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Annaly Capital Management, Inc. Reports 3rd Quarter 2013 Results

Stocks in this article: NLY

At September 30, 2013, June 30, 2013, and September 30, 2012, the Company had a common stock book value per share of $12.70, $13.03 and $16.60, respectively.

The following table presents the maturities of repurchase agreements at September 30, 2013:

Maturity         Principal Balance        


Average Rate

(dollars in thousands)
Within 30 days $23,998,951 0.35%
30 to 59 days 13,302,830 0.42%
60 to 89 days 5,722,493 0.43%
90 to 119 days 8,030,625 0.27%
Over 120 days (1) 18,156,410         1.36%
Total $69,211,309         0.63%
(1)   Approximately 14% of the total repurchase agreements have a remaining maturity over 1 year.

Hedge Portfolio

At September 30, 2013, the Company had entered into interest rate swaps with a notional amount of $52.2 billion and interest rate swaptions with a notional amount of $6.8 billion, or 74% of the Company’s Agency mortgage-backed securities and debentures compared to 56% of the Company’s Agency mortgage-backed securities and debentures at June 30, 2013. Changes in the unrealized gains or losses on the interest rate swaps are reflected in the Company’s consolidated statements of comprehensive income (loss). 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 pays a fixed rate and receives a floating rate on the notional amount of the swaps, the intended effect of the swaps is to lock in a cost of financing. As of September 30, 2013, the swap portfolio had a weighted average pay rate of 2.06%, a weighted average receive rate of 0.21% and weighted average maturity of 5.17 years.

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