Annaly Capital Management Inc. (NLY), which manages a portfolio of mortgage-backed securities, posted a GAAP net loss of $91.2 million, or 10 cents a share, for the second quarter ending June 30.

That is down from a net income of $120.8 million, or 14 cents a share, for the year earlier quarter and from the company's GAAP net income of $901.8 million in the first quarter of this year.

If it had not been for unrealized gains or losses on interest rate swaps and agency interest-only mortgage-backed securities, Annaly Capital's net income for the second-quarter would have hit $546.2 million, or 55 cents a share, compared to $587.5 million, or 71 cents a share, for the year ago quarter.

In the most recent quarter, Annaly Capital sold off $6.4 billion in agency mortgage-backed securities and debentures, resulting in a gain of $94.8 million.

"We continue to monitor and evaluate the challenges facing the Euro countries and their institutions, regulatory uncertainty about the function and structure of the global financial system and election-year brinksmanship on fiscal and tax policy," said Michael Farrell, chairman, CEO and president of Annaly.

He added, "In addition, we see long-term risks related to the general direction of monetary policy and its effect on the financial markets. Our concerns about embedded risks in the markets continues to be reflected in the way we manage the company."

By the end of the second quarter, fixed-rate MBS and agency debentures made up 92% of the company's portfolio.

kpanchuk@housingwire.com