Annaly Capital Management Inc. Files 10-Q for Period Ending March 31, 2024

TL;DR

<b>Annaly Capital Management Inc. has filed its Q1 2024 10-Q report.</b>

AI Summary

ANNALY CAPITAL MANAGEMENT INC (NLY-PJ) filed a Quarterly Report (10-Q) with the SEC on May 2, 2024. Annaly Capital Management Inc. filed a 10-Q report for the period ending March 31, 2024. The filing covers the first quarter of 2024. The company's fiscal year ends on December 31st. Annaly Capital Management Inc. is incorporated in Maryland. The company's principal executive offices are located at 1211 Avenue of the Americas, New York, NY.

Why It Matters

For investors and stakeholders tracking ANNALY CAPITAL MANAGEMENT INC, this filing contains several important signals. This filing provides investors with the latest financial performance and operational details of Annaly Capital Management Inc. for the first quarter of 2024. Understanding the 10-Q is crucial for assessing the company's financial health, strategic direction, and potential risks in the current market environment.

Risk Assessment

Risk Level: medium — ANNALY CAPITAL MANAGEMENT INC shows moderate risk based on this filing. The filing is a standard quarterly report (10-Q), which typically contains detailed financial information but does not usually signal significant new events or immediate risks beyond those inherent in the company's business model.

Analyst Insight

Review the detailed financial statements and risk factors within the 10-Q to understand Annaly Capital Management's performance and outlook for Q1 2024.

Key Numbers

• 20240331 — CONFORMED PERIOD OF REPORT (20240331)
• 20240502 — FILED AS OF DATE (20240502)
• 2024 Q1 — Reporting Period (2024 Q1)
• 12/31 — Fiscal Year End (12/31)

Key Players & Entities

• ANNALY CAPITAL MANAGEMENT INC (company) — FILER
• 0001043219 (company) — CENTRAL INDEX KEY
• 6798 (regulator) — STANDARD INDUSTRIAL CLASSIFICATION
• MD (company) — STATE OF INCORPORATION
• 1211 AVENUE OF THE AMERICAS (company) — BUSINESS ADDRESS STREET 1
• NEW YORK (company) — BUSINESS ADDRESS CITY
• NY (company) — BUSINESS ADDRESS STATE
• 10036 (company) — BUSINESS ADDRESS ZIP

FAQ

Industry Context

Annaly Capital Management Inc. operates as a Real Estate Investment Trust (REIT), focusing on mortgage-related assets.

Regulatory Implications

The company is subject to SEC regulations for public filings, including the quarterly 10-Q report, ensuring transparency for investors.

What Investors Should Do

1. Analyze the balance sheet and income statement for Q1 2024.
2. Review any disclosed changes in investment strategy or portfolio composition.
3. Assess the company's liquidity and debt levels as presented in the filing.

Key Dates

• 2024-03-31: Quarter End — End of the reporting period for the 10-Q filing.
• 2024-05-02: Filing Date — Date the 10-Q report was officially filed with the SEC.

Year-Over-Year Comparison

This is the initial filing analyzed for the period ending March 31, 2024. No prior filing data is available for comparison within this analysis.

Key Financial Figures

• $0.01 — ch Registered Common Stock, par value $0.01 per share NLY New York Stock Exchange

Filing Documents

• nly-20240331.htm (10-Q) — 3250KB
• a2024q1nlyexhibit311.htm (EX-31.1) — 14KB
• a2024q1nlyexhibit312.htm (EX-31.2) — 14KB
• a2024q1nlyexhibit321.htm (EX-32.1) — 7KB
• a2024q1nlyexhibit322.htm (EX-32.2) — 7KB
• nly-20240331_g1.jpg (GRAPHIC) — 119KB
• 0001628280-24-020047.txt (&nbsp;) — 15383KB
• nly-20240331.xsd (EX-101.SCH) — 92KB
• nly-20240331_cal.xml (EX-101.CAL) — 108KB
• nly-20240331_def.xml (EX-101.DEF) — 408KB
• nly-20240331_lab.xml (EX-101.LAB) — 889KB
• nly-20240331_pre.xml (EX-101.PRE) — 676KB
• nly-20240331_htm.xml (XML) — 3112KB

- FINANCIAL INFORMATION

PART I - FINANCIAL INFORMATION Page

Financial Statements

Item 1. Financial Statements 1 Consolidated Statements of Financial Condition at March 31, 2024 (Unaudited) and December 31, 2023 (Derived from the audited consolidated financial statements at December 31, 2023 ) 1 Consolidated Statements of Comprehensive Income (Loss) (Unaudited) for the three months ended March 31, 2024 and 2023 2 Consolidated Statements of Stockholders' Equity (Unaudited) for the three months ended March 31, 2024 and 2023 3 Consolidated Statements of Cash Flows (Unaudited) for the three months ended March 31, 2024 and 2023 4

Notes to Consolidated Financial Statements (Unaudited)

Notes to Consolidated Financial Statements (Unaudited) 5 Note 1. Description of Business 5 Note 2. Basis of Presentation 5 Note 3. Significant Accounting Policies 5 Note 4. Financial Instruments 8 Note 5. Securities 8 Note 6. Loans 12 Note 7. Mortgage Servicing Rights 13 Note 8. Variable Interest Entities 14 Note 9 . Derivative Instruments 15 Note 1 0 . Fair Value Measurements 20 Note 1 1 . Intangible Assets 23 Note 1 2 . Secured Financing 24 Note 1 3 . Capital Stock 25 Note 1 4 . Interest Income and Interest Expense 27 Note 1 5 . Net Income (Loss) per Common Share 28 Note 1 6 . Income Taxes 28 Note 17. Segments 28 Note 1 8 . Risk Management 30 Note 19 . Lease Commitments and Contingencies 31 Note 2 0 . Subsequent Events 32

Management's Discussion and Analysis of Financial Condition and Results of Operations

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 33 Special Note Regarding Forward-Looking Statements 33 Overview 35 Business Environment 35 Results of Operations 37 Financial Condition 48 Capital Management 51 Risk Management 53 Critical Accounting Estimates 63 Glossary of Terms 66

Quantitative and Qualitative Disclosures about Market Risk

Item 3. Quantitative and Qualitative Disclosures about Market Risk 75

Controls and Procedures

Item 4. Controls and Procedures 75

- OTHER INFORMATION

PART II - OTHER INFORMATION

Legal Proceedings

Item 1. Legal Proceedings 76

Risk Factors

Item 1A. Risk Factors 76

Unregistered Sales of Equity Securities and Use of Proceeds

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 76

Other Information

Item 5. Other Information 76

Exhibits

Item 6. Exhibits 76

SIGNATURES

SIGNATURES II-1 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

Financial Statements

Item 1. Financial Statements

- FINANCIAL INFORMATION

PART I - FINANCIAL INFORMATION

FINANCIAL STATEMENTS

ITEM 1. FINANCIAL STATEMENTS ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (dollars in thousands, except per share data) March 31, December 31, 2024 2023 (1) (Unaudited) Assets Cash and cash equivalents (includes pledged assets of $ 1,367,057 and $ 1,136,298 , respectively) (2) $ 1,665,370 $ 1,412,148 Securities (includes pledged assets of $ 61,602,873 and $ 65,400,248 , respectively) (3) 66,500,689 69,613,565 Loans, net (includes pledged assets of $ 2,022,487 and $ 2,082,419 , respectively) (4) 2,717,823 2,353,084 Mortgage servicing rights (includes pledged assets of $ 1,857,834 and $ 1,781,279 , respectively) 2,651,279 2,122,196 Assets transferred or pledged to securitization vehicles 15,614,750 13,307,622 Derivative assets 203,799 162,557 Receivable for unsettled trades 941,366 2,710,224 Principal and interest receivable 867,348 1,222,705 Intangible assets, net 11,433 12,106 Other assets 309,689 311,029 Total assets $ 91,483,546 $ 93,227,236 Liabilities and stockholders' equity Liabilities Repurchase agreements $ 58,975,232 $ 62,201,543 Other secured financing 600,000 500,000 Debt issued by securitization vehicles 13,690,967 11,600,338 Participations issued 1,161,323 1,103,835 U.S. Treasury securities sold, not yet purchased 2,077,404 2,132,751 Derivative liabilities 103,142 302,295 Payable for unsettled trades 2,556,798 3,249,389 Interest payable 350,405 287,937 Dividends payable 325,286 325,052 Other liabilities 146,876 179,005 Total liabilities 79,987,433 81,882,145 Stockholders' equity Preferred stock, par value $ 0.01 per share, 63,500,000 authorized, issued and outstanding 1,536,569 1,536,569 Common stock, par value $ 0.01 per share, 1,468,250,000 authorized, 500,440,023 and 500,080,287 issued and outstanding, respectively 5,004 5,001 Additional paid-in capital 23,673,687 23,672,391 Accumulated other comprehensive income (loss) ( 1,281,918 ) ( 1,335,400 ) A

Financial Statements

Item 1. Financial Statements ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (dollars in thousands, except per share data) (Unaudited) For The Three Months Ended March 31, 2024 2023 Net interest income Interest income $ 1,094,488 $ 818,250 Interest expense 1,100,939 798,787 Net interest income ( 6,451 ) 19,463 Net servicing income Servicing and related income 115,084 84,273 Servicing and related expense 12,216 7,880 Net servicing income 102,868 76,393 Other income (loss) Net gains (losses) on investments and other ( 994,127 ) 1,712 Net gains (losses) on derivatives 1,377,144 ( 900,752 ) Loan loss (provision) reversal — 219 Other, net 23,367 15,498 Total other income (loss) 406,384 ( 883,323 ) General and administrative expenses Compensation expense 28,721 29,391 Other general and administrative expenses 9,849 11,437 Total general and administrative expenses 38,570 40,828 Income (loss) before income taxes 464,231 ( 828,295 ) Income taxes ( 943 ) 11,033 Net income (loss) 465,174 ( 839,328 ) Net income (loss) attributable to noncontrolling interests 2,282 4,928 Net income (loss) attributable to Annaly 462,892 ( 844,256 ) Dividends on preferred stock 37,061 31,875 Net income (loss) available (related) to common stockholders $ 425,831 $ ( 876,131 ) Net income (loss) per share available (related) to common stockholders Basic $ 0.85 $ ( 1.79 ) Diluted $ 0.85 $ ( 1.79 ) Weighted average number of common shares outstanding Basic 500,612,840 489,688,364 Diluted 501,182,043 489,688,364 Other comprehensive income (loss) Net income (loss) $ 465,174 $ ( 839,328 ) Unrealized gains (losses) on available-for-sale securities ( 281,869 ) 675,374 Reclassification adjustment for net (gains) losses included in net income (loss) 335,351 482,908 Other comprehensive income (loss) 53,482 1,158,282 Comprehensive income (loss) 518,656 318,954 Comprehensive income (loss) attributable to noncont

Financial Statements

Item 1. Financial Statements For The ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (dollars in thousands) (Unaudited) For The Three Months Ended March 31, 2024 2023 Preferred stock Beginning of period $ 1,536,569 $ 1,536,569 End of period $ 1,536,569 $ 1,536,569 Common stock Beginning of period $ 5,001 $ 4,683 Issuance — 253 Stock-based award activity 3 3 End of period $ 5,004 $ 4,939 Additional paid-in capital Beginning of period $ 23,672,391 $ 22,981,320 Issuance ( 48 ) 562,456 Stock-based award activity 1,344 ( 685 ) End of period $ 23,673,687 $ 23,543,091 Accumulated other comprehensive income (loss) Beginning of period $ ( 1,335,400 ) $ ( 3,708,896 ) Unrealized gains (losses) on available-for-sale securities ( 281,869 ) 675,374 Reclassification adjustment for net (gains) losses included in net income (loss) 335,351 482,908 End of period $ ( 1,281,918 ) $ ( 2,550,614 ) Accumulated deficit Beginning of period $ ( 12,622,768 ) $ ( 9,543,233 ) Net income (loss) attributable to Annaly 462,892 ( 844,256 ) Dividends declared on preferred stock (1) ( 37,061 ) ( 31,875 ) Dividends and dividend equivalents declared on common stock and stock-based awards (1) ( 326,872 ) ( 322,499 ) End of period $ ( 12,523,809 ) $ ( 10,741,863 ) Total stockholder's equity $ 11,409,533 $ 11,792,122 Noncontrolling interests Beginning of period $ 89,298 $ 98,983 Net income (loss) attributable to noncontrolling interests 2,282 4,928 Equity contributions from (distributions to) noncontrolling interests ( 5,000 ) 13,000 End of period $ 86,580 $ 116,911 Total equity $ 11,496,113 $ 11,909,033 (1) Refer to the "Capital Stock" Note for dividends per share for each class of shares. See notes to consolidated financial statements. 3 ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

Financial Statements

Item 1. Financial Statements ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES CONSOLIDATED STATEMENTS OF CASH FLOWS (dollars in thousands) (Unaudited) For The Three Months Ended March 31, 2024 2023 Cash flows from operating activities Net income (loss) $ 465,174 $ ( 839,328 ) Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities Amortization of premiums and discounts of investments, net 28,050 66,570 Amortization of securitized debt premiums and discounts and deferred financing costs 2,292 2,806 Depreciation, amortization and other noncash expenses 6,884 5,050 Net (gains) losses on investments and derivatives ( 52,868 ) 1,284,746 Income (loss) from unconsolidated joint ventures 3,381 ( 676 ) Loan loss provision (reversal) — ( 219 ) Payments on purchases of loans held for sale ( 2,643 ) — Proceeds from sales and repayments of loans held for sale — 636 Proceeds from U.S. Treasury securities 2,093,527 — Payments on U.S. Treasury securities ( 2,093,489 ) — Net receipts (payments) on derivatives 826,716 ( 1,075,189 ) Net change in Other assets ( 2,877 ) ( 36,601 ) Interest receivable 354,997 ( 136,796 ) Interest payable 62,468 ( 206,885 ) Other liabilities 6,277 ( 83,086 ) Net cash provided by (used in) operating activities 1,697,889 ( 1,018,972 ) Cash flows from investing activities Payments on purchases of securities ( 7,788,513 ) ( 6,332,698 ) Proceeds from sales of securities 9,483,792 4,685,607 Principal payments on securities 1,424,656 1,349,348 Payments on purchases and origination of loans ( 3,134,429 ) ( 935,360 ) Principal payments on loans 363,741 188,082 Payments on purchases of MSR ( 515,760 ) ( 35,825 ) Proceeds from reverse repurchase agreements 149,589,734 18,450,000 Payments on reverse repurchase agreements ( 149,589,734 ) ( 18,450,000 ) Net cash provided by (used in) investing activities ( 166,513 ) ( 1,080,846 ) Cash flows from financing activities Proceeds from

Financial Statements

Item 1. Financial Statements ANNALY CAPITAL MANAGEMENT, INC. AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 1. DESCRIPTION OF BUSINESS Annaly Capital Management, Inc. (the "Company" or "Annaly") is a Maryland corporation that commenced operations on February 18, 1997. The Company is a leading diversified capital manager with investment strategies across mortgage finance. The Company owns a portfolio of real estate related investments, including mortgage pass-through certificates, collateralized mortgage obligations, credit risk transfer ("CRT") securities, other securities representing interests in or obligations backed by pools of mortgage loans, residential mortgage loans and mortgage servicing rights ("MSR"). The Company's principal business objective is to generate net income for distribution to its stockholders and optimize its returns through prudent management of its diversified investment strategies. Annaly is an internally-managed company that has elected to be taxed as a Real Estate Investment Trust ("REIT") as defined under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the "Code"). The Company's three investment groups are primarily comprised of the following: Investment Groups Description Annaly Agency Group Invests in Agency mortgage-backed securities ("MBS") collateralized by residential mortgages which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae and complementary investments within the Agency market, including Agency commercial MBS. Annaly Residential Credit Group Invests primarily in non-Agency residential whole loans and securitized products within the residential and commercial markets. Annaly Mortgage Servicing Rights Group Invests in mortgage servicing rights ("MSR"), which provide the right to service residential mortgage loans in exchange for a portion of the interest payments made on the loans. 2. BASIS OF PRESENTATION The accompanying consolidated financial statements and related notes of the Company have been prepared in accor

Financial Statements

Item 1. Financial Statements The Company performs ongoing reassessments of whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes the Company's consolidation conclusion to change. Refer to the "Variable Interest Entities" Note for further information. Equity Method Investments - For entities that are not consolidated, but where the Company has significant influence over the operating or financial decisions of the entity, the Company accounts for the investment under the equity method of accounting. In accordance with the equity method of accounting, the Company will recognize its share of earnings or losses of the investee in the period in which they are reported by the investee. The Company also considers whether there are any indicators of other-than-temporary impairment of joint ventures accounted for under the equity method. These investments are included in Other assets with income or loss included in Other, net. Cash and Cash Equivalents – Cash and cash equivalents include cash on hand, cash held in money market funds on an overnight basis and cash pledged as collateral with counterparties. Cash deposited with clearing organizations is carried at cost, which approximates fair value. Cash and securities deposited with clearing organizations and collateral held in the form of cash on margin with counterparties to the Company's interest rate swaps and other derivatives totaled $ 1.4 billion and $ 1.1 billion at March 31, 2024 and December 31, 2023, respectively. Fair Value Measurements and the Fair Value Option – The Company reports various investments at fair value, including certain eligible financial instruments elected to be accounted for under the fair value option ("FVO"). The Company chooses to elect the FVO in order to simplify the accounting treatment for certain financial instruments. Items for which the FVO has been elected are presented at fair value in the Consolidated Statements of Financial Conditi

Financial Statements

Item 1. Financial Statements For its securities, the Company recognizes coupon income, which is a component of interest income, based upon the outstanding principal amounts of the financial instruments and their contractual terms. In addition, the Company amortizes or accretes premiums or discounts into interest income for its Agency mortgage-backed securities (other than interest-only securities, multifamily and reverse mortgages), taking into account estimates of future principal prepayments in the calculation of the effective yield. The Company recalculates the effective yield as differences between anticipated and actual prepayments occur. Using third party model and market information to project future cash flows and expected remaining lives of securities, the effective interest rate determined for each security is applied as if it had been in place from the date of the security's acquisition. The amortized cost of the security is then adjusted to the amount that would have existed had the new effective yield been applied since the acquisition date, which results in a cumulative premium amortization adjustment in each period. The adjustment to amortized cost is offset with a charge or credit to interest income. Changes in interest rates and other market factors will impact prepayment speed projections and the amount of premium amortization recognized in any given period. Premiums or discounts associated with the purchase of Agency interest-only securities, reverse mortgages and residential credit securities are amortized or accreted into interest income based upon current expected future cash flows with any adjustment to yield made on a prospective basis. Premiums or discounts associated with the purchase of multifamily securities are amortized or accreted into interest income based upon their contractual payment terms. If a prepayment occurs, an adjustment is made to the unpaid principal balance and unamortized premium or discount in the current period and

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View this 10-Q filing on SEC EDGAR