Annaly Capital Management ( NYSE: NLY ) book value dropped 13% during Q2 2022 and turned in a 9.6% negative economic return as spread widening and rate volatility continued to roil markets as sentiment shifted to risk-off.
"These pressures weighed on our book value, though our portfolio again generated earnings that exceeded our dividend," said CEO and President David Finkelstein. "Despite these challenges, we remain constructive on the outlook for Agency MBS given historically attractive new investment returns and increased clarity from the Federal Reserve on the path forward for interest rate hikes and quantitative tightening."
Q2 earnings available for distribution of $0.30 per share exceeding the $0.25 consensus, increased from $0.28 in Q1 and provided over 135% dividend coverage.
Economic leverage of 6.6x increased from 6.4x in Q1; economic return of -9.6% vs. -12.3% in the prior quarter.
Book value per common share of $5.90 at June 30, 2022 vs. $6.77 at March 31.
Annaly Capital ( NLY ) stock is declining 1.5% in Wednesday after-hours trading.
Q2 net interest margin, excluding PAA, of 2.20% vs. 2.04% in Q1 and 2.09% in Q2 2021.
Q2 net interest spread, excluding PAA, was 1.76% vs. 1.73% in the prior quarter and 1.93% in the year-ago quarter.
Average economic cost of interest-bearing liabilities was 1.11% at June 30, 2022 vs. 0.89% at March 31.
Conference call on July 28 at 9:00 AM ET.
Earlier, Annaly Capital Management ( NLY ) non-GAAP EPS of $0.30 beats by $0.05
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Annaly Capital Q2 book value falls 13% amid volatile market, but earnings beat