Annaly Capital Management Inc. (NLY, Financial) filed Quarterly Report for the period ended 2012-09-30.
Annaly Capital Management, Inc. has a market cap of $15.4 billion; its shares were traded at around $15.305 with a P/E ratio of 7.1 and P/S ratio of 13.8. The dividend yield of Annaly Capital Management, Inc. stocks is 12.7%.
Our interest income for the nine months ended September 30, 2012 and 2011 was $2.5 billion and $2.7 billion, respectively. We had average interest earning assets of $114.0 billion and $94.8 billion for the nine months ended September 30, 2012 and 2011, respectively. While our average interest earning assets increased period-over-period by $19.2 billion, the yield on our average interest earning assets decreased from 3.84% for the nine months ended September 30, 2011 to 2.93% for the nine months ended September 30, 2012. Additionally, the prepayment speeds increased to an average of 19% CPR for the nine months ended September 30, 2012 from an average of 15% for the nine months ended September 30, 2011.
Our economic net interest income, including interest paid on interest rate swaps, decreased by $222.4 million for the quarter ended September 30, 2012, as compared to the quarter ended September 30, 2011, because of the decline in interest rate spread. Our net interest rate spread for the quarter ended September 30, 2012 was 1.02%, which was 106 basis points less than the interest rate spread for the quarter ended September 30, 2011 of 2.08%. This 106 basis point decrease in interest rate spread for third quarter of 2012 compared to the spread for third quarter of 2011 was the result of the decrease in average yield on average interest earning assets of 117 basis points partially offset by a decrease in the average cost of interest-bearing liabilities of 11 basis points. The estimated weighted average yield on our investment portfolio at September 30, 2012 was 2.79% and estimated cost of funds on interest-bearing liabilities was 1.55%, resulting in an estimated interest rate spread of 1.24%.
We accrete discount balances as an increase in interest income over the expected life of the related interest earning assets and we amortize premium balances as a decrease in interest income over the expected life of on the related interest earning assets. At September 30, 2012 and December 31, 2011 we had on our Consolidated Statements of Financial Condition a total of $29.9 million and $27.3 million, respectively, of unaccreted discount (which is the difference between the remaining principal value and current historical amortized cost of our Investment Securities acquired at a price below principal value) and a total of $5.5 billion and $3.4 billion, respectively, of unamortized premium (which is the difference between the remaining principal value and the current historical amortized cost of our Investment Securities acquired at a price above principal value).
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Annaly Capital Management, Inc. has a market cap of $15.4 billion; its shares were traded at around $15.305 with a P/E ratio of 7.1 and P/S ratio of 13.8. The dividend yield of Annaly Capital Management, Inc. stocks is 12.7%.
Highlight of Business Operations:
Our interest income for the quarters ended September 30, 2012 and 2011 was $761.3 million and $930.8 million, respectively. We had average interest earning assets of $119.9 billion and $100.5 billion for the quarters ended September 30, 2012 and 2011, respectively. While our average interest earning assets increased period-over-period by $19.4 billion, the yield on our average interest earning assets decreased from 3.71% for the quarter ended September 30, 2011 to 2.54% for the quarter ended September 30, 2012. Additionally, the prepayment speeds increased to an average of 20% CPR for the quarter ended September 30, 2012 from an average of 18% for the quarter ended September 30, 2011.Our interest income for the nine months ended September 30, 2012 and 2011 was $2.5 billion and $2.7 billion, respectively. We had average interest earning assets of $114.0 billion and $94.8 billion for the nine months ended September 30, 2012 and 2011, respectively. While our average interest earning assets increased period-over-period by $19.2 billion, the yield on our average interest earning assets decreased from 3.84% for the nine months ended September 30, 2011 to 2.93% for the nine months ended September 30, 2012. Additionally, the prepayment speeds increased to an average of 19% CPR for the nine months ended September 30, 2012 from an average of 15% for the nine months ended September 30, 2011.
Our economic net interest income, including interest paid on interest rate swaps, decreased by $222.4 million for the quarter ended September 30, 2012, as compared to the quarter ended September 30, 2011, because of the decline in interest rate spread. Our net interest rate spread for the quarter ended September 30, 2012 was 1.02%, which was 106 basis points less than the interest rate spread for the quarter ended September 30, 2011 of 2.08%. This 106 basis point decrease in interest rate spread for third quarter of 2012 compared to the spread for third quarter of 2011 was the result of the decrease in average yield on average interest earning assets of 117 basis points partially offset by a decrease in the average cost of interest-bearing liabilities of 11 basis points. The estimated weighted average yield on our investment portfolio at September 30, 2012 was 2.79% and estimated cost of funds on interest-bearing liabilities was 1.55%, resulting in an estimated interest rate spread of 1.24%.
We accrete discount balances as an increase in interest income over the expected life of the related interest earning assets and we amortize premium balances as a decrease in interest income over the expected life of on the related interest earning assets. At September 30, 2012 and December 31, 2011 we had on our Consolidated Statements of Financial Condition a total of $29.9 million and $27.3 million, respectively, of unaccreted discount (which is the difference between the remaining principal value and current historical amortized cost of our Investment Securities acquired at a price below principal value) and a total of $5.5 billion and $3.4 billion, respectively, of unamortized premium (which is the difference between the remaining principal value and the current historical amortized cost of our Investment Securities acquired at a price above principal value).
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