Annaly Capital Management, Inc. and AGNC Investment Corp. both recorded negative economic returns in the third quarter, putting yields above 16% cited in a stock screen in context.
The Economic Times listed a 16.24% yield for Annaly and 16.09% for AGNC in a screen published Oct. 30. The figures are the outlet's report; its screen's price snapshot and calculation method are not established by Annaly's own yield formula.
Annaly reported a $1.36 GAAP net loss per average common share and $0.80 in earnings available for distribution (EAD) per share. Its quarterly dividend was $0.75 per share, and its economic return was negative 7.6%. Chief Executive Officer and Co-Chief Investment Officer David Finkelstein said Annaly's $0.80 in EAD per share covered its $0.75 quarterly dividend.
Annaly's book value per common share was $17.86 on Sept. 30, down from $20.15 on June 30. At quarter-end, the company reported GAAP leverage of 8.0-to-1 and economic leverage of 5.9-to-1.
AGNC reported a $1.17 GAAP net loss per share and $0.37 per share in net spread and dollar roll income, a non-GAAP measure. It declared $0.36 per share in dividends for the quarter. Tangible net book value per share fell 16.9%, from $8.58 on June 30 to $7.13 on Sept. 30, while its economic return was negative 12.7%.
AGNC reported a $94.4 billion investment portfolio and “at-risk” leverage equal to 7.9 times tangible net book value at Sept. 30. The company linked weakness in agency mortgage-backed securities to instability in the Treasury market and rising rates. President, Chief Executive and Chief Investment Officer Peter Federico said pressure intensified late in September.
Annaly's investor materials say the company annualizes its latest declared dividend and compares it with its latest closing share price to calculate its yield. A lower share price can therefore raise that indicated yield if the dividend is unchanged, but Annaly's formula does not establish the method or price snapshot behind The Economic Times' figures. Annaly says it cannot guarantee it will pay the same or a similar dividend in the future.
