30, 2012, September 30, 2011, and
June 30, 2012 was $455.8 million, $201.0 million, and $302.8 million,
respectively. The total net premium and discount balance at September 30,
2012, September 30, 2011, and June 30, 2012, was $5.4 billion, $3.4 billion,
and $4.5 billion, respectively.

General and administrative expenses as a percentage of average assets was
0.19%, 0.24% and 0.21% for the quarters ended September 30, 2012, September
30, 2011, and June 30, 2012, respectively. At September 30, 2012, September
30, 2011, and June 30, 2012, the Company had a common stock book value per
share of $16.60, $16.22 and $16.23, respectively.

At September 30, 2012, September 30, 2011, and June 30, 2012, the Company’s
wholly-owned registered investment advisors had under management approximately
$12.8 billion, $12.2 billion and $12.4 billion in net assets, respectively,
and $20.0 billion, $21.8 billion and $20.5 billion in gross assets,
respectively. For the quarters ended September 30, 2012, September 30, 2011,
and June 30, 2012, investment advisory and other fee income was $21.0 million,
$20.8 million and $21.9 million, respectively.

Annaly’s principal business objective is to generate net income for
distribution to its shareholders from its Investment Securities and from
dividends it receives from its subsidiaries.

The Company will hold the 2012 third quarter earnings conference call on
November 6, 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 5452041. The replay number is 877-344-7529 for domestic calls and
412-317-0088 for international calls and the conference passcode is 10019907.
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.

                                                                                                            
                                                                                                            
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION

(dollars in thousands, except share and per share data)
                                                                                     
                    September 30,     June 30,          March 31,                          September 30,

                   2012             2012             2012             December 31,     2011            

                    (Unaudited)       (Unaudited)       (Unaudited)       2011^(1)          (Unaudited)
ASSETS
                                                                                                            
Cash and cash       $ 2,264,854       $ 924,374         $ 932,761         $ 994,198         $ 3,473,866
equivalents
Reverse
repurchase            1,612,384         2,025,471         2,540,601         860,866           360,315
agreements
Investments, at
fair value:
U.S. Treasury         2,242,039         1,998,363         2,622,714         928,547           172,892
Securities
Securities            1,602,692         1,465,327         1,122,453         928,732           1,052,810
borrowed
Agency
mortgage-backed       129,597,714       118,500,649       110,291,712       104,251,055       106,588,710
securities
Agency                2,935,538         1,250,506         1,499,127         889,580           824,092
debentures
Investments in        224,899           203,057           225,818           211,970           209,374
affiliates
Equity                -                 -                 4,470             3,891             3,929
securities
Corporate debt,
held for              64,928            60,638            50,806            52,073            27,988
investment
Receivable for
investments           470,266           1,320,996         454,278           -                 402,817
sold
Accrued
interest and          434,026           420,390           418,489           409,023           410,862
dividends
receivable
Receivable from       3,272             3,272             3,272             3,272             3,272
Prime Broker
Receivable for
advisory and          20,271            20,743            19,608            19,550            19,656
service fees
Intangible for
customer              9,146             9,714             10,281            10,807            11,531
relationships
Goodwill              55,417            55,417            55,417            42,030            42,030
Other
derivative            559               3,717             321               113               1,450
contracts, at
fair value
Other assets        38,595         41,937         29,412         24,295         26,112       
                                                                                                            
Total assets       $ 141,576,600   $ 128,304,571   $ 120,281,540   $ 109,630,002   $ 113,631,706  
                                                                                                            
LIABILITIES AND
STOCKHOLDERS’
EQUITY
                                                                                                            
Liabilities:
U.S. Treasury
Securities
sold, not yet       $ 1,418,750       $ 1,884,922       $ 2,577,905       $ 826,912         $ 549,505
purchased, at
fair value
Repurchase            101,033,146       96,760,797        91,720,865        84,097,885        86,495,905
agreements
Securities
loaned, at fair       1,248,968         1,113,107         876,849           804,901           907,061
value
Payable for
investments           16,107,038        7,387,410         5,708,412         4,315,796         5,852,986
purchased
Convertible           999,749           1,245,915         524,420           539,913           557,045
Senior Notes
Accrued
interest              181,502           174,819           129,108           138,965           128,371
payable
Dividends             487,237           535,898           534,401           552,806           581,752
payable
Interest rate
swaps, at fair        2,926,461         2,822,264         2,211,048         2,552,687         2,540,558
value
Accounts
payable and         83,086         94,853         57,927         7,223          74,837       
other
liabilities
                                                                                                            
Total               124,485,937    112,019,985    104,340,935    93,837,088     97,688,020   
liabilities
                                                                                                            
6.00% Series B
Cumulative
Convertible
Preferred
Stock:
4,600,000
shares                                                                                   
authorized, 0,                                                                               
0, 0,                 -                 -                 -                 32,272            33,664
1,331,849, and
1,389,249,
shares issued
and
outstanding,
respectively
                                                                                                            
Stockholders’
Equity:
7.875% Series A
Cumulative
Redeemable
Preferred
Stock:               177,088           177,088           177,088           177,088           177,088
7,412,500
authorized,
issued and
outstanding
7.625% Series C
Cumulative
Redeemable
Preferred
Stock:
12,650,000,
12,650,000, 0,
0, and 0              290,514           290,514           -                 -                 -
authorized,
respectively,
12,000,000,
12,000,000, 0,
0, and 0 issued
and
outstanding,
respectively
7.50% Series D
Cumulative
Redeemable
Preferred
Stock:
18,400,000, 0,       445,457           -                 -                 -                 -
0, 0, and 0
authorized,
issued and
outstanding,
respectively
Common stock,
par value $.01
per share,
1,956,937,500,
1,975,337,500,
1,956,937,500,
1,987,987,500,
and
1,987,987,500
authorized,          9,748             9,747             9,743             9,702             9,699
respectively,
974,799,779,
974,684,401,
974,325,338,
970,161,647,
and 969,913,060
issued and
outstanding,
respectively
Additional            15,144,200        15,168,020        15,127,882        15,068,870        15,042,361
paid-in capital
Accumulated
other                 4,069,607         3,413,320         2,766,430         3,008,988         3,073,488
comprehensive
income
Accumulated         (3,045,951  )   (2,774,103  )   (2,140,538  )   (2,504,006  )   (2,392,614  ) 
deficit
                                                                                                            
Total
stockholders’       17,090,663     16,284,586     15,940,605     15,760,642     15,910,022   
equity
Total
liabilities,
Series B
Cumulative
Convertible        $ 141,576,600   $ 128,304,571   $ 120,281,540   $ 109,630,002   $ 113,631,706  
Preferred Stock
and

stockholders’
equity


   (1)   Derived from the audited consolidated financial statements at
              December 31, 2011.

                                                                                                                   
                                                                                                                   
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(UNAUDITED)

(dollars in thousands, except share and per share data)
                    
                      For the quarters ended                                                                      
                       September 30,    June 30,         March 31,          December 31,       September 30,
                      2012             2012              2012            2011               2011            
Interest income:
Investments            $ 754,096         $ 876,229         $ 850,959           $ 844,874           $ 926,558
U.S. Treasury            4,588             7,397             1,418               1,082               2,302
Securities
Securities loaned      2,581          2,698          2,518            1,744            1,942        
Total interest         761,265        886,324        854,895          847,700          930,802      
income
                                                                                                                   
Interest expense:
Repurchase               158,150           139,579           113,914             114,989             109,014
agreements
Convertible Senior       18,026            18,965            14,727              12,552              8,798
Notes
U.S. Treasury
Securities sold,         3,739             5,801             2,644               1,214               2,109
not yet purchased
Securities             1,978          2,098          2,060            1,378            1,496        
borrowed
Total interest         181,893        166,443        133,345          130,133          121,417      
expense
                                                                                                                   
Net interest           579,372        719,881        721,550          717,567          809,385      
income
                                                                                                                   
Other income
(loss):
Investment
advisory and other       21,034            21,929            20,766              20,460              20,828
fee income
Net gains (losses)
on disposal of           142,172           94,837            80,299              80,657              91,668
investments
Net loss on
extinguishment of        (87,328     )     -                 -                   -                   -
Convertible Senior
Notes
Dividend income          7,097             6,621             7,521               8,283               8,706
from affiliates
Net gains (losses)       1,368             1,105             5,256               6,356               1,942
on trading assets
Net unrealized
gains (losses) on
interest-only            (33,563     )     (26,103     )     30,877              (67,612       )     (39,321     )
Agency mortgage-
backed
securities
Income from            -              -              -                19               2,772        
underwriting
Subtotal               50,780         98,389         144,719          48,163           86,595       
Realized gains
(losses) on              (224,272    )     (222,002    )     (219,340      )     (227,638      )     (231,849    )
interest rate
swaps^(1)
Realized gain
(loss) on
termination of           -                 -                 (2,385        )     -                   -
interest rate
swaps
Unrealized gains
(losses) on            (104,197    )   (611,215    )   341,639          (12,139       )   (1,505,333  ) 
interest rate
swaps
Subtotal               (328,469    )   (833,217    )   119,914          (239,777      )   (1,737,182  ) 
Total other income     (277,689    )   (734,828    )   264,633          (191,614      )   (1,650,587  ) 
(loss)
                                                                                                                   
Expenses:
Compensation             52,310            53,536            59,014              54,340              57,629
expense
Other general and
administrative         10,694         11,020         8,901            8,754            7,565        
expenses
Total general and
administrative         63,004         64,556         67,915           63,094           65,194       
expenses
                                                                                                                   
Income before            238,679           (79,503     )     918,268             462,859             (906,396    )
income taxes
                                                                                                                   
Income taxes           (13,921     )   (11,656     )   (16,462       )   (17,297       )   (15,417     ) 
                                                                                                                   
Net income (loss)        224,758           (91,159     )     901,806             445,562             (921,813    )
                                                                                                                   
Dividends on           9,367          6,508          3,938            4,148            4,172        
preferred stock
                                                                                                                   
Net income (loss)
available
(related) to          $ 215,391        ($97,667    )  $ 897,868         $ 441,414          ($925,985   ) 
common
shareholders
                                                                                                                   
Net income (loss)
per share
available
(related) to
common
shareholders:
Basic                 $ 0.22           ($0.10      )  $ 0.92            $ 0.46             ($0.98      ) 
Diluted               $ 0.22           ($0.10      )  $ 0.89            $ 0.44             ($0.98      ) 
                                                                                                                   
Weighted average
number of common
shares
outstanding:
Basic                  974,729,078    974,555,392    971,727,701      970,056,491      948,545,975  
Diluted                997,007,829    974,555,392    1,010,588,609    1,011,495,682    948,545,975  
                                                                                                                   
Net income (loss)     $ 224,758        ($91,159    )  $ 901,806         $ 445,562          ($921,813   ) 
Other
comprehensive
income (loss):
Unrealized gains
(losses) on              798,269           741,727           (162,259      )     16,157              1,115,325
available-for-sale
securities
Reclassification
adjustment for net
(gains) losses         (141,982    )   (94,837     )   (80,299       )   (80,657       )   (91,668     ) 
included in net
income (loss)
Other
comprehensive          656,287        646,890        (242,558      )   (64,500       )   1,023,657    
income (loss)
Comprehensive         $ 881,045       $ 555,731       $ 659,248         $ 381,062         $ 101,844      
income (loss)


        Interest expense related to the Company’s interest rate swaps is
(1)   recorded in Realized gains (losses) on interest rate swaps on the
        Consolidated Statements of Comprehensive Income.

                                                                             
                                                                             
ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

(UNAUDITED)

(dollars in thousands, except share and per share data)
                               
                                  For the nine months ended                 
                                  September 30, 2012   September 30, 2011 
Interest income:                                       
Investments                        $  2,481,284           $  2,713,141
U.S. Treasury Securities              13,403                 13,624
Securities loaned                   7,797              5,153          
Total interest income               2,502,484          2,731,918      
                                                                             
Interest expense:
Repurchase agreements                 411,643                311,780
Convertible Senior Notes              51,718                 22,465
U.S. Treasury Securities              12,184                 11,867
sold, not yet purchased
Securities borrowed                 6,136              4,081          
Total interest expense              481,681            350,193        
                                                                             
Net interest income                 2,020,803          2,381,725      
                                                                             
Other income (loss):
Investment advisory and               63,729                 58,745
other fee income
Net gains (losses) on                 317,308                126,189
disposal of investments
Net loss on extinguishment            (87,328       )        -
of Convertible Senior Notes
Dividend income from                  21,239                 23,233
affiliates
Net gains (losses) on                 7,729                  15,042
trading assets
Net unrealized gains
(losses) on interest-only             (28,789       )        (39,045      )
Agency mortgage- backed
securities
Income from underwriting            -                  5,599          
Subtotal                            293,888            189,763        
Realized gains (losses) on            (665,614      )        (654,757     )
interest rate swaps^(1)
Realized gain (loss) on
termination of interest rate          (2,385        )        -
swaps
Unrealized gains (losses) on        (373,773      )     (1,802,968   )  
interest rate swaps
Subtotal                            (1,041,772    )     (2,457,725   )  
Total other income (loss)           (747,884      )     (2,267,962   )  
                                                                             
Expenses:
Compensation expense                  164,860                151,911
Other general and                   30,615             22,339         
administrative expenses
Total general and                   195,475            174,250        
administrative expenses
Income before income taxes
and income from equity                1,077,444              (60,487      )
method investment in
affiliate
                                                                             
Income taxes                          (42,039       )        (41,754      )
                                                                             
Income (loss) from equity
method investment in                -                  1,140          
affiliate
                                                                             
Net income (loss)                     1,035,405              (101,101     )
                                                                             
Dividends on preferred stock        19,813             12,706         
                                                                             
Net income (loss) available
(related) to common               $  1,015,592          ($113,807    )  
shareholders
                                                                             
Net income (loss) per share
available (related) to
common
shareholders:
Basic                             $  1.04               ($0.14       )  
Diluted                           $  1.00               ($0.14       )  
                                                                             
Weighted average number of
common shares outstanding:
Basic                               973,674,586        841,912,810    
Diluted                             1,035,365,251      841,912,810    
                                                                             
Net income (loss)                 $  1,035,405          ($101,101    )  
Other comprehensive income
(loss):
Unrealized gains (losses) on
available-for-sale                    1,377,737              2,020,737
securities
Unrealized losses on                  -                      14,298
interest rate swaps
Reclassification adjustment
for net (gains) losses              (317,118      )     (126,189     )  
included in net
income (loss)
Other comprehensive income          1,060,619          1,908,846      
(loss)
Comprehensive income (loss)       $  2,096,024        $  1,807,745      


        Interest expense related to the Company’s interest rate swaps is
(1)   recorded in Realized gains (losses) on interest rate swaps on the
        Consolidated Statements of Comprehensive Income.
        

Contact:

Annaly Capital Management, Inc.
Investor Relations
1-888-8Annaly
www.annaly.com
 
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