Price Graph
Price
Yield
These terms and conditions govern your use of the website alphaminr.com and its related services.
These Terms and Conditions (“Terms”) are a binding contract between you and Alphaminr, (“Alphaminr”, “we”, “us” and “service”). You must agree to and accept the Terms. These Terms include the provisions in this document as well as those in the Privacy Policy. These terms may be modified at any time.
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Maryland
(State or other jurisdiction of
incorporation or organization)
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13-3974868
(I.R.S. Employer
Identification No.)
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350 Park Avenue, 20th Floor, New York, New York
(Address of principal executive offices)
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10022
(Zip Code)
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Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, par value $0.01 per share
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New York Stock Exchange
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7.50% Series B Cumulative Redeemable
Preferred Stock, par value $0.01 per share
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New York Stock Exchange
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8.00% Senior Notes due 2042
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New York Stock Exchange
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Large accelerated filer
x
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Accelerated filer
o
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Non-accelerated filer
o
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Smaller reporting company
o
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•
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Adverse developments involving major financial institutions or involving one of our lenders could result in a rapid reduction in our ability to borrow and materially adversely affect our business, profitability and liquidity.
As of December 31, 2013, we had amounts outstanding under repurchase agreements with 26 separate lenders. A material adverse development involving one or more major financial institutions or the financial markets in general could result in our lenders reducing our access to funds available under our repurchase agreements or terminating such repurchase agreements altogether. Because all of our repurchase agreements are uncommitted and renewable at the discretion of our lenders, our lenders could determine to reduce or terminate our access to future borrowings at virtually any time, which could materially adversely affect our business and profitability. Furthermore, if a number of our lenders became
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•
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Our
profitability may be materially adversely affected by a reduction in our leverage.
As long as we earn a positive spread between interest and other income we earn on our leveraged assets and our borrowing costs, we believe that we can generally increase our profitability by using greater amounts of leverage. There can be no assurance, however, that repurchase financing will remain an efficient source of long-term financing for our assets. The amount of leverage that we use may be limited because our lenders might not make funding available to us at acceptable rates or they may require that we provide additional collateral to secure our borrowings. If our financing strategy is not viable, we will have to find alternative forms of financing for our assets which may not be available to us on acceptable terms or at acceptable rates. In addition, in response to certain interest rate and investment environments or to changes in market liquidity, we could adopt a strategy of reducing our leverage by selling assets or not reinvesting principal payments as MBS amortize and/or prepay, thereby decreasing the outstanding amount of our related borrowings. Such an action could reduce interest income, interest expense and net income, the extent of which would be dependent on the level of reduction in assets and liabilities as well as the sale prices for which the assets were sold.
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•
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If we are unable to renew our borrowings at acceptable interest rates, it may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability.
Since we rely primarily on borrowings under repurchase agreements to finance our MBS, our ability to achieve our investment objectives depends on our ability to borrow funds in sufficient amounts and on acceptable terms, and on our ability to renew or replace maturing borrowings on a continuous basis. Our repurchase agreement credit lines are renewable at the discretion of our lenders and, as such, do not contain guaranteed roll-over terms. Our ability to enter into repurchase transactions in the future will depend on the market value of our MBS pledged to secure the specific borrowings, the availability of acceptable financing and market liquidity and other conditions existing in the lending market at that time. If we are not able to renew or replace maturing borrowings, we could be forced to sell assets, including MBS in an unrealized loss position, in order to maintain liquidity. Forced sales under adverse market conditions could result in lower sales prices than ordinary market sales made in the normal course of business. If our MBS were liquidated at prices below our amortized cost (i.e., the cost basis) of such assets, we would incur losses, which could materially adversely affect our earnings.
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•
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A decline in the market value of our assets may result in margin calls that may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability.
In general, the market value of our MBS is impacted by changes in interest rates, prevailing market yields and other market conditions. A decline in the market value of our MBS may limit our ability to borrow against such assets or result in lenders initiating margin calls, which require a pledge of additional collateral or cash to re-establish the required ratio of borrowing to collateral value, under our repurchase agreements. Posting additional collateral or cash to support our credit will reduce our liquidity and limit our ability to leverage our assets, which could materially adversely affect our business. As a result, we could be forced to sell a portion of our assets, including MBS in an unrealized loss position, in order to maintain liquidity.
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•
|
If a counterparty to our repurchase transactions defaults on its obligation to resell the underlying security back to us at the end of the transaction term or if we default on our obligations under the repurchase agreement, we could incur losses.
When we engage in repurchase transactions, we generally transfer securities to lenders (i.e., repurchase agreement counterparties) and receive cash from such lenders. Because the cash we receive from the lender when we initially transfer the securities to the lender is less than the value of those securities (this difference is referred to as the “haircut”), if the lender defaults on its obligation to transfer the same securities back to us, we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). See Item 7, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” of this Annual Report on Form 10-K, for further discussion regarding risks related to exposure to financial institution counterparties in light of recent market conditions. Our exposure to defaults by counterparties may be more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets. At
December 31, 2013
, we had greater than 5% stockholders’ equity at risk to the following repurchase agreement counterparties:
Alpine Securitization Corporation/Credit Suisse
(approximately
23.9%
),
Wells Fargo
(approximately
12.2%
),
RBS
(approximately
8.0%
) and
UBS
(approximately
7.7%
).
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•
|
Our use of repurchase agreements to borrow money may give our lenders greater rights in the event of bankruptcy.
Borrowings made under repurchase agreements may qualify for special treatment under the U.S. Bankruptcy Code. If a lender under one of our repurchase agreements defaults on its obligations, it may be difficult for us to recover our assets pledged as collateral to such lender. In the event of the insolvency or bankruptcy of a lender during the term of a repurchase agreement, the lender may be permitted, under applicable insolvency laws, to repudiate the contract, and our claim against the lender for damages may be treated simply as an unsecured creditor. In addition, if the lender is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to exercise our rights to recover our securities under a repurchase agreement or to be compensated for any damages resulting from the lender’s insolvency may be further limited by those statutes. These claims would be subject to significant delay and, if and when received, may be substantially less than the damages we actually incur. In addition, in the event of our insolvency or bankruptcy, certain repurchase agreements may qualify for special treatment under the Bankruptcy Code, the effect of which, among other things, would be to allow the creditor under the agreement to avoid the automatic stay provisions of the Bankruptcy Code and take possession of, and liquidate, our collateral under our repurchase agreements without delay. Our risks associated with the insolvency or bankruptcy of a lender maybe more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets.
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•
|
Changes in interest rates, cyclical or otherwise, may materially adversely affect our profitability.
Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political conditions, as well as other factors beyond our control. In general, we finance the acquisition of our MBS through borrowings in the form of repurchase transactions, which exposes us to interest rate risk on the financed assets. The cost of our borrowings is based on prevailing market interest rates. Because the terms of our repurchase transactions typically range from one to six months at inception, the interest rates on our borrowings generally adjust more frequently (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) than the interest rates on our MBS. During a period of rising interest rates, our borrowing costs generally will increase at a faster pace
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•
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Interest rate caps on the mortgages collateralizing our MBS may materially adversely affect our profitability if short-term interest rates increase.
The coupons earned on ARM-MBS adjust over time as interest rates change (typically after an initial fixed-rate period for Hybrids). The financial markets primarily determine the interest rates that we pay on the repurchase transactions used to finance the acquisition of our MBS; however, the level of adjustment to the interest rates earned on our ARM-MBS is typically limited by contract (or in certain cases by state or federal law). The interim and lifetime interest rate caps on the mortgages collateralizing our MBS limit the amount by which the interest rates on such assets can adjust. Interim interest rate caps limit the amount interest rates on a particular ARM can adjust during the next adjustment period. Lifetime interest rate caps limit the amount interest rates can adjust upward from inception through maturity of a particular ARM. Our repurchase transactions are not subject to similar restrictions. Accordingly, in a sustained period of rising interest rates or a period in which interest rates rise rapidly, we could experience a decrease in net income or a net loss because the interest rates paid by us on our borrowings (excluding the impact of hedging transactions) could increase without limitation (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) while increases in the interest rates earned on the mortgages collateralizing our MBS could be limited due to interim or lifetime interest rate caps.
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•
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Adjustments of interest rates on our borrowings may not be matched to interest rate indexes on our MBS.
In general, the interest rates on our repurchase transactions are based on LIBOR, while the interest rates on our ARM-MBS may be indexed to LIBOR or CMT rate. Accordingly, any increase in LIBOR relative to one-year CMT rates will generally result in an increase in our borrowing costs that is not matched by a corresponding increase in the interest earned on our ARM-MBS tied to these other index rates. Any such interest rate index mismatch could adversely affect our profitability, which may negatively impact our distributions to stockholders.
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•
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A flat or inverted yield curve may adversely affect ARM-MBS prepayment rates and supply
. Our net interest income varies primarily as a result of changes in interest rates as well as changes in interest rates across the yield curve. When the differential between short-term and long-term benchmark interest rates narrows, the yield curve is said to be “flattening.” In addition, a flatter yield curve generally leads to fixed-rate mortgage rates that are closer to the interest rates available on ARMs, potentially decreasing the supply of ARM-MBS. At times, short-term interest rates may increase and exceed long-term interest rates, causing an inverted yield curve. When the yield curve is inverted, fixed-rate mortgage rates may approach or be lower than mortgage rates on ARMs, further increasing ARM-MBS prepayments and further negatively impacting ARM-MBS supply. Increases in prepayments on our MBS portfolio cause our premium amortization to accelerate, lowering the yield on such assets. If this happens, we could experience a decrease in net income or incur a net loss during these periods, which may negatively impact our distributions to stockholders.
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•
|
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
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•
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available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
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•
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the duration of the hedge may not match the duration of the related liability;
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•
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the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
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•
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the party owing money in the hedging transaction may default on its obligation to pay.
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•
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“business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the voting power of our then outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder becomes an interested stockholder, and thereafter impose two supermajority stockholder voting requirements to approve these combinations (unless our common stockholders receive a minimum price, as defined under Maryland law, for their shares in the form of cash or other consideration in the same form as previously paid by the interested stockholder for its shares); and
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•
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“control share” provisions that provide that holders of “control shares” of our company (defined as voting shares of stock which, when aggregated with all other shares controlled by the acquiring stockholder, entitle the stockholder to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of “control shares”) have no voting rights except to the extent approved by our stockholders by the affirmative vote of at least two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares.
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2013
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2012
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||||||||||||
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Quarter Ended
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High
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Low
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High
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Low
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||||||||
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March 31
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$
|
9.59
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$
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8.21
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$
|
7.60
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$
|
6.65
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June 30
|
|
9.55
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|
7.90
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|
|
7.93
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|
|
7.01
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||||
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September 30
|
|
8.60
|
|
|
6.98
|
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|
8.63
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|
|
7.61
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||||
|
December 31
|
|
7.77
|
|
|
7.01
|
|
|
8.77
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|
7.50
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||||
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Year
|
|
Declaration Date
|
|
Record Date
|
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Payment Date
|
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Dividend per
Share
|
|||
|
2013
|
|
March 4, 2013
|
|
March 18, 2013
|
|
April 10, 2013
|
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$
|
0.50
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(1)
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March 28, 2013
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April 12, 2013
|
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April 30, 2013
|
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0.22
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June 28, 2013
|
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July 12, 2013
|
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July 31, 2013
|
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0.22
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August 1, 2013
|
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August 12, 2013
|
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August 30, 2013
|
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0.28
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|
(2)
|
|
|
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|
September 26, 2013
|
|
October 11, 2013
|
|
October 31, 2013
|
|
0.22
|
|
|
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|
December 11, 2013
|
|
December 31, 2013
|
|
January 31, 2014
|
|
0.20
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|
(3)
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2012
|
|
March 23, 2012
|
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April 4, 2012
|
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April 30, 2012
|
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$
|
0.24
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|
June 27, 2012
|
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July 13, 2012
|
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July 31, 2012
|
|
0.23
|
|
|
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|
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|
September 28, 2012
|
|
October 12, 2012
|
|
October 31, 2012
|
|
0.21
|
|
|
|
|
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|
December 12, 2012
|
|
December 28, 2012
|
|
January 31, 2013
|
|
0.20
|
|
|
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Month
|
|
Total
Number of
Shares
Purchased
|
|
Weighted
Average Price
Paid Per
Share
(1)
|
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Total Number of
Shares Repurchased as
Part of Publicly
Announced
Repurchase Program
or Employee Plan
|
|
Maximum Number of
Shares that May Yet be
Purchased Under the
Repurchase Program or
Employee Plan
|
|||||
|
October 1-31, 2013:
|
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|
Repurchase Program
(2)
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
2,755,909
|
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|
Employee Transactions
(3)
|
|
—
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|
|
—
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|
N/A
|
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|
N/A
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|
November 1-30, 2013:
|
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|
Repurchase Program
(2)
|
|
728,244
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|
7.22
|
|
|
—
|
|
|
2,027,665
|
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|
Employee Transactions
(3)
|
|
—
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|
|
—
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|
N/A
|
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|
N/A
|
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|
|
December 1-31, 2013:
|
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|
|
Repurchase Program
(2)
|
|
1,411,310
|
|
|
7.19
|
|
|
—
|
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|
6,616,355
|
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|
Employee Transactions
(3)
|
|
49,896
|
|
|
7.09
|
|
|
N/A
|
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|
N/A
|
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|
|
Total Repurchase Program
(2)
|
|
2,139,554
|
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|
$
|
7.20
|
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|
—
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|
|
6,616,355
|
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|
Total Employee Transactions
(3)
|
|
49,896
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|
$
|
7.09
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|
N/A
|
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|
N/A
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|
Award
(1)
|
|
Number of securities
to be issued upon
exercise of
outstanding options,
warrants and rights
|
|
Weighted-average
exercise price of
outstanding options,
warrants and rights
|
|
Number of securities
remaining available for
future issuance under
equity compensation
plans (excluding
securities reflected in the
first column of this table)
|
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Stock Options
|
|
5,000
|
|
|
$
|
8.40
|
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|
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Restricted Stock Units (or RSUs)
|
|
777,818
|
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Total
|
|
782,818
|
|
|
|
|
(2)
|
9,705,913
|
|
(3)
|
|
|
|
|
At or/For the Year Ended December 31,
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|
(Dollars in Thousands, Except per Share Amounts)
|
|
2013
|
|
2012
|
|
2011
|
|
2010
|
|
2009
|
||||||||||
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||||||||||
|
Operating Data:
|
|
|
|
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|
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|
|||||
|
Interest and dividend income on mortgage-backed securities
|
|
$
|
482,816
|
|
|
$
|
499,030
|
|
|
$
|
496,611
|
|
|
$
|
390,953
|
|
|
$
|
504,464
|
|
|
Interest income on cash and cash equivalent investments
|
|
124
|
|
|
127
|
|
|
136
|
|
|
385
|
|
|
1,097
|
|
|||||
|
Interest expense
|
|
(164,013
|
)
|
|
(171,670
|
)
|
|
(149,411
|
)
|
|
(145,125
|
)
|
|
(229,406
|
)
|
|||||
|
Net impairment losses recognized in earnings
(1)
|
|
—
|
|
|
(1,200
|
)
|
|
(10,570
|
)
|
|
(12,277
|
)
|
|
(17,928
|
)
|
|||||
|
Unrealized net gains and net interest income from Linked Transactions
|
|
3,225
|
|
|
12,610
|
|
|
3,015
|
|
|
53,762
|
|
|
8,829
|
|
|||||
|
Gain on sales of MBS and U.S. Treasury securities, net
(2)
|
|
25,825
|
|
|
9,001
|
|
|
6,730
|
|
|
33,739
|
|
|
22,617
|
|
|||||
|
Loss on termination of repurchase agreements
(3)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(26,815
|
)
|
|
—
|
|
|||||
|
Other (loss)/income, net
|
|
(7,298
|
)
|
|
10
|
|
|
1,082
|
|
|
1,464
|
|
|
1,563
|
|
|||||
|
Operating and other expense
|
|
(37,970
|
)
|
|
(41,069
|
)
|
|
(31,179
|
)
|
|
(26,324
|
)
|
|
(23,047
|
)
|
|||||
|
Net income
|
|
$
|
302,709
|
|
|
$
|
306,839
|
|
|
$
|
316,414
|
|
|
$
|
269,762
|
|
|
$
|
268,189
|
|
|
Preferred stock dividends
|
|
13,750
|
|
|
8,160
|
|
|
8,160
|
|
|
8,160
|
|
|
8,160
|
|
|||||
|
Issuance costs of redeemed preferred stock
(4)
|
|
3,947
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
|
Net income available to common stock and participating securities
|
|
$
|
285,012
|
|
|
$
|
298,679
|
|
|
$
|
308,254
|
|
|
$
|
261,602
|
|
|
$
|
260,029
|
|
|
Earnings per share — basic and diluted
|
|
$
|
0.78
|
|
|
$
|
0.83
|
|
|
$
|
0.90
|
|
|
$
|
0.93
|
|
|
$
|
1.06
|
|
|
Dividends declared per share of common stock
(5)(6)
|
|
$
|
1.640
|
|
|
$
|
0.880
|
|
|
$
|
1.005
|
|
|
$
|
0.890
|
|
|
$
|
0.990
|
|
|
Dividends declared per share of preferred stock
(7)
|
|
$
|
2.136
|
|
|
$
|
2.125
|
|
|
$
|
2.125
|
|
|
$
|
2.125
|
|
|
$
|
2.125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Balance Sheet Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Mortgage-backed securities
|
|
$
|
11,371,358
|
|
|
$
|
12,607,625
|
|
|
$
|
10,912,977
|
|
|
$
|
8,058,710
|
|
|
$
|
8,757,954
|
|
|
Cash and cash equivalents
|
|
565,370
|
|
|
401,293
|
|
|
394,022
|
|
|
345,243
|
|
|
653,460
|
|
|||||
|
Linked Transactions
|
|
28,181
|
|
|
12,704
|
|
|
55,801
|
|
|
179,915
|
|
|
86,014
|
|
|||||
|
Total assets
|
|
12,471,908
|
|
|
13,517,550
|
|
|
11,750,634
|
|
|
8,687,407
|
|
|
9,627,209
|
|
|||||
|
Repurchase agreements
|
|
8,339,297
|
|
|
8,752,472
|
|
|
7,813,159
|
|
|
5,992,269
|
|
|
7,195,827
|
|
|||||
|
Securitized debt
|
|
366,205
|
|
|
646,816
|
|
|
875,520
|
|
|
220,933
|
|
|
—
|
|
|||||
|
Swaps (in a liability position)
|
|
28,217
|
|
|
63,034
|
|
|
114,220
|
|
|
139,142
|
|
|
152,463
|
|
|||||
|
Total liabilities
|
|
9,329,657
|
|
|
10,206,544
|
|
|
9,252,874
|
|
|
6,436,960
|
|
|
7,458,947
|
|
|||||
|
Preferred stock, liquidation preference
|
|
200,000
|
|
|
96,000
|
|
|
96,000
|
|
|
96,000
|
|
|
96,000
|
|
|||||
|
Total stockholders’ equity
|
|
3,142,251
|
|
|
3,311,006
|
|
|
2,497,760
|
|
|
2,250,447
|
|
|
2,168,262
|
|
|||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
Other Data:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Average total assets
|
|
$
|
13,192,285
|
|
|
$
|
12,942,171
|
|
|
$
|
11,185,224
|
|
|
$
|
8,242,541
|
|
|
$
|
10,105,128
|
|
|
Average total stockholders’ equity
|
|
$
|
3,262,458
|
|
|
$
|
2,945,687
|
|
|
$
|
2,701,204
|
|
|
$
|
2,226,546
|
|
|
$
|
1,777,311
|
|
|
Return on average total assets
(8)
|
|
2.16
|
%
|
|
2.31
|
%
|
|
2.76
|
%
|
|
3.17
|
%
|
|
2.57
|
%
|
|||||
|
Return on average total stockholders’ equity
(9)
|
|
8.74
|
%
|
|
10.14
|
%
|
|
11.41
|
%
|
|
11.75
|
%
|
|
14.63
|
%
|
|||||
|
Total average stockholders’ equity to total average assets
(10)
|
|
24.73
|
%
|
|
22.76
|
%
|
|
24.18
|
%
|
|
26.91
|
%
|
|
17.59
|
%
|
|||||
|
Dividend payout ratio
(11)
|
|
1.10
|
%
|
|
1.06
|
%
|
|
1.12
|
%
|
|
0.96
|
%
|
|
0.93
|
%
|
|||||
|
Book value per share of common stock
(12)
|
|
$
|
8.06
|
|
|
$
|
8.99
|
|
|
$
|
6.74
|
|
|
$
|
7.68
|
|
|
$
|
7.40
|
|
|
(4)
|
Issuance costs of redeemed preferred stock represent the original offering costs related to the 8.50% Series A Cumulative Redeemable Preferred Stock (“Series A Preferred Stock”), which was redeemed on May 16, 2013.
|
|
|
|
December 31, 2013
|
|||||||||||||
|
Underlying Mortgages
|
|
Agency MBS
Fair Value
(1)
|
|
Non-Agency MBS
Fair Value
(2) (3)
|
|
Total
MBS
(1)
|
|
Percent
of Total
|
|||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|||||||
|
Hybrids in contractual fixed-rate period
|
|
$
|
2,918,806
|
|
|
$
|
1,008,794
|
|
|
$
|
3,927,600
|
|
|
34.5
|
%
|
|
Hybrids in adjustable period
|
|
1,039,768
|
|
|
2,310,169
|
|
|
3,349,937
|
|
|
29.5
|
|
|||
|
15-year fixed rate
|
|
2,460,066
|
|
|
12,906
|
|
|
2,472,972
|
|
|
21.8
|
|
|||
|
Greater than 15-year fixed rate
|
|
—
|
|
|
1,432,639
|
|
|
1,432,639
|
|
|
12.6
|
|
|||
|
Floaters
|
|
99,461
|
|
|
83,740
|
|
|
183,201
|
|
|
1.6
|
|
|||
|
Total
|
|
$
|
6,518,101
|
|
|
$
|
4,848,248
|
|
|
$
|
11,366,349
|
|
|
100.0
|
%
|
|
GAAP Basis
|
|
Agency MBS
|
|
Non-Agency
MBS
|
|
MBS
Portfolio
|
|
Cash
(1)
|
|
Other, net
(2)
|
|
Total
|
||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Amortized Cost
|
|
$
|
6,504,846
|
|
|
$
|
4,113,600
|
|
|
$
|
10,618,446
|
|
|
$
|
602,890
|
|
|
$
|
(4,541
|
)
|
|
$
|
11,216,795
|
|
|
Market Value
|
|
$
|
6,519,221
|
|
|
$
|
4,852,137
|
|
|
$
|
11,371,358
|
|
|
$
|
602,890
|
|
|
$
|
(4,541
|
)
|
|
$
|
11,969,707
|
|
|
Less Payable for Unsettled
Purchases
|
|
(6,737
|
)
|
|
—
|
|
|
(6,737
|
)
|
|
—
|
|
|
—
|
|
|
(6,737
|
)
|
||||||
|
Less Repurchase Agreements
|
|
(5,750,053
|
)
|
|
(2,589,244
|
)
|
|
(8,339,297
|
)
|
|
—
|
|
|
—
|
|
|
(8,339,297
|
)
|
||||||
|
Less Securitized Debt
|
|
—
|
|
|
(366,205
|
)
|
|
(366,205
|
)
|
|
—
|
|
|
—
|
|
|
(366,205
|
)
|
||||||
|
Less Senior Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(100,000
|
)
|
|
(100,000
|
)
|
||||||
|
Equity Allocated
|
|
$
|
762,431
|
|
|
$
|
1,896,688
|
|
|
$
|
2,659,119
|
|
|
$
|
602,890
|
|
|
$
|
(104,541
|
)
|
|
$
|
3,157,468
|
|
|
Less Swaps at Market Value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,217
|
)
|
|
(15,217
|
)
|
||||||
|
Net Equity Allocated
|
|
$
|
762,431
|
|
|
$
|
1,896,688
|
|
|
$
|
2,659,119
|
|
|
$
|
602,890
|
|
|
$
|
(119,758
|
)
|
|
$
|
3,142,251
|
|
|
Debt/Net Equity Ratio
(3)
|
|
7.55
|
x
|
|
1.56
|
x
|
|
|
|
|
|
|
|
|
|
|
2.93
|
x
|
||||||
|
Non-GAAP Adjustments
|
|
Agency MBS
|
|
Non-Agency
MBS (4) |
|
MBS
Portfolio
|
|
Cash
(1)
|
|
Other, net
(4)
|
|
Total
|
||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Amortized Cost
|
|
$
|
—
|
|
|
$
|
126,497
|
|
|
$
|
126,497
|
|
|
$
|
—
|
|
|
$
|
(26,968
|
)
|
|
$
|
99,529
|
|
|
Market Value
|
|
$
|
—
|
|
|
$
|
130,790
|
|
|
$
|
130,790
|
|
|
$
|
—
|
|
|
$
|
(26,968
|
)
|
|
$
|
103,822
|
|
|
Repurchase Agreements
|
|
—
|
|
|
279,921
|
|
|
279,921
|
|
|
—
|
|
|
—
|
|
|
279,921
|
|
||||||
|
Multi-year Collateralized
Financing Arrangements
|
|
—
|
|
|
(383,743
|
)
|
|
(383,743
|
)
|
|
—
|
|
|
—
|
|
|
(383,743
|
)
|
||||||
|
Equity Allocated
|
|
$
|
—
|
|
|
$
|
26,968
|
|
|
$
|
26,968
|
|
|
$
|
—
|
|
|
$
|
(26,968
|
)
|
|
$
|
—
|
|
|
Less Swaps at Market Value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
Net Equity Allocated
|
|
$
|
—
|
|
|
$
|
26,968
|
|
|
$
|
26,968
|
|
|
$
|
—
|
|
|
$
|
(26,968
|
)
|
|
$
|
—
|
|
|
Non-GAAP Basis
|
|
Agency MBS
|
|
Non-Agency
MBS (4) |
|
MBS
Portfolio
|
|
Cash
(1)
|
|
Other, net
(5)
|
|
Total
|
||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Amortized Cost
|
|
$
|
6,504,846
|
|
|
$
|
4,240,097
|
|
|
$
|
10,744,943
|
|
|
$
|
602,890
|
|
|
$
|
(31,509
|
)
|
|
$
|
11,316,324
|
|
|
Market Value
|
|
$
|
6,519,221
|
|
|
$
|
4,982,927
|
|
|
$
|
11,502,148
|
|
|
$
|
602,890
|
|
|
$
|
(31,509
|
)
|
|
$
|
12,073,529
|
|
|
Less Payable for Unsettled Purchases
|
|
(6,737
|
)
|
|
—
|
|
|
(6,737
|
)
|
|
—
|
|
|
—
|
|
|
(6,737
|
)
|
||||||
|
Less Repurchase Agreements
|
|
(5,750,053
|
)
|
|
(2,309,323
|
)
|
|
(8,059,376
|
)
|
|
—
|
|
|
—
|
|
|
(8,059,376
|
)
|
||||||
|
Less Multi-year Collateralized Financing Arrangements
|
|
—
|
|
|
(383,743
|
)
|
|
(383,743
|
)
|
|
—
|
|
|
—
|
|
|
(383,743
|
)
|
||||||
|
Less Securitized Debt
|
|
—
|
|
|
(366,205
|
)
|
|
(366,205
|
)
|
|
—
|
|
|
—
|
|
|
(366,205
|
)
|
||||||
|
Less Senior Notes
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(100,000
|
)
|
|
(100,000
|
)
|
||||||
|
Equity Allocated
|
|
$
|
762,431
|
|
|
$
|
1,923,656
|
|
|
$
|
2,686,087
|
|
|
$
|
602,890
|
|
|
$
|
(131,509
|
)
|
|
$
|
3,157,468
|
|
|
Less Swaps at Market Value
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,217
|
)
|
|
(15,217
|
)
|
||||||
|
Net Equity Allocated
|
|
$
|
762,431
|
|
|
$
|
1,923,656
|
|
|
$
|
2,686,087
|
|
|
$
|
602,890
|
|
|
$
|
(146,726
|
)
|
|
$
|
3,142,251
|
|
|
Debt/Net Equity Ratio
(6)
|
|
7.55
|
x
|
|
1.59
|
x
|
|
|
|
|
|
|
|
|
|
|
2.96
|
x
|
||||||
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Coupon
(2)
|
|
Weighted
Average
3 Month
CPR
|
|||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Low Loan Balance
(3)
|
|
$
|
1,977,798
|
|
|
104.3
|
%
|
|
101.8
|
%
|
|
$
|
2,012,876
|
|
|
20
|
|
|
3.04
|
%
|
|
7.2
|
%
|
|
HARP
(4)
|
|
205,895
|
|
|
104.7
|
|
|
101.8
|
|
|
209,597
|
|
|
19
|
|
|
3.01
|
|
|
6.3
|
|
||
|
Other (Post June 2009)
(5)
|
|
222,691
|
|
|
103.7
|
|
|
106.1
|
|
|
236,253
|
|
|
40
|
|
|
4.16
|
|
|
17.0
|
|
||
|
Other (Pre June 2009)
(6)
|
|
1,256
|
|
|
104.9
|
|
|
106.7
|
|
|
1,340
|
|
|
55
|
|
|
4.50
|
|
|
0.5
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
2,407,640
|
|
|
104.3
|
%
|
|
102.2
|
%
|
|
$
|
2,460,066
|
|
|
22
|
|
|
3.14
|
%
|
|
8.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Hybrid:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Other (Post June 2009)
(5)
|
|
$
|
2,502,413
|
|
|
104.1
|
%
|
|
104.4
|
%
|
|
$
|
2,612,108
|
|
|
32
|
|
|
3.22
|
%
|
|
17.7
|
%
|
|
Other (Pre June 2009)
(6)
|
|
1,202,227
|
|
|
101.4
|
|
|
106.0
|
|
|
1,274,745
|
|
|
84
|
|
|
3.28
|
|
|
13.2
|
|
||
|
Total Hybrid
|
|
$
|
3,704,640
|
|
|
103.2
|
%
|
|
104.9
|
%
|
|
$
|
3,886,853
|
|
|
49
|
|
|
3.24
|
%
|
|
16.2
|
%
|
|
CMO/Other
|
|
$
|
164,639
|
|
|
102.5
|
%
|
|
104.0
|
%
|
|
$
|
171,182
|
|
|
154
|
|
|
2.44
|
%
|
|
8.7
|
%
|
|
Total Portfolio
|
|
$
|
6,276,919
|
|
|
103.6
|
%
|
|
103.8
|
%
|
|
$
|
6,518,101
|
|
|
41
|
|
|
3.18
|
%
|
|
12.9
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Coupon
(2)
|
|
Weighted
Average
3 Month
CPR
|
|||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Low Loan Balance
(3)
|
|
$
|
1,674,980
|
|
|
104.4
|
%
|
|
107.0
|
%
|
|
$
|
1,792,740
|
|
|
14
|
|
|
3.32
|
%
|
|
10.2
|
%
|
|
HARP
(4)
|
|
203,929
|
|
|
104.8
|
|
|
106.7
|
|
|
217,506
|
|
|
10
|
|
|
3.16
|
|
|
7.4
|
|
||
|
Other (Post June 2009)
(5)
|
|
296,277
|
|
|
103.4
|
|
|
106.9
|
|
|
316,864
|
|
|
30
|
|
|
4.19
|
|
|
29.1
|
|
||
|
Other (Pre June 2009)
(6)
|
|
2,347
|
|
|
104.9
|
|
|
107.5
|
|
|
2,524
|
|
|
43
|
|
|
4.50
|
|
|
20.9
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
2,177,533
|
|
|
104.3
|
%
|
|
107.0
|
%
|
|
$
|
2,329,634
|
|
|
16
|
|
|
3.43
|
%
|
|
13.0
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Hybrid:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Other (Post June 2009)
(5)
|
|
$
|
2,697,573
|
|
|
103.9
|
%
|
|
105.5
|
%
|
|
$
|
2,846,944
|
|
|
22
|
|
|
3.26
|
%
|
|
21.9
|
%
|
|
Other (Pre June 2009)
(6)
|
|
1,722,463
|
|
|
101.4
|
|
|
106.9
|
|
|
1,841,275
|
|
|
70
|
|
|
4.10
|
|
|
23.0
|
|
||
|
Total Hybrid
|
|
$
|
4,420,036
|
|
|
102.9
|
%
|
|
106.1
|
%
|
|
$
|
4,688,219
|
|
|
41
|
|
|
3.59
|
%
|
|
22.3
|
%
|
|
CMO/Other
|
|
$
|
195,199
|
|
|
102.4
|
%
|
|
104.1
|
%
|
|
$
|
203,184
|
|
|
145
|
|
|
2.75
|
%
|
|
10.7
|
%
|
|
Total Portfolio
|
|
$
|
6,792,768
|
|
|
103.3
|
%
|
|
106.3
|
%
|
|
$
|
7,221,037
|
|
|
36
|
|
|
3.51
|
%
|
|
19.2
|
%
|
|
Coupon
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Loan Rate
|
|
Low Loan
Balance
and/or
HARP
(3)
|
|
Weighted
Average
3 Month
CPR
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2.5%
|
|
$
|
1,096,097
|
|
|
104.0
|
%
|
|
99.2
|
%
|
|
$
|
1,086,853
|
|
|
12
|
|
|
3.04
|
%
|
|
100
|
%
|
|
4.0
|
%
|
|
3.0%
|
|
481,174
|
|
|
105.9
|
|
|
102.1
|
|
|
491,212
|
|
|
18
|
|
|
3.49
|
|
|
100
|
|
|
5.5
|
|
||
|
3.5%
|
|
15,429
|
|
|
103.5
|
|
|
104.8
|
|
|
16,162
|
|
|
38
|
|
|
4.16
|
|
|
100
|
|
|
24.1
|
|
||
|
4.0%
|
|
688,213
|
|
|
103.4
|
|
|
106.2
|
|
|
730,542
|
|
|
37
|
|
|
4.40
|
|
|
80
|
|
|
13.8
|
|
||
|
4.5%
|
|
126,727
|
|
|
105.2
|
|
|
106.8
|
|
|
135,297
|
|
|
41
|
|
|
4.87
|
|
|
32
|
|
|
15.8
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
2,407,640
|
|
|
104.3
|
%
|
|
102.2
|
%
|
|
$
|
2,460,066
|
|
|
22
|
|
|
3.62
|
%
|
|
91
|
%
|
|
8.0
|
%
|
|
Coupon
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Loan Rate
|
|
Low Loan
Balance
and/or
HARP
(3)
|
|
Weighted
Average
3 Month
CPR
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
15-Year Fixed Rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2.5%
|
|
$
|
520,202
|
|
|
104.2
|
%
|
|
104.9
|
%
|
|
$
|
545,528
|
|
|
3
|
|
|
3.04
|
%
|
|
99
|
%
|
|
2.6
|
%
|
|
3.0%
|
|
546,780
|
|
|
105.9
|
|
|
106.6
|
|
|
582,904
|
|
|
6
|
|
|
3.49
|
|
|
100
|
|
|
4.2
|
|
||
|
3.5%
|
|
21,756
|
|
|
103.5
|
|
|
106.8
|
|
|
23,243
|
|
|
26
|
|
|
4.16
|
|
|
100
|
|
|
25.7
|
|
||
|
4.0%
|
|
907,891
|
|
|
103.3
|
|
|
108.3
|
|
|
982,796
|
|
|
26
|
|
|
4.40
|
|
|
81
|
|
|
18.8
|
|
||
|
4.5%
|
|
180,904
|
|
|
105.2
|
|
|
107.9
|
|
|
195,163
|
|
|
29
|
|
|
4.87
|
|
|
31
|
|
|
24.5
|
|
||
|
Total 15-Year Fixed Rate
|
|
$
|
2,177,533
|
|
|
104.3
|
%
|
|
107.0
|
%
|
|
$
|
2,329,634
|
|
|
16
|
|
|
3.88
|
%
|
|
86
|
%
|
|
13.0
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Coupon
(2)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Months to
Reset
(3)
|
|
Interest
Only
(4)
|
|
Weighted
Average
3 Month
CPR
|
|||||||||||
|
Hybrid Post June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency 5/1
|
|
$
|
921,849
|
|
|
103.5
|
%
|
|
105.5
|
%
|
|
$
|
972,201
|
|
|
3.37
|
%
|
|
39
|
|
|
20
|
|
|
24
|
%
|
|
23.8
|
%
|
|
Agency 7/1
|
|
1,233,187
|
|
|
104.4
|
|
|
104.2
|
|
|
1,284,739
|
|
|
3.09
|
|
|
28
|
|
|
55
|
|
|
21
|
|
|
15.1
|
|
||
|
Agency 10/1
|
|
347,377
|
|
|
104.8
|
|
|
102.2
|
|
|
355,168
|
|
|
3.27
|
|
|
24
|
|
|
95
|
|
|
57
|
|
|
10.9
|
|
||
|
Total Hybrids Post June 2009
|
|
$
|
2,502,413
|
|
|
104.1
|
%
|
|
104.4
|
%
|
|
$
|
2,612,108
|
|
|
3.22
|
%
|
|
32
|
|
|
48
|
|
|
27
|
%
|
|
17.7
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Hybrid Pre June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Coupon < 4.5%
(5)
|
|
$
|
860,491
|
|
|
101.5
|
%
|
|
105.9
|
%
|
|
$
|
910,849
|
|
|
2.44
|
%
|
|
88
|
|
|
6
|
|
|
56
|
%
|
|
8.8
|
%
|
|
Coupon >= 4.5%
(6)
|
|
341,736
|
|
|
101.2
|
|
|
106.5
|
|
|
363,896
|
|
|
5.40
|
|
|
73
|
|
|
20
|
|
|
77
|
|
|
23.5
|
|
||
|
Total Hybrids Pre June 2009
|
|
$
|
1,202,227
|
|
|
101.4
|
%
|
|
106.0
|
%
|
|
$
|
1,274,745
|
|
|
3.28
|
%
|
|
84
|
|
|
10
|
|
|
62
|
%
|
|
13.2
|
%
|
|
Total Hybrids
|
|
$
|
3,704,640
|
|
|
103.2
|
%
|
|
104.9
|
%
|
|
$
|
3,886,853
|
|
|
3.24
|
%
|
|
49
|
|
|
35
|
|
|
38
|
%
|
|
16.2
|
%
|
|
(Dollars in Thousands)
|
|
Current
Face
|
|
Weighted
Average
Purchase
Price
|
|
Weighted
Average
Market
Price
|
|
Fair
Value
(1)
|
|
Weighted
Average
Coupon
(2)
|
|
Weighted
Average
Loan Age
(Months)
(2)
|
|
Weighted
Average
Months to
Reset
(3)
|
|
Interest
Only
(4)
|
|
Weighted
Average
3 Month
CPR
|
|||||||||||
|
Hybrid Post June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency 5/1
|
|
$
|
1,195,531
|
|
|
103.3
|
%
|
|
105.4
|
%
|
|
$
|
1,260,379
|
|
|
3.43
|
%
|
|
29
|
|
|
30
|
|
|
24
|
%
|
|
26.1
|
%
|
|
Agency 7/1
|
|
1,463,829
|
|
|
104.4
|
|
|
105.6
|
|
|
1,546,339
|
|
|
3.14
|
|
|
17
|
|
|
67
|
|
|
21
|
|
|
18.7
|
|
||
|
Agency 10/1
|
|
38,213
|
|
|
104.4
|
|
|
105.3
|
|
|
40,226
|
|
|
2.95
|
|
|
6
|
|
|
113
|
|
|
—
|
|
|
12.4
|
|
||
|
Total Hybrids Post June 2009
|
|
$
|
2,697,573
|
|
|
103.9
|
%
|
|
105.5
|
%
|
|
$
|
2,846,944
|
|
|
3.26
|
%
|
|
22
|
|
|
51
|
|
|
22
|
%
|
|
21.9
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
Hybrid Pre June 2009:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Coupon < 4.5%
(5)
|
|
$
|
870,664
|
|
|
101.6
|
%
|
|
106.8
|
%
|
|
$
|
929,622
|
|
|
2.80
|
%
|
|
78
|
|
|
6
|
|
|
51
|
%
|
|
12.6
|
%
|
|
Coupon >= 4.5%
(6)
|
|
851,799
|
|
|
101.2
|
|
|
107.0
|
|
|
911,653
|
|
|
5.42
|
|
|
62
|
|
|
25
|
|
|
78
|
|
|
32.8
|
|
||
|
Total Hybrids Pre June 2009
|
|
$
|
1,722,463
|
|
|
101.4
|
%
|
|
106.9
|
%
|
|
$
|
1,841,275
|
|
|
4.10
|
%
|
|
70
|
|
|
15
|
|
|
64
|
%
|
|
23.0
|
%
|
|
Total Hybrids
|
|
$
|
4,420,036
|
|
|
102.9
|
%
|
|
106.1
|
%
|
|
$
|
4,688,219
|
|
|
3.59
|
%
|
|
41
|
|
|
37
|
|
|
38
|
%
|
|
22.3
|
%
|
|
|
|
December 31,
|
|
||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
||||
|
(i) Non-Agency MBS (GAAP - excluding Linked Transactions)
|
|
|
|
|
|
|
|||
|
Face/Par
|
|
$
|
5,616,038
|
|
|
$
|
6,509,560
|
|
|
|
Fair Value
|
|
4,852,137
|
|
|
5,382,165
|
|
|
||
|
Amortized Cost
|
|
4,113,600
|
|
|
4,758,300
|
|
|
||
|
Purchase Discount Designated as Credit Reserve and OTTI
|
|
(1,043,037
|
)
|
(1)
|
(1,380,506
|
)
|
(2)
|
||
|
Purchase Discount Designated as Accretable
|
|
(460,039
|
)
|
|
(371,626
|
)
|
|
||
|
Purchase Premiums
|
|
638
|
|
|
872
|
|
|
||
|
|
|
|
|
|
|
||||
|
(ii) Non-Agency MBS Underlying Linked Transactions
|
|
|
|
|
|
|
|
||
|
Face/Par
|
|
$
|
134,430
|
|
|
$
|
52,277
|
|
|
|
Fair Value
|
|
130,790
|
|
|
47,828
|
|
|
||
|
Amortized Cost
|
|
126,497
|
|
|
43,817
|
|
|
||
|
Purchase Discount Designated as Credit Reserve
|
|
(4,721
|
)
|
|
(6,051
|
)
|
|
||
|
Purchase Discount Designated as Accretable
|
|
(3,212
|
)
|
|
(2,409
|
)
|
|
||
|
|
|
|
|
|
|
||||
|
(iii) Combined Non-Agency MBS and MBS Underlying Linked Transactions (Non-GAAP)
|
|
|
|
|
|
|
|
||
|
Face/Par
|
|
$
|
5,750,468
|
|
|
$
|
6,561,837
|
|
|
|
Fair Value
|
|
4,982,927
|
|
|
5,429,993
|
|
|
||
|
Amortized Cost
|
|
4,240,097
|
|
|
4,802,117
|
|
|
||
|
Purchase Discount Designated as Credit Reserve and OTTI
|
|
(1,047,758
|
)
|
(3)
|
(1,386,557
|
)
|
(4)
|
||
|
Purchase Discount Designated as Accretable
|
|
(463,251
|
)
|
|
(374,035
|
)
|
|
||
|
Purchase Premiums
|
|
638
|
|
|
872
|
|
|
||
|
|
|
For the Year Ended December 31,
|
||||||||||||||
|
|
|
2013
|
|
2012
|
||||||||||||
|
GAAP Basis
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
||||||||
|
Balance at beginning of period
|
|
$
|
(1,380,506
|
)
|
|
$
|
(371,626
|
)
|
|
$
|
(1,228,766
|
)
|
|
$
|
(250,479
|
)
|
|
Accretion of discount
|
|
—
|
|
|
73,422
|
|
|
—
|
|
|
38,185
|
|
||||
|
Realized credit losses
|
|
163,478
|
|
|
—
|
|
|
162,458
|
|
|
—
|
|
||||
|
Purchases
|
|
(79,320
|
)
|
|
32,152
|
|
|
(427,741
|
)
|
|
3,497
|
|
||||
|
Sales
|
|
45,371
|
|
|
13,953
|
|
|
—
|
|
|
—
|
|
||||
|
Reclass discount for OTTI
|
|
—
|
|
|
—
|
|
|
866
|
|
|
(866
|
)
|
||||
|
Net impairment losses recognized in earnings
|
|
—
|
|
|
—
|
|
|
(1,200
|
)
|
|
—
|
|
||||
|
Unlinking of Linked Transactions
|
|
—
|
|
|
—
|
|
|
(38,662
|
)
|
|
(9,424
|
)
|
||||
|
Transfers/release of credit reserve
|
|
207,940
|
|
|
(207,940
|
)
|
|
152,539
|
|
|
(152,539
|
)
|
||||
|
Balance at end of period
|
|
$
|
(1,043,037
|
)
|
|
$
|
(460,039
|
)
|
|
$
|
(1,380,506
|
)
|
|
$
|
(371,626
|
)
|
|
Non-GAAP Adjustments
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
||||||||
|
Balance at beginning of period
|
|
$
|
(6,051
|
)
|
|
$
|
(2,409
|
)
|
|
$
|
(45,735
|
)
|
|
$
|
(6,206
|
)
|
|
Accretion of discount
|
|
—
|
|
|
831
|
|
|
—
|
|
|
958
|
|
||||
|
Realized credit losses
|
|
635
|
|
|
—
|
|
|
1,442
|
|
|
—
|
|
||||
|
Purchases
|
|
—
|
|
|
(939
|
)
|
|
—
|
|
|
—
|
|
||||
|
Sales
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
|
Unlinking of Linked Transactions
|
|
—
|
|
|
—
|
|
|
38,662
|
|
|
2,419
|
|
||||
|
Transfers/release of credit reserve
|
|
695
|
|
|
(695
|
)
|
|
(420
|
)
|
|
420
|
|
||||
|
Balance at end of period
|
|
$
|
(4,721
|
)
|
|
$
|
(3,212
|
)
|
|
$
|
(6,051
|
)
|
|
$
|
(2,409
|
)
|
|
Non-GAAP Basis
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
|
Discount
Designated as
Credit Reserve
and OTTI
|
|
Accretable
Discount
(1)
|
||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
||||||||
|
Balance at beginning of period
|
|
$
|
(1,386,557
|
)
|
|
$
|
(374,035
|
)
|
|
$
|
(1,274,501
|
)
|
|
$
|
(256,685
|
)
|
|
Accretion of discount
|
|
—
|
|
|
74,253
|
|
|
—
|
|
|
39,143
|
|
||||
|
Realized credit losses
|
|
164,113
|
|
|
—
|
|
|
163,900
|
|
|
—
|
|
||||
|
Purchases
|
|
(79,320
|
)
|
|
31,213
|
|
|
(427,741
|
)
|
|
3,497
|
|
||||
|
Sales
|
|
45,371
|
|
|
13,953
|
|
|
—
|
|
|
—
|
|
||||
|
Reclass discount for OTTI
|
|
—
|
|
|
—
|
|
|
866
|
|
|
(866
|
)
|
||||
|
Net impairment losses recognized in earnings
|
|
—
|
|
|
—
|
|
|
(1,200
|
)
|
|
—
|
|
||||
|
Unlinking of Linked Transactions
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(7,005
|
)
|
||||
|
Transfers/release of credit reserve
|
|
208,635
|
|
|
(208,635
|
)
|
|
152,119
|
|
|
(152,119
|
)
|
||||
|
Balance at end of period
|
|
$
|
(1,047,758
|
)
|
|
$
|
(463,251
|
)
|
|
$
|
(1,386,557
|
)
|
|
$
|
(374,035
|
)
|
|
|
For the Year Ended December 31,
|
|||||||
|
|
2013
|
|
2012
|
|
2011
|
|||
|
Non-Agency MBS (GAAP - excluding Linked Transactions)
|
|
|
|
|
|
|
|
|
|
Coupon Yield
(1)
|
5.63
|
%
|
|
5.91
|
%
|
|
6.30
|
%
|
|
Effective Yield Adjustment
(2)
|
1.62
|
|
|
0.85
|
|
|
1.25
|
|
|
Net Yield
|
7.25
|
%
|
|
6.76
|
%
|
|
7.55
|
%
|
|
|
|
|
|
|
|
|||
|
Non-Agency MBS Underlying Linked Transactions
|
|
|
|
|
|
|
|
|
|
Coupon Yield
(1)
|
4.48
|
%
|
|
5.04
|
%
|
|
5.80
|
%
|
|
Effective Yield Adjustment
(2)
|
1.23
|
|
|
1.16
|
|
|
0.75
|
|
|
Net Yield
|
5.71
|
%
|
|
6.20
|
%
|
|
6.55
|
%
|
|
|
|
|
|
|
|
|||
|
Combined Non-Agency MBS and MBS Underlying Linked Transactions (Non-GAAP)
|
|
|
|
|
|
|
|
|
|
Coupon Yield
(1)
|
5.61
|
%
|
|
5.90
|
%
|
|
6.25
|
%
|
|
Effective Yield Adjustment
(2)
|
1.62
|
|
|
0.85
|
|
|
1.19
|
|
|
Net Yield
|
7.23
|
%
|
|
6.75
|
%
|
|
7.44
|
%
|
|
|
|
One to Five Years
|
|
Five to Ten Years
|
|
Over Ten Years
|
|
Total MBS
(1)
|
||||||||||||||||||||||||
|
(Dollars in Thousands)
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Amortized
Cost
|
|
Weighted
Average
Yield
|
|
Total
Amortized
Cost
|
|
Total Fair
Value
|
|
Weighted
Average
Yield
|
||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Fannie Mae
|
|
$
|
346
|
|
|
3.51
|
%
|
|
$
|
1,007
|
|
|
1.89
|
%
|
|
$
|
5,272,680
|
|
|
2.29
|
%
|
|
$
|
5,274,033
|
|
|
$
|
5,315,363
|
|
|
2.29
|
%
|
|
Freddie Mac
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,217,927
|
|
|
2.26
|
|
|
1,217,927
|
|
|
1,190,670
|
|
|
2.26
|
|
|||||
|
Ginnie Mae
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,886
|
|
|
1.62
|
|
|
12,886
|
|
|
13,188
|
|
|
1.62
|
|
|||||
|
Total Agency MBS
|
|
$
|
346
|
|
|
3.51
|
%
|
|
$
|
1,007
|
|
|
1.89
|
%
|
|
$
|
6,503,493
|
|
|
2.28
|
%
|
|
$
|
6,504,846
|
|
|
$
|
6,519,221
|
|
|
2.28
|
%
|
|
Non-Agency MBS
|
|
$
|
3,890
|
|
|
4.47
|
%
|
|
$
|
12,213
|
|
|
6.55
|
%
|
|
$
|
4,097,497
|
|
|
7.21
|
%
|
|
$
|
4,113,600
|
|
|
$
|
4,852,137
|
|
|
7.21
|
%
|
|
Total MBS
|
|
$
|
4,236
|
|
|
4.39
|
%
|
|
$
|
13,220
|
|
|
6.19
|
%
|
|
$
|
10,600,990
|
|
|
4.21
|
%
|
|
$
|
10,618,446
|
|
|
$
|
11,371,358
|
|
|
4.22
|
%
|
|
Country
|
|
Number of
Counterparties
|
|
Repurchase
Agreement
Financing
|
|
Swaps at Fair
Value
|
|
Exposure
(1)
|
|
Exposure as a
Percentage of
MFA Total Assets
|
||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
European Countries:
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Switzerland
|
|
4
|
|
|
$
|
1,487,682
|
|
|
$
|
—
|
|
|
$
|
993,745
|
|
|
7.97
|
%
|
|
United Kingdom
|
|
2
|
|
|
1,118,778
|
|
|
(10,915
|
)
|
|
281,276
|
|
|
2.26
|
|
|||
|
France
|
|
1
|
|
|
458,939
|
|
|
—
|
|
|
25,692
|
|
|
0.21
|
|
|||
|
Holland
|
|
1
|
|
|
418,101
|
|
|
1,913
|
|
|
17,321
|
|
|
0.14
|
|
|||
|
Germany
|
|
1
|
|
|
—
|
|
|
(2,563
|
)
|
|
4,254
|
|
|
0.03
|
|
|||
|
Total
|
|
9
|
|
|
3,483,500
|
|
|
(11,565
|
)
|
|
1,322,288
|
|
|
10.61
|
%
|
|||
|
Other Countries:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
United States
(3)
|
|
12
|
|
|
$
|
4,147,909
|
|
|
$
|
(3,652
|
)
|
|
$
|
779,469
|
|
|
6.25
|
%
|
|
Japan
|
|
4
|
|
|
669,463
|
|
|
—
|
|
|
42,663
|
|
|
0.34
|
|
|||
|
Other
|
|
3
|
|
|
641,162
|
|
|
—
|
|
|
141,241
|
|
|
1.13
|
|
|||
|
Total
|
|
19
|
|
|
5,458,534
|
|
|
(3,652
|
)
|
|
963,373
|
|
|
7.72
|
%
|
|||
|
Total Counterparty Exposure
|
|
28
|
|
|
$
|
8,942,034
|
|
(4)(5)
|
$
|
(15,217
|
)
|
|
$
|
2,285,661
|
|
|
18.33
|
%
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||||||||||||||
|
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||||||||||||||
|
|
|
Average Balance
|
|
Interest
|
|
Average
Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|
Average Balance
|
|
Interest
|
|
Average Yield/Cost
|
|||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency MBS
(1)
|
|
$
|
6,841,082
|
|
|
$
|
156,046
|
|
|
2.28
|
%
|
|
$
|
6,925,973
|
|
|
$
|
196,058
|
|
|
2.83
|
%
|
|
$
|
6,921,494
|
|
|
$
|
241,994
|
|
|
3.50
|
%
|
|
Non-Agency MBS
(1)
|
|
4,507,500
|
|
|
326,770
|
|
|
7.25
|
|
|
4,482,281
|
|
|
302,972
|
|
|
6.76
|
|
|
3,373,534
|
|
|
254,617
|
|
|
7.55
|
|
||||||
|
Total MBS
|
|
11,348,582
|
|
|
482,816
|
|
|
4.25
|
|
|
11,408,254
|
|
|
499,030
|
|
|
4.37
|
|
|
10,295,028
|
|
|
496,611
|
|
|
4.82
|
|
||||||
|
Cash and cash equivalents
(2)
|
|
475,287
|
|
|
124
|
|
|
0.03
|
|
|
382,373
|
|
|
127
|
|
|
0.03
|
|
|
459,363
|
|
|
136
|
|
|
0.03
|
|
||||||
|
Total interest-earning assets
|
|
11,823,869
|
|
|
482,940
|
|
|
4.08
|
|
|
11,790,627
|
|
|
499,157
|
|
|
4.23
|
|
|
10,754,391
|
|
|
496,747
|
|
|
4.62
|
|
||||||
|
Total non-interest-earning assets
|
|
1,368,416
|
|
|
|
|
|
|
|
|
1,151,544
|
|
|
|
|
|
|
|
|
430,833
|
|
|
|
|
|
|
|
||||||
|
Total assets
|
|
$
|
13,192,285
|
|
|
|
|
|
|
|
|
$
|
12,942,171
|
|
|
|
|
|
|
|
|
$
|
11,185,224
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Liabilities and stockholders’ equity:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency repurchase agreements
(3)
|
|
$
|
6,116,468
|
|
|
$
|
72,856
|
|
|
1.19
|
|
|
$
|
6,241,623
|
|
|
$
|
97,094
|
|
|
1.56
|
|
|
$
|
6,168,092
|
|
|
$
|
113,062
|
|
|
1.83
|
|
|
Non-Agency repurchase
agreements
(3)
|
|
2,596,663
|
|
|
71,029
|
|
|
2.74
|
|
|
2,090,031
|
|
|
51,673
|
|
|
2.47
|
|
|
1,416,663
|
|
|
24,677
|
|
|
1.74
|
|
||||||
|
Total repurchase agreements
|
|
8,713,131
|
|
|
143,885
|
|
|
1.65
|
|
|
8,331,654
|
|
|
148,767
|
|
|
1.79
|
|
|
7,584,755
|
|
|
137,739
|
|
|
1.82
|
|
||||||
|
Securitized debt
|
|
487,476
|
|
|
12,100
|
|
|
2.48
|
|
|
852,656
|
|
|
17,106
|
|
|
2.01
|
|
|
784,120
|
|
|
11,672
|
|
|
1.49
|
|
||||||
|
Senior Notes
|
|
100,000
|
|
|
8,028
|
|
|
8.03
|
|
|
72,404
|
|
|
5,797
|
|
|
8.01
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
|
Total interest-bearing liabilities
|
|
9,300,607
|
|
|
164,013
|
|
|
1.76
|
|
|
9,256,714
|
|
|
171,670
|
|
|
1.85
|
|
|
8,368,875
|
|
|
149,411
|
|
|
1.79
|
|
||||||
|
Total non-interest-bearing liabilities
|
|
629,220
|
|
|
|
|
|
|
|
|
739,770
|
|
|
|
|
|
|
|
115,145
|
|
|
|
|
|
|
||||||||
|
Total liabilities
|
|
9,929,827
|
|
|
|
|
|
|
|
|
9,996,484
|
|
|
|
|
|
|
|
|
8,484,020
|
|
|
|
|
|
|
|
||||||
|
Stockholders’ equity
|
|
3,262,458
|
|
|
|
|
|
|
|
|
2,945,687
|
|
|
|
|
|
|
|
|
2,701,204
|
|
|
|
|
|
|
|
||||||
|
Total liabilities and stockholders’ equity
|
|
$
|
13,192,285
|
|
|
|
|
|
|
|
|
$
|
12,942,171
|
|
|
|
|
|
|
|
|
$
|
11,185,224
|
|
|
|
|
|
|
|
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Net interest income/ net interest
rate spread
(4)
|
|
|
|
|
$
|
318,927
|
|
|
2.32
|
%
|
|
|
|
|
$
|
327,487
|
|
|
2.38
|
%
|
|
|
|
|
$
|
347,336
|
|
|
2.83
|
%
|
|||
|
Net interest-earning assets/ net
interest margin
(5)
|
|
$
|
2,523,262
|
|
|
|
|
|
2.70
|
%
|
|
$
|
2,533,913
|
|
|
|
|
|
2.78
|
%
|
|
$
|
2,385,516
|
|
|
|
|
|
3.23
|
%
|
|||
|
Ratio of interest-earning assets to
interest-bearing liabilities
|
|
1.27
|
x
|
|
|
|
|
|
|
|
1.27
|
x
|
|
|
|
|
|
|
|
1.29
|
x
|
|
|
|
|
|
|
||||||
|
|
|
Year Ended December 31, 2013
|
|
Year Ended December 31, 2012
|
||||||||||||||||||||
|
|
|
Compared to
|
|
Compared to
|
||||||||||||||||||||
|
|
|
Year Ended December 31, 2012
|
|
Year Ended December 31, 2011
|
||||||||||||||||||||
|
|
|
Increase/(Decrease) due to
|
|
Total Net Change in Interest Income/Expense
|
|
Increase/(Decrease) due to
|
|
Total Net Change in Interest Income/Expense
|
||||||||||||||||
|
(In Thousands)
|
|
Volume
|
|
Rate
|
|
|
Volume
|
|
Rate
|
|
||||||||||||||
|
Interest-earning assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency MBS
|
|
$
|
(2,375
|
)
|
|
$
|
(37,637
|
)
|
|
$
|
(40,012
|
)
|
|
$
|
157
|
|
|
$
|
(46,093
|
)
|
|
$
|
(45,936
|
)
|
|
Non-Agency MBS
|
|
1,714
|
|
|
22,084
|
|
|
23,798
|
|
|
77,051
|
|
|
(28,696
|
)
|
|
48,355
|
|
||||||
|
Cash and cash equivalents
|
|
27
|
|
|
(30
|
)
|
|
(3
|
)
|
|
(25
|
)
|
|
16
|
|
|
(9
|
)
|
||||||
|
Total net change in income from interest-earning assets
|
|
$
|
(634
|
)
|
|
$
|
(15,583
|
)
|
|
$
|
(16,217
|
)
|
|
$
|
77,183
|
|
|
$
|
(74,773
|
)
|
|
$
|
2,410
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Interest-bearing liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Agency repurchase agreements
|
|
$
|
(1,894
|
)
|
|
$
|
(22,344
|
)
|
|
$
|
(24,238
|
)
|
|
$
|
1,317
|
|
|
$
|
(17,285
|
)
|
|
$
|
(15,968
|
)
|
|
Non-Agency repurchase agreements
|
|
13,380
|
|
|
5,976
|
|
|
19,356
|
|
|
14,363
|
|
|
12,633
|
|
|
26,996
|
|
||||||
|
Securitized debt
|
|
(8,422
|
)
|
|
3,416
|
|
|
(5,006
|
)
|
|
1,088
|
|
|
4,346
|
|
|
5,434
|
|
||||||
|
Senior Notes
|
|
2,214
|
|
|
17
|
|
|
2,231
|
|
|
—
|
|
|
5,797
|
|
|
5,797
|
|
||||||
|
Total net change in expense of interest-bearing liabilities
|
|
$
|
5,278
|
|
|
$
|
(12,935
|
)
|
|
$
|
(7,657
|
)
|
|
$
|
16,768
|
|
|
$
|
5,491
|
|
|
$
|
22,259
|
|
|
Net change in net interest income
|
|
$
|
(5,912
|
)
|
|
$
|
(2,648
|
)
|
|
$
|
(8,560
|
)
|
|
$
|
60,415
|
|
|
$
|
(80,264
|
)
|
|
$
|
(19,849
|
)
|
|
|
|
Total Interest-Earning Assets and Interest-
Bearing Liabilities
|
||||
|
Quarter Ended
|
|
Net Interest Spread
(1)
|
|
Net Interest Margin
(2)
|
||
|
|
|
|||||
|
December 31, 2013
|
|
2.34
|
%
|
|
2.75
|
%
|
|
September 30, 2013
|
|
2.24
|
|
|
2.63
|
|
|
June 30, 2013
|
|
2.38
|
|
|
2.73
|
|
|
March 31, 2013
|
|
2.32
|
|
|
2.69
|
|
|
|
|
|
|
|
||
|
December 31, 2012
|
|
2.32
|
|
|
2.69
|
|
|
September 30, 2012
|
|
2.22
|
|
|
2.61
|
|
|
June 30, 2012
|
|
2.45
|
|
|
2.87
|
|
|
March 31, 2012
|
|
2.54
|
|
|
2.96
|
|
|
|
|
Agency MBS
|
|
Non-Agency MBS
|
|
Total MBS
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net
Interest
Spread
(3)
|
|||||||||
|
December 31, 2013
|
|
2.37
|
%
|
|
1.26
|
%
|
|
1.11
|
%
|
|
7.77
|
%
|
|
3.01
|
%
|
|
4.76
|
%
|
|
4.48
|
%
|
|
1.85
|
%
|
|
2.63
|
%
|
|
September 30, 2013
|
|
2.13
|
|
|
1.12
|
|
|
1.01
|
|
|
7.33
|
|
|
2.91
|
|
|
4.42
|
|
|
4.20
|
|
|
1.74
|
|
|
2.46
|
|
|
June 30, 2013
|
|
2.19
|
|
|
1.15
|
|
|
1.04
|
|
|
7.15
|
|
|
2.41
|
|
|
4.74
|
|
|
4.18
|
|
|
1.56
|
|
|
2.62
|
|
|
March 31, 2013
|
|
2.42
|
|
|
1.24
|
|
|
1.18
|
|
|
6.80
|
|
|
2.45
|
|
|
4.35
|
|
|
4.17
|
|
|
1.63
|
|
|
2.54
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2012
|
|
2.59
|
|
|
1.36
|
|
|
1.23
|
|
|
6.70
|
|
|
2.42
|
|
|
4.28
|
|
|
4.23
|
|
|
1.71
|
|
|
2.52
|
|
|
September 30, 2012
|
|
2.66
|
|
|
1.53
|
|
|
1.13
|
|
|
6.65
|
|
|
2.41
|
|
|
4.24
|
|
|
4.25
|
|
|
1.82
|
|
|
2.43
|
|
|
June 30, 2012
|
|
2.95
|
|
|
1.63
|
|
|
1.32
|
|
|
6.77
|
|
|
2.32
|
|
|
4.45
|
|
|
4.47
|
|
|
1.85
|
|
|
2.62
|
|
|
March 31, 2012
|
|
3.15
|
|
|
1.71
|
|
|
1.44
|
|
|
6.95
|
|
|
2.17
|
|
|
4.78
|
|
|
4.57
|
|
|
1.85
|
|
|
2.72
|
|
|
|
|
Agency MBS
|
|
Non-Agency MBS
|
|
Total MBS
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Coupon
Yield
(1)
|
|
Net
Yield
(2)
|
|
Weighted Average
CPR
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
Weighted Average
CPR
|
|
Coupon
Yield (1) |
|
Net
Yield (2) |
|
Weighted Average
CPR
|
|||||||||
|
December 31, 2013
|
|
3.04
|
%
|
|
2.37
|
%
|
|
12.87
|
%
|
|
5.40
|
%
|
|
7.77
|
%
|
|
14.16
|
%
|
|
3.96
|
%
|
|
4.48
|
%
|
|
13.42
|
%
|
|
September 30, 2013
|
|
3.07
|
|
|
2.13
|
|
|
19.25
|
|
|
5.59
|
|
|
7.33
|
|
|
18.15
|
|
|
4.07
|
|
|
4.20
|
|
|
18.77
|
|
|
June 30, 2013
|
|
3.14
|
|
|
2.19
|
|
|
20.19
|
|
|
5.71
|
|
|
7.15
|
|
|
16.37
|
|
|
4.17
|
|
|
4.18
|
|
|
18.53
|
|
|
March 31, 2013
|
|
3.25
|
|
|
2.42
|
|
|
19.08
|
|
|
5.78
|
|
|
6.80
|
|
|
15.06
|
|
|
4.26
|
|
|
4.17
|
|
|
17.34
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2012
|
|
3.38
|
|
|
2.59
|
|
|
19.23
|
|
|
5.85
|
|
|
6.70
|
|
|
15.53
|
|
|
4.37
|
|
|
4.23
|
|
|
17.67
|
|
|
September 30, 2012
|
|
3.49
|
|
|
2.66
|
|
|
21.62
|
|
|
5.90
|
|
|
6.65
|
|
|
15.42
|
|
|
4.45
|
|
|
4.25
|
|
|
19.08
|
|
|
June 30, 2012
|
|
3.68
|
|
|
2.95
|
|
|
20.39
|
|
|
5.89
|
|
|
6.77
|
|
|
14.87
|
|
|
4.57
|
|
|
4.47
|
|
|
18.20
|
|
|
March 31, 2012
|
|
3.78
|
|
|
3.15
|
|
|
17.90
|
|
|
6.02
|
|
|
6.95
|
|
|
14.05
|
|
|
4.62
|
|
|
4.57
|
|
|
16.48
|
|
|
|
|
At December 31, 2013
|
|||||
|
Benchmark Interest Rate
|
|
Securitized Debt
|
|
Interest Rate
|
|||
|
(Dollars in Thousands)
|
|
|
|
|
|||
|
30 Day LIBOR + 100 basis points
|
|
$
|
99,943
|
|
|
1.17
|
%
|
|
30 Day LIBOR + 125 basis points
|
|
61,711
|
|
|
1.42
|
|
|
|
Fixed Rate
|
|
93,556
|
|
|
2.85
|
|
|
|
Weighted Average Coupon Rate
|
|
110,995
|
|
|
4.02
|
|
|
|
Total
|
|
$
|
366,205
|
|
|
2.50
|
%
|
|
At the Period Ended
|
|
GAAP
Leverage
Multiple
(1)
|
|
Non-GAAP
Leverage
Multiple
(2)
|
|
December 31, 2013
|
|
2.9
|
|
3.0
|
|
September 30, 2013
|
|
3.0
|
|
3.1
|
|
June 30, 2013
|
|
3.1
|
|
3.1
|
|
March 31, 2013
|
|
3.1
|
|
3.1
|
|
|
|
|
|
|
|
December 31, 2012
|
|
3.0
|
|
3.0
|
|
September 30, 2012
|
|
3.2
|
|
3.2
|
|
June 30, 2012
|
|
3.6
|
|
3.6
|
|
March 31, 2012
|
|
3.4
|
|
3.5
|
|
At or for the Quarter Ended
|
|
Return on
Average Total
Assets
(1)
|
|
Return on
Average Total
Stockholders’
Equity
(2)
|
|
Total Average
Stockholders’
Equity to Total
Average Assets
(3)
|
|
Dividend
Payout
Ratio
(4)
|
|
Book Value
per Share
of Common
Stock
(5)
|
||||||
|
December 31, 2013
|
|
2.37
|
%
|
|
9.55
|
%
|
|
24.80
|
%
|
|
0.98
|
%
|
|
$
|
8.06
|
|
|
September 30, 2013
|
|
2.10
|
|
|
8.71
|
|
|
24.12
|
|
|
1.18
|
|
(6)
|
7.85
|
|
|
|
June 30, 2013
|
|
2.10
|
|
|
8.29
|
|
|
25.35
|
|
|
1.16
|
|
|
8.19
|
|
|
|
March 31, 2013
|
|
2.20
|
|
|
8.92
|
|
|
24.63
|
|
|
1.05
|
|
(7)
|
8.84
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
December 31, 2012
|
|
1.96
|
|
|
8.12
|
|
|
24.16
|
|
|
1.06
|
|
|
8.99
|
|
|
|
September 30, 2012
|
|
2.26
|
|
|
10.14
|
|
|
22.32
|
|
|
0.99
|
|
|
8.80
|
|
|
|
June 30, 2012
|
|
2.33
|
|
|
10.41
|
|
|
22.36
|
|
|
1.13
|
|
|
7.45
|
|
|
|
March 31, 2012
|
|
2.73
|
|
|
12.36
|
|
|
22.07
|
|
|
1.03
|
|
|
7.49
|
|
|
|
|
|
Agency MBS
(1)
|
|
Non-Agency MBS
(1)
|
|
Total MBS
(1)
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Coupon
Yield
(2)
|
|
Net
Yield
(3)
|
|
Weighted Average
CPR
|
|
Coupon
Yield
(2)
|
|
Net
Yield
(3)
|
|
Weighted Average
CPR
|
|
Coupon
Yield
(2)
|
|
Net
Yield
(3)
|
|
Weighted Average
CPR
|
|||||||||
|
December 31, 2012
|
|
3.38
|
%
|
|
2.59
|
%
|
|
19.23
|
%
|
|
5.85
|
%
|
|
6.70
|
%
|
|
15.53
|
%
|
|
4.37
|
%
|
|
4.23
|
%
|
|
17.67
|
%
|
|
September 30, 2012
|
|
3.49
|
|
|
2.66
|
|
|
21.62
|
|
|
5.90
|
|
|
6.65
|
|
|
15.42
|
|
|
4.45
|
|
|
4.25
|
|
|
19.08
|
|
|
June 30, 2012
|
|
3.68
|
|
|
2.95
|
|
|
20.39
|
|
|
5.89
|
|
|
6.77
|
|
|
14.87
|
|
|
4.57
|
|
|
4.47
|
|
|
18.20
|
|
|
March 31, 2012
|
|
3.78
|
|
|
3.15
|
|
|
17.90
|
|
|
6.02
|
|
|
6.95
|
|
|
14.05
|
|
|
4.62
|
|
|
4.57
|
|
|
16.48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2011
|
|
3.79
|
|
|
3.14
|
|
|
19.35
|
|
|
6.07
|
|
|
7.02
|
|
|
13.07
|
|
|
4.60
|
|
|
4.51
|
|
|
17.19
|
|
|
September 30, 2011
|
|
3.98
|
|
|
3.37
|
|
|
19.29
|
|
|
6.15
|
|
|
7.25
|
|
|
14.66
|
|
|
4.75
|
|
|
4.75
|
|
|
17.97
|
|
|
June 30, 2011
|
|
4.14
|
|
|
3.68
|
|
|
16.57
|
|
|
6.41
|
|
|
7.84
|
|
|
14.63
|
|
|
4.87
|
|
|
5.01
|
|
|
16.03
|
|
|
March 31, 2011
|
|
4.32
|
|
|
3.84
|
|
|
20.95
|
|
|
6.83
|
|
|
8.58
|
|
|
14.80
|
|
|
5.00
|
|
|
5.12
|
|
|
19.39
|
|
|
(Dollars in Thousands)
|
|
Average
Amortized
Cost
(1)
|
|
Interest
Income
|
|
Weighted
Average
Coupon
|
|
Coupon
Yield
(2)
|
|
Net Asset
Yield
(3)
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Year Ended December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency MBS
|
|
$
|
6,925,973
|
|
|
$
|
196,058
|
|
|
3.76
|
%
|
|
3.58
|
%
|
|
2.83
|
%
|
|
Non-Agency MBS, including transfers to a consolidated VIE
|
|
4,482,281
|
|
|
302,972
|
|
|
4.34
|
|
|
5.91
|
|
|
6.76
|
|
||
|
Total
|
|
$
|
11,408,254
|
|
|
$
|
499,030
|
|
|
4.04
|
%
|
|
4.50
|
%
|
|
4.37
|
%
|
|
Year Ended December 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency MBS
|
|
$
|
6,921,494
|
|
|
$
|
241,994
|
|
|
4.22
|
%
|
|
4.05
|
%
|
|
3.50
|
%
|
|
Non-Agency MBS, including transfers to a consolidated VIE
|
|
3,373,534
|
|
|
254,617
|
|
|
4.64
|
|
|
6.30
|
|
|
7.55
|
|
||
|
Total
|
|
$
|
10,295,028
|
|
|
$
|
496,611
|
|
|
4.39
|
%
|
|
4.79
|
%
|
|
4.82
|
%
|
|
(Dollars in Thousands)
|
|
Average
Balance
|
|
Interest
Expense
|
|
Average Cost
of Funds
(1)
|
|||||
|
|
|
|
|
|
|
|
|||||
|
Year Ended December 31, 2012
|
|
|
|
|
|
|
|
|
|
||
|
Agency Repurchase Agreements
|
|
$
|
6,241,623
|
|
|
$
|
97,094
|
|
|
1.56
|
%
|
|
Non-Agency Repurchase Agreements
|
|
2,090,031
|
|
|
51,673
|
|
|
2.47
|
|
||
|
Total Repurchase Agreements
|
|
8,331,654
|
|
|
148,767
|
|
|
1.79
|
|
||
|
Securitized Debt
|
|
852,656
|
|
|
17,106
|
|
|
2.01
|
|
||
|
Senior Notes
(2)
|
|
72,404
|
|
|
5,797
|
|
|
8.01
|
|
||
|
Total
|
|
$
|
9,256,714
|
|
|
$
|
171,670
|
|
|
1.85
|
%
|
|
|
|
|
|
|
|
|
|||||
|
Year Ended December 31, 2011
|
|
|
|
|
|
|
|
|
|
||
|
Agency Repurchase Agreements
|
|
$
|
6,168,092
|
|
|
$
|
113,062
|
|
|
1.83
|
%
|
|
Non-Agency Repurchase Agreements
|
|
1,416,663
|
|
|
24,677
|
|
|
1.74
|
|
||
|
Total Repurchase Agreements
|
|
7,584,755
|
|
|
137,739
|
|
|
1.82
|
|
||
|
Securitized Debt
|
|
784,120
|
|
|
11,672
|
|
|
1.49
|
|
||
|
Total
|
|
$
|
8,368,875
|
|
|
$
|
149,411
|
|
|
1.79
|
%
|
|
|
|
At December 31, 2012
|
|||||
|
Benchmark Interest Rate
|
|
Securitized Debt
|
|
Interest Rate
|
|||
|
(Dollars in Thousands)
|
|
|
|
|
|||
|
30 Day LIBOR + 100 basis points
|
|
$
|
237,258
|
|
|
1.21
|
%
|
|
30 Day LIBOR + 125 basis points
|
|
265,539
|
|
|
1.46
|
|
|
|
Fixed Rate
|
|
144,019
|
|
|
2.85
|
|
|
|
Total
|
|
$
|
646,816
|
|
|
1.68
|
%
|
|
At the Period Ended
|
|
GAAP
Leverage
Multiple
(1)
|
|
Non-GAAP
Leverage
Multiple
(2)
|
|||
|
December 31, 2012
|
|
3.0
|
|
(3)
|
|
3.0
|
|
|
September 30, 2012
|
|
3.2
|
|
(3)
|
|
3.2
|
|
|
June 30, 2012
|
|
3.6
|
|
(4)
|
|
3.6
|
|
|
March 31, 2012
|
|
3.4
|
|
(3)
|
|
3.5
|
|
|
|
|
|
|
|
|
||
|
December 31, 2011
|
|
3.6
|
|
(5)
|
|
3.7
|
|
|
September 30, 2011
|
|
3.4
|
|
(6)
|
|
3.5
|
|
|
June 30, 2011
|
|
3.2
|
|
(7)
|
|
3.3
|
|
|
March 31, 2011
|
|
2.9
|
|
|
|
3.0
|
|
|
Quarter Ended
|
|
Average
Amortized Cost
of MBS
(1)
|
|
Interest
Income on
MBS
|
|
Average
Interest
Earning
Cash
(2)
|
|
Total
Interest
Income
|
|
Yield on
Average
Interest-
Earning
Assets
(3)
|
|
Average
Balance of
Financing
Arrangements
(4)
|
|
Interest
Expense
|
|
Average
Cost of
Funds
|
|
Net
Interest
Income
|
||||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
December 31, 2012
|
|
$
|
11,807,038
|
|
|
$
|
124,925
|
|
|
$
|
405,490
|
|
|
$
|
124,968
|
|
|
4.09
|
%
|
|
$
|
9,654,253
|
|
|
$
|
43,054
|
|
|
1.77
|
%
|
|
$
|
81,914
|
|
|
September 30, 2012
|
|
11,778,939
|
|
|
125,097
|
|
|
406,488
|
|
|
125,135
|
|
|
4.11
|
|
|
9,660,381
|
|
|
45,801
|
|
|
1.89
|
|
|
79,334
|
|
|||||||
|
June 30, 2012
|
|
11,219,055
|
|
|
125,504
|
|
|
292,302
|
|
|
125,531
|
|
|
4.36
|
|
|
8,981,553
|
|
|
42,688
|
|
|
1.91
|
|
|
82,843
|
|
|||||||
|
March 31, 2012
|
|
10,819,531
|
|
|
123,504
|
|
|
424,691
|
|
|
123,523
|
|
|
4.39
|
|
|
8,721,868
|
|
|
40,127
|
|
|
1.85
|
|
|
83,396
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
December 31, 2011
|
|
11,000,704
|
|
|
123,964
|
|
|
402,958
|
|
|
123,994
|
|
|
4.35
|
|
|
8,899,013
|
|
|
38,811
|
|
|
1.73
|
|
|
85,183
|
|
|||||||
|
September 30, 2011
|
|
11,010,686
|
|
|
130,741
|
|
|
548,339
|
|
|
130,766
|
|
|
4.53
|
|
|
9,034,044
|
|
|
38,752
|
|
|
1.70
|
|
|
92,014
|
|
|||||||
|
June 30, 2011
|
|
10,545,419
|
|
|
132,082
|
|
|
432,005
|
|
|
132,109
|
|
|
4.81
|
|
|
8,473,314
|
|
|
37,195
|
|
|
1.76
|
|
|
94,914
|
|
|||||||
|
March 31, 2011
|
|
8,587,526
|
|
|
109,824
|
|
|
453,730
|
|
|
109,878
|
|
|
4.86
|
|
|
7,041,406
|
|
|
34,653
|
|
|
1.99
|
|
|
75,225
|
|
|||||||
|
|
|
Total Interest-Earning Assets and Interest-
Bearing Liabilities
|
||||
|
Quarter Ended
|
|
Net Interest Spread
(1)
|
|
Net Interest Margin
(2)
|
||
|
|
||||||
|
December 31, 2012
|
|
2.32
|
%
|
|
2.69
|
%
|
|
September 30, 2012
|
|
2.22
|
|
|
2.61
|
|
|
June 30, 2012
|
|
2.45
|
|
|
2.87
|
|
|
March 31, 2012
|
|
2.54
|
|
|
2.96
|
|
|
|
|
|
|
|
||
|
December 31, 2011
|
|
2.62
|
|
|
3.00
|
|
|
September 30, 2011
|
|
2.83
|
|
|
3.20
|
|
|
June 30, 2011
|
|
3.05
|
|
|
3.46
|
|
|
March 31, 2011
|
|
2.87
|
|
|
3.31
|
|
|
|
|
Agency MBS
|
|
Non-Agency MBS
|
|
Total MBS
|
|||||||||||||||||||||
|
Quarter Ended
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net Interest
Spread
(3)
|
|
Net
Yield
(1)
|
|
Cost of
Funding
(2)
|
|
Net Interest
Spread
(3)
|
|||||||||
|
December 31, 2012
|
|
2.59
|
%
|
|
1.36
|
%
|
|
1.23
|
%
|
|
6.70
|
%
|
|
2.42
|
%
|
|
4.28
|
%
|
|
4.23
|
%
|
|
1.71
|
%
|
|
2.52
|
%
|
|
September 30, 2012
|
|
2.66
|
|
|
1.53
|
|
|
1.13
|
|
|
6.65
|
|
|
2.41
|
|
|
4.24
|
|
|
4.25
|
|
|
1.82
|
|
|
2.43
|
|
|
June 30, 2012
|
|
2.95
|
|
|
1.63
|
|
|
1.32
|
|
|
6.77
|
|
|
2.32
|
|
|
4.45
|
|
|
4.47
|
|
|
1.85
|
|
|
2.62
|
|
|
March 31, 2012
|
|
3.15
|
|
|
1.71
|
|
|
1.44
|
|
|
6.95
|
|
|
2.17
|
|
|
4.78
|
|
|
4.57
|
|
|
1.85
|
|
|
2.72
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
December 31, 2011
|
|
3.14
|
|
|
1.71
|
|
|
1.43
|
|
|
7.02
|
|
|
1.78
|
|
|
5.24
|
|
|
4.51
|
|
|
1.73
|
|
|
2.78
|
|
|
September 30, 2011
|
|
3.37
|
|
|
1.74
|
|
|
1.63
|
|
|
7.25
|
|
|
1.61
|
|
|
5.64
|
|
|
4.75
|
|
|
1.70
|
|
|
3.05
|
|
|
June 30, 2011
|
|
3.68
|
|
|
1.82
|
|
|
1.86
|
|
|
7.84
|
|
|
1.57
|
|
|
6.27
|
|
|
5.01
|
|
|
1.76
|
|
|
3.25
|
|
|
March 31, 2011
|
|
3.84
|
|
|
2.10
|
|
|
1.74
|
|
|
8.58
|
|
|
1.62
|
|
|
6.96
|
|
|
5.12
|
|
|
1.99
|
|
|
3.13
|
|
|
|
Weighted
Average
Haircut
|
|
Low
|
|
High
|
|||
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
Repurchase agreement borrowings secured by:
|
|
|
|
|
|
|
|
|
|
Agency MBS
|
4.89
|
%
|
|
3.00
|
%
|
|
6.00
|
%
|
|
Non-Agency MBS
|
32.48
|
|
|
10.00
|
|
|
63.00
|
|
|
U.S. Treasury securities
|
1.65
|
|
|
1.00
|
|
|
2.00
|
|
|
|
|
|
|
|
|
|||
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
Repurchase agreement borrowings secured by:
|
|
|
|
|
|
|
|
|
|
Agency MBS
|
4.80
|
%
|
|
3.00
|
%
|
|
7.00
|
%
|
|
Non-Agency MBS
|
30.49
|
|
|
10.00
|
|
|
63.00
|
|
|
U.S. Treasury securities
|
1.74
|
|
|
1.00
|
|
|
2.00
|
|
|
|
|
Repurchase Agreements
|
|
Securitized Debt
|
|
||||||||||||||||||||
|
Quarter Ended
(1)
|
|
Quarterly
Average
Balance
|
|
End of Quarter
Balance
|
|
Maximum
Balance at Any
Month-End
|
|
Quarterly
Average
Balance
|
|
End of
Quarter
Balance
|
|
Maximum
Balance at Any
Month-End
|
|
||||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2013
|
|
$
|
8,462,138
|
|
|
$
|
8,339,297
|
|
|
$
|
8,504,593
|
|
|
$
|
399,762
|
|
|
$
|
366,205
|
|
|
$
|
398,384
|
|
|
|
September 30, 2013
|
|
8,679,410
|
|
|
8,568,171
|
|
|
8,721,573
|
|
|
440,665
|
|
|
419,693
|
|
|
462,207
|
|
|
||||||
|
June 30, 2013
|
|
8,842,018
|
|
|
8,909,283
|
|
|
8,909,283
|
|
|
505,409
|
|
|
443,748
|
|
|
508,893
|
|
|
||||||
|
March 31, 2013
|
|
8,873,852
|
|
|
8,902,827
|
|
|
8,956,951
|
|
|
606,858
|
|
|
542,014
|
|
|
609,707
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2012
|
|
8,841,994
|
|
|
8,752,472
|
|
|
8,966,468
|
|
|
712,259
|
|
|
646,816
|
|
|
718,326
|
|
|
||||||
|
September 30, 2012
|
|
8,741,020
|
|
|
8,832,326
|
|
|
8,832,326
|
|
|
819,361
|
|
|
749,471
|
|
|
821,256
|
|
|
||||||
|
June 30, 2012
|
|
7,961,497
|
|
|
8,368,407
|
|
|
8,368,407
|
|
|
931,045
|
|
|
861,255
|
|
|
935,051
|
|
|
||||||
|
March 31, 2012
|
|
7,772,000
|
|
|
7,908,932
|
|
|
7,908,932
|
|
|
949,868
|
|
|
967,422
|
|
(2)
|
1,000,787
|
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2011
|
|
7,969,178
|
|
|
7,813,159
|
|
|
7,996,749
|
|
|
929,836
|
|
|
875,520
|
|
|
932,239
|
|
|
||||||
|
September 30, 2011
|
|
8,007,343
|
|
|
8,017,663
|
|
|
8,084,098
|
|
|
1,026,701
|
|
|
958,406
|
|
|
1,027,701
|
|
|
||||||
|
June 30, 2011
|
|
7,742,223
|
|
|
7,870,251
|
|
|
7,870,251
|
|
|
731,091
|
|
|
1,062,040
|
|
(3)
|
1,062,040
|
|
(3)
|
||||||
|
March 31, 2011
|
|
6,600,592
|
|
|
7,652,713
|
|
(4)
|
7,652,713
|
|
|
440,814
|
|
|
663,367
|
|
(5)
|
680,794
|
|
(5)
|
||||||
|
|
|
Collateral Pledged to Meet Margin Calls
|
|
Cash and Securities
Received For
Reverse Margin
Calls
|
|
Net Assets Received/
(Pledged) For
Margin
Activity
|
||||||||||||||
|
For the Quarter Ended
|
|
Fair Value of
Securities
Pledged
|
|
Cash Pledged
|
|
Aggregate
Assets Pledged
For Margin
Calls
|
|
|
||||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
December 31, 2013
|
|
$
|
282,521
|
|
|
$
|
8,500
|
|
|
$
|
291,021
|
|
|
$
|
242,652
|
|
|
$
|
(48,369
|
)
|
|
September 30, 2013
|
|
395,970
|
|
|
61,400
|
|
|
457,370
|
|
|
506,703
|
|
|
49,333
|
|
|||||
|
June 30, 2013
|
|
421,744
|
|
|
2
|
|
|
421,746
|
|
|
294,067
|
|
|
(127,679
|
)
|
|||||
|
March 31, 2013
|
|
631,265
|
|
|
—
|
|
|
631,265
|
|
|
575,083
|
|
|
(56,182
|
)
|
|||||
|
|
|
Due During the Year Ending December 31,
|
||||||||||||||||||||||||||
|
(In Thousands)
|
|
2014
|
|
2015
|
|
2016
|
|
2017
|
|
2018
|
|
Thereafter
|
|
Total
|
||||||||||||||
|
Repurchase agreements
|
|
$
|
8,097,772
|
|
|
$
|
241,525
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
8,339,297
|
|
|
Interest expense on repurchase agreements
(1)
|
|
18,240
|
|
|
19,615
|
|
|
36,018
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
73,873
|
|
|||||||
|
Linked Transactions
(2)
|
|
102,923
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
102,923
|
|
|||||||
|
Securitized debt
(3)
|
|
40,185
|
|
|
48,112
|
|
|
53,151
|
|
|
63,797
|
|
|
43,081
|
|
|
116,155
|
|
|
364,481
|
|
|||||||
|
Interest expense on securitized debt
(1)
|
|
8,719
|
|
|
8,377
|
|
|
8,229
|
|
|
7,353
|
|
|
5,737
|
|
|
12,134
|
|
|
50,549
|
|
|||||||
|
Senior Notes
(4)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
100,000
|
|
|
100,000
|
|
|||||||
|
Interest expense on Senior Notes
(1)
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
8,000
|
|
|
187,911
|
|
|
227,911
|
|
|||||||
|
Payable for unsettled purchases
|
|
6,737
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6,737
|
|
|||||||
|
Long-term lease obligations
|
|
2,382
|
|
|
2,397
|
|
|
2,552
|
|
|
2,522
|
|
|
2,522
|
|
|
3,572
|
|
|
15,947
|
|
|||||||
|
Total
|
|
$
|
8,284,958
|
|
|
$
|
328,026
|
|
|
$
|
107,950
|
|
|
$
|
81,672
|
|
|
$
|
59,340
|
|
|
$
|
419,772
|
|
|
$
|
9,281,718
|
|
|
|
|
Agency MBS
|
|
Non-Agency MBS
|
|
Total
|
||||||||||||||||||||||||
|
|
|
Fair Value
|
|
Average Months to Reset
(1)
|
|
Average CPR
(2)
|
|
Fair Value
|
|
Average Months to Reset
(1)
|
|
Average CPR
(2)
|
|
Fair Value
|
|
Average Months to Reset
(1)
|
|
Average CPR
(2)
|
||||||||||||
|
Time to Reset
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
< 2 years
(3)
|
|
$
|
1,994,323
|
|
|
10
|
|
|
16.3
|
%
|
|
$
|
3,072,603
|
|
|
4
|
|
|
12.3
|
%
|
|
$
|
5,066,926
|
|
|
6
|
|
|
13.8
|
%
|
|
2-5 years
|
|
1,155,070
|
|
|
43
|
|
|
18.5
|
|
|
410,635
|
|
|
35
|
|
|
22.6
|
|
|
1,565,705
|
|
|
41
|
|
|
19.7
|
|
|||
|
> 5 years
|
|
909,762
|
|
|
76
|
|
|
12.1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
909,762
|
|
|
76
|
|
|
12.1
|
|
|||
|
ARM-MBS Total
|
|
$
|
4,059,155
|
|
|
34
|
|
|
15.9
|
%
|
|
$
|
3,483,238
|
|
|
8
|
|
|
13.6
|
%
|
|
$
|
7,542,393
|
|
|
22
|
|
|
14.8
|
%
|
|
15-year fixed
(4)
|
|
$
|
2,460,066
|
|
|
|
|
|
8.8
|
%
|
|
$
|
16,756
|
|
|
|
|
|
18.6
|
%
|
|
$
|
2,476,822
|
|
|
|
|
|
8.1
|
%
|
|
30-year fixed
(4)
|
|
—
|
|
|
|
|
|
—
|
|
|
1,477,099
|
|
|
|
|
|
15.1
|
|
|
1,477,099
|
|
|
|
|
|
15.1
|
|
|||
|
40-year fixed
(4)
|
|
—
|
|
|
|
|
|
—
|
|
|
5,834
|
|
|
|
|
|
10.5
|
|
|
5,834
|
|
|
|
|
|
10.5
|
|
|||
|
Fixed-Rate Total
|
|
$
|
2,460,066
|
|
|
|
|
|
8.8
|
%
|
|
$
|
1,499,689
|
|
|
|
|
|
15.1
|
%
|
|
$
|
3,959,755
|
|
|
|
|
|
10.6
|
%
|
|
MBS Total
|
|
$
|
6,519,221
|
|
|
|
|
|
12.9
|
%
|
|
$
|
4,982,927
|
|
|
|
|
|
14.0
|
%
|
|
$
|
11,502,148
|
|
|
|
|
|
13.4
|
%
|
|
Change in Interest Rates
|
|
Estimated
Value
of Assets
(1)
|
|
Estimated
Value of
Derivative
Hedging
Instruments
|
|
Estimated
Value of
Financial
Instruments
Carried at Fair
Value
|
|
Estimated
Change in
Fair Value
|
|
Percentage
Change in Net
Interest
Income
(2)
|
|
Percentage
Change in
Portfolio
Value
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
+100 Basis Point Increase
|
|
$
|
11,792,815
|
|
|
$
|
135,505
|
|
|
$
|
11,928,320
|
|
|
$
|
(123,981
|
)
|
|
(0.94
|
)%
|
|
(1.03
|
)%
|
|
+ 50 Basis Point Increase
|
|
$
|
11,934,159
|
|
|
$
|
60,144
|
|
|
$
|
11,994,303
|
|
|
$
|
(57,998
|
)
|
|
(0.67
|
)%
|
|
(0.48
|
)%
|
|
Actual at December 31, 2013
|
|
$
|
12,067,518
|
|
|
$
|
(15,217
|
)
|
|
$
|
12,052,301
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
|
- 50 Basis Point Decrease
|
|
$
|
12,192,892
|
|
|
$
|
(90,577
|
)
|
|
$
|
12,102,315
|
|
|
$
|
50,014
|
|
|
(2.34
|
)%
|
|
0.41
|
%
|
|
-100 Basis Point Decrease
|
|
$
|
12,310,282
|
|
|
$
|
(165,938
|
)
|
|
$
|
12,144,344
|
|
|
$
|
92,043
|
|
|
(8.58
|
)%
|
|
0.76
|
%
|
|
Change in Interest Rates
|
|
Estimated
Value
of Assets
(1)
|
|
Estimated
Value of
Derivative
Hedging
Instruments
|
|
Estimated
Value of
Financial
Instruments
Carried at Fair
Value
|
|
Estimated
Change in
Fair Value
|
|
Percentage
Change in Net
Interest
Income
(2)
|
|
Percentage
Change in
Portfolio
Value
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
|
+100 Basis Point Increase
|
|
$
|
12,503,450
|
|
|
$
|
(29,802
|
)
|
|
$
|
12,473,648
|
|
|
$
|
(118,975
|
)
|
|
(7.71
|
)%
|
|
(0.95
|
)%
|
|
+ 50 Basis Point Increase
|
|
$
|
12,586,943
|
|
|
$
|
(46,316
|
)
|
|
$
|
12,540,627
|
|
|
$
|
(51,996
|
)
|
|
(4.00
|
)%
|
|
(0.41
|
)%
|
|
Actual at December 31, 2012
|
|
$
|
12,655,453
|
|
|
$
|
(62,830
|
)
|
|
$
|
12,592,623
|
|
|
$
|
—
|
|
|
—
|
|
|
—
|
|
|
- 50 Basis Point Decrease
|
|
$
|
12,708,979
|
|
|
$
|
(79,344
|
)
|
|
$
|
12,629,635
|
|
|
$
|
37,012
|
|
|
(0.19
|
)%
|
|
0.29
|
%
|
|
-100 Basis Point Decrease
|
|
$
|
12,747,521
|
|
|
$
|
(95,858
|
)
|
|
$
|
12,651,663
|
|
|
$
|
59,040
|
|
|
(5.94
|
)%
|
|
0.46
|
%
|
|
|
|
Securities with Average Loan FICO
of 715 or Higher (1) |
|
Securities with Average Loan FICO
Below 715 (1) |
|
|
||||||||||||||||||||||
|
Year of Securitization
(2)
|
|
2007
|
|
2006
|
|
2005
and Prior |
|
2007
|
|
2006
|
|
2005
and Prior |
|
Total
|
||||||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||
|
Number of securities
|
|
104
|
|
|
91
|
|
|
105
|
|
|
16
|
|
|
44
|
|
|
56
|
|
|
416
|
|
|||||||
|
MBS current face
(3)
|
|
$
|
1,730,621
|
|
|
$
|
1,192,808
|
|
|
$
|
1,269,762
|
|
|
$
|
192,839
|
|
|
$
|
620,208
|
|
|
$
|
648,108
|
|
|
$
|
5,654,346
|
|
|
Total purchase discounts, net
(3)
|
|
$
|
(450,798
|
)
|
|
$
|
(356,431
|
)
|
|
$
|
(245,490
|
)
|
|
$
|
(72,717
|
)
|
|
$
|
(222,255
|
)
|
|
$
|
(161,917
|
)
|
|
$
|
(1,509,608
|
)
|
|
Purchase discount designated as Credit Reserve and OTTI
(4)
|
|
$
|
(336,850
|
)
|
|
$
|
(208,065
|
)
|
|
$
|
(119,031
|
)
|
|
$
|
(51,990
|
)
|
|
$
|
(219,770
|
)
|
|
$
|
(112,052
|
)
|
|
$
|
(1,047,758
|
)
|
|
Purchase discount designated as Credit Reserve and OTTI as percentage of current face
|
|
19.5
|
%
|
|
17.4
|
%
|
|
9.4
|
%
|
|
27.0
|
%
|
|
35.4
|
%
|
|
17.3
|
%
|
|
18.5
|
%
|
|||||||
|
MBS amortized cost
(3)
|
|
$
|
1,279,823
|
|
|
$
|
836,377
|
|
|
$
|
1,024,272
|
|
|
$
|
120,122
|
|
|
$
|
397,953
|
|
|
$
|
486,191
|
|
|
$
|
4,144,738
|
|
|
MBS fair value
(3)
|
|
$
|
1,496,951
|
|
|
$
|
1,019,060
|
|
|
$
|
1,158,146
|
|
|
$
|
154,044
|
|
|
$
|
481,697
|
|
|
$
|
577,629
|
|
|
$
|
4,887,527
|
|
|
Weighted average fair value to current face
|
|
86.5
|
%
|
|
85.4
|
%
|
|
91.2
|
%
|
|
79.9
|
%
|
|
77.7
|
%
|
|
89.1
|
%
|
|
86.4
|
%
|
|||||||
|
Weighted average coupon
(5)
|
|
4.51
|
%
|
|
3.63
|
%
|
|
3.36
|
%
|
|
4.09
|
%
|
|
4.65
|
%
|
|
4.18
|
%
|
|
4.03
|
%
|
|||||||
|
Weighted average loan age (months)
(5)(6)
|
|
81
|
|
|
90
|
|
|
104
|
|
|
85
|
|
|
91
|
|
|
105
|
|
|
92
|
|
|||||||
|
Weighted average current loan size
(5)(6)
|
|
$
|
538
|
|
|
$
|
513
|
|
|
$
|
341
|
|
|
$
|
445
|
|
|
$
|
283
|
|
|
$
|
287
|
|
|
$
|
429
|
|
|
Percentage amortizing
(7)
|
|
36
|
%
|
|
58
|
%
|
|
62
|
%
|
|
45
|
%
|
|
56
|
%
|
|
68
|
%
|
|
53
|
%
|
|||||||
|
Weighted average FICO score at origination
(5)(8)
|
|
733
|
|
|
729
|
|
|
727
|
|
|
704
|
|
|
704
|
|
|
705
|
|
|
723
|
|
|||||||
|
Owner-occupied loans
|
|
89.9
|
%
|
|
89.3
|
%
|
|
85.9
|
%
|
|
79.0
|
%
|
|
84.8
|
%
|
|
83.4
|
%
|
|
87.2
|
%
|
|||||||
|
Rate-term refinancings
|
|
27.8
|
%
|
|
19.0
|
%
|
|
15.7
|
%
|
|
19.8
|
%
|
|
15.9
|
%
|
|
13.7
|
%
|
|
20.0
|
%
|
|||||||
|
Cash-out refinancings
|
|
32.7
|
%
|
|
33.7
|
%
|
|
26.2
|
%
|
|
44.3
|
%
|
|
41.2
|
%
|
|
37.2
|
%
|
|
33.3
|
%
|
|||||||
|
3 Month CPR
(6)
|
|
17.9
|
%
|
|
14.4
|
%
|
|
12.7
|
%
|
|
8.0
|
%
|
|
12.1
|
%
|
|
12.8
|
%
|
|
14.4
|
%
|
|||||||
|
3 Month CRR
(6)(9)
|
|
14.3
|
%
|
|
12.2
|
%
|
|
9.3
|
%
|
|
5.4
|
%
|
|
6.4
|
%
|
|
9.1
|
%
|
|
11.0
|
%
|
|||||||
|
3 Month CDR
(6)(9)
|
|
3.8
|
%
|
|
2.5
|
%
|
|
2.7
|
%
|
|
2.6
|
%
|
|
5.3
|
%
|
|
3.9
|
%
|
|
3.4
|
%
|
|||||||
|
3 Month loss severity
|
|
47.8
|
%
|
|
48.0
|
%
|
|
52.3
|
%
|
|
63.8
|
%
|
|
57.6
|
%
|
|
44.7
|
%
|
|
50.3
|
%
|
|||||||
|
60+ days delinquent
(8)
|
|
16.0
|
%
|
|
15.9
|
%
|
|
12.9
|
%
|
|
23.9
|
%
|
|
24.2
|
%
|
|
16.7
|
%
|
|
16.5
|
%
|
|||||||
|
Percentage of always current borrowers (Lifetime)
(10)
|
|
47.2
|
%
|
|
46.7
|
%
|
|
52.7
|
%
|
|
36.1
|
%
|
|
32.4
|
%
|
|
39.4
|
%
|
|
45.4
|
%
|
|||||||
|
Percentage of always current borrowers (12M)
(11)
|
|
70.9
|
%
|
|
71.7
|
%
|
|
75.7
|
%
|
|
61.2
|
%
|
|
59.0
|
%
|
|
65.4
|
%
|
|
69.9
|
%
|
|||||||
|
Weighted average credit enhancement
(8)(12)
|
|
0.5
|
%
|
|
1.5
|
%
|
|
5.3
|
%
|
|
0.5
|
%
|
|
0.9
|
%
|
|
6.6
|
%
|
|
2.5
|
%
|
|||||||
|
Property Location
|
|
Percent
|
|
|
Southern California
|
|
28.1
|
%
|
|
Northern California
|
|
17.1
|
%
|
|
Florida
|
|
8.0
|
%
|
|
New York
|
|
5.2
|
%
|
|
Virginia
|
|
3.8
|
%
|
|
Maryland
|
|
3.3
|
%
|
|
|
Page
|
|
|
|
|
|
|
|
Financial Statements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(In Thousands, Except Per Share Amounts)
|
|
December 31,
2013 |
|
December 31,
2012 |
||||
|
Assets:
|
|
|
|
|
|
|
||
|
Mortgage-backed securities (“MBS”):
|
|
|
|
|
|
|
||
|
Agency MBS, at fair value ($6,142,306 and $6,747,299 pledged as collateral, respectively)
|
|
$
|
6,519,221
|
|
|
$
|
7,225,460
|
|
|
Non-Agency MBS, at fair value ($1,778,067 and $1,602,953 pledged as collateral, respectively)
|
|
2,569,766
|
|
|
2,762,006
|
|
||
|
Non-Agency MBS transferred to consolidated variable interest entities (“VIEs”)
(1)
|
|
2,282,371
|
|
|
2,620,159
|
|
||
|
Securities obtained and pledged as collateral, at fair value
|
|
383,743
|
|
|
408,833
|
|
||
|
Cash and cash equivalents
|
|
565,370
|
|
|
401,293
|
|
||
|
Restricted cash
|
|
37,520
|
|
|
5,016
|
|
||
|
Interest receivable
|
|
35,828
|
|
|
44,033
|
|
||
|
Derivative instruments:
|
|
|
|
|
||||
|
MBS linked transactions, net (“Linked Transactions”), at fair value
|
|
28,181
|
|
|
12,704
|
|
||
|
Derivative hedging instruments, at fair value
|
|
13,000
|
|
|
203
|
|
||
|
Goodwill
|
|
7,189
|
|
|
7,189
|
|
||
|
Prepaid and other assets
|
|
29,719
|
|
|
30,654
|
|
||
|
Total Assets
|
|
$
|
12,471,908
|
|
|
$
|
13,517,550
|
|
|
|
|
|
|
|
||||
|
Liabilities:
|
|
|
|
|
|
|
||
|
Repurchase agreements
|
|
$
|
8,339,297
|
|
|
$
|
8,752,472
|
|
|
Securitized debt
(2)
|
|
366,205
|
|
|
646,816
|
|
||
|
Obligation to return securities obtained as collateral, at fair value
|
|
383,743
|
|
|
508,827
|
|
||
|
8% Senior Notes due 2042 (“Senior Notes”)
|
|
100,000
|
|
|
100,000
|
|
||
|
Accrued interest payable
|
|
14,726
|
|
|
16,104
|
|
||
|
Derivative hedging instruments, at fair value
|
|
28,217
|
|
|
63,034
|
|
||
|
Dividends and dividend equivalents rights (“DERs”) payable
|
|
73,643
|
|
|
72,222
|
|
||
|
Payable for unsettled purchases
|
|
6,737
|
|
|
33,479
|
|
||
|
Excise tax and interest payable
|
|
6,398
|
|
|
7,500
|
|
||
|
Accrued expenses and other liabilities
|
|
10,691
|
|
|
6,090
|
|
||
|
Total Liabilities
|
|
$
|
9,329,657
|
|
|
$
|
10,206,544
|
|
|
|
|
|
|
|
||||
|
Commitments and contingencies (Note 10)
|
|
|
|
|
|
|
||
|
|
|
|
|
|
||||
|
Stockholders’ Equity:
|
|
|
|
|
|
|
||
|
Preferred stock, $.01 par value; 8.50% Series A cumulative redeemable 5,000 shares authorized; 0 and 3,840 shares issued and outstanding, respectively ($0 and $96,000 aggregate liquidation preference, respectively)
|
|
$
|
—
|
|
|
$
|
38
|
|
|
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable 8,050 and 0 shares authorized; 8,000 and 0 shares issued and outstanding, respectively ($200,000 and $0 aggregate liquidation preference, respectively)
|
|
80
|
|
|
—
|
|
||
|
Common stock, $.01 par value; 886,950 and 895,000 shares authorized; 365,125 and 357,546 shares issued and outstanding, respectively
|
|
3,651
|
|
|
3,575
|
|
||
|
Additional paid-in capital, in excess of par
|
|
2,972,369
|
|
|
2,805,724
|
|
||
|
Accumulated deficit
|
|
(571,544
|
)
|
|
(260,308
|
)
|
||
|
Accumulated other comprehensive income
|
|
737,695
|
|
|
761,977
|
|
||
|
Total Stockholders’ Equity
|
|
$
|
3,142,251
|
|
|
$
|
3,311,006
|
|
|
Total Liabilities and Stockholders’ Equity
|
|
$
|
12,471,908
|
|
|
$
|
13,517,550
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands, Except Per Share Amounts)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
|
|
|
|
|
||||||
|
Interest Income:
|
|
|
|
|
|
|
|
|
|
|||
|
Agency MBS
|
|
$
|
156,046
|
|
|
$
|
196,058
|
|
|
$
|
241,994
|
|
|
Non-Agency MBS
|
|
170,485
|
|
|
134,901
|
|
|
101,054
|
|
|||
|
Non-Agency MBS transferred to consolidated VIEs
|
|
156,285
|
|
|
168,071
|
|
|
153,563
|
|
|||
|
Cash and cash equivalent investments
|
|
124
|
|
|
127
|
|
|
136
|
|
|||
|
Interest Income
|
|
$
|
482,940
|
|
|
$
|
499,157
|
|
|
$
|
496,747
|
|
|
|
|
|
|
|
|
|
||||||
|
Interest Expense:
|
|
|
|
|
|
|
|
|
||||
|
Repurchase agreements
|
|
$
|
143,885
|
|
|
$
|
148,767
|
|
|
$
|
137,739
|
|
|
Securitized debt
|
|
12,100
|
|
|
17,106
|
|
|
11,672
|
|
|||
|
Senior Notes
|
|
8,028
|
|
|
5,797
|
|
|
—
|
|
|||
|
Total Interest Expense
|
|
$
|
164,013
|
|
|
$
|
171,670
|
|
|
$
|
149,411
|
|
|
|
|
|
|
|
|
|
||||||
|
Net Interest Income
|
|
$
|
318,927
|
|
|
$
|
327,487
|
|
|
$
|
347,336
|
|
|
|
|
|
|
|
|
|
||||||
|
Other-Than-Temporary Impairments:
|
|
|
|
|
|
|
|
|
||||
|
Total other-than-temporary impairment losses
|
|
$
|
—
|
|
|
$
|
(879
|
)
|
|
$
|
(45,144
|
)
|
|
Portion of loss (reclassed from)/recognized in other comprehensive income/(loss)
|
|
—
|
|
|
(321
|
)
|
|
34,574
|
|
|||
|
Net Impairment Losses Recognized in Earnings
|
|
$
|
—
|
|
|
$
|
(1,200
|
)
|
|
$
|
(10,570
|
)
|
|
|
|
|
|
|
|
|
||||||
|
Other Income, net:
|
|
|
|
|
|
|
|
|
||||
|
Unrealized net gains and net interest income from Linked Transactions
|
|
$
|
3,225
|
|
|
$
|
12,610
|
|
|
$
|
3,015
|
|
|
Losses on TBA short positions
|
|
(7,517
|
)
|
|
—
|
|
|
—
|
|
|||
|
Gain on sales of MBS and U.S. Treasury securities, net
|
|
25,825
|
|
|
9,001
|
|
|
6,730
|
|
|||
|
Revenue from operations of real estate held-for-sale
|
|
—
|
|
|
—
|
|
|
1,566
|
|
|||
|
Gain on sale of properties, net
|
|
—
|
|
|
—
|
|
|
430
|
|
|||
|
Other, net
|
|
219
|
|
|
10
|
|
|
(914
|
)
|
|||
|
Other Income, net
|
|
$
|
21,752
|
|
|
$
|
21,621
|
|
|
$
|
10,827
|
|
|
|
|
|
|
|
|
|
||||||
|
Operating and Other Expense:
|
|
|
|
|
|
|
|
|
||||
|
Compensation and benefits
|
|
$
|
20,328
|
|
|
$
|
22,089
|
|
|
$
|
18,959
|
|
|
Other general and administrative expense
|
|
13,361
|
|
|
11,480
|
|
|
11,250
|
|
|||
|
Excise tax and interest
|
|
2,250
|
|
|
7,500
|
|
|
—
|
|
|||
|
Impairment of resecuritization related costs
|
|
2,031
|
|
|
—
|
|
|
—
|
|
|||
|
Real estate held-for-sale operating expense
|
|
—
|
|
|
—
|
|
|
970
|
|
|||
|
Operating and Other Expense
|
|
$
|
37,970
|
|
|
$
|
41,069
|
|
|
$
|
31,179
|
|
|
|
|
|
|
|
|
|
||||||
|
Net Income
|
|
$
|
302,709
|
|
|
$
|
306,839
|
|
|
$
|
316,414
|
|
|
Less Preferred Stock Dividends
|
|
13,750
|
|
|
8,160
|
|
|
8,160
|
|
|||
|
Less Issuance Costs of Redeemed Preferred Stock
|
|
3,947
|
|
|
—
|
|
|
—
|
|
|||
|
Net Income Available to Common Stock and Participating Securities
|
|
$
|
285,012
|
|
|
$
|
298,679
|
|
|
$
|
308,254
|
|
|
|
|
|
|
|
|
|
||||||
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.78
|
|
|
$
|
0.83
|
|
|
$
|
0.90
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
|
|
|
|
|
|
|
||||||
|
Net Income
|
|
$
|
302,709
|
|
|
$
|
306,839
|
|
|
$
|
316,414
|
|
|
Other Comprehensive Income/(Loss):
|
|
|
|
|
|
|
|
|
||||
|
Unrealized (loss)/gain on Agency MBS, net
|
|
(186,568
|
)
|
|
(7,820
|
)
|
|
61,149
|
|
|||
|
Unrealized gain/(loss) on Non-Agency MBS, net
|
|
134,505
|
|
|
785,830
|
|
|
(381,410
|
)
|
|||
|
Reclassification adjustment for MBS sales included in net income
|
|
(19,833
|
)
|
|
(7,493
|
)
|
|
(7,500
|
)
|
|||
|
Reclassification adjustment for other-than-temporary impairments included in net income
|
|
—
|
|
|
(1,200
|
)
|
|
(10,570
|
)
|
|||
|
Unrealized gain on derivative hedging instruments, net
|
|
47,614
|
|
|
51,363
|
|
|
24,948
|
|
|||
|
Other Comprehensive (Loss)/Income
|
|
(24,282
|
)
|
|
820,680
|
|
|
(313,383
|
)
|
|||
|
Comprehensive Income before preferred stock dividends and issuance costs of redeemed preferred stock
|
|
$
|
278,427
|
|
|
$
|
1,127,519
|
|
|
$
|
3,031
|
|
|
Dividends declared on preferred stock
|
|
(13,750
|
)
|
|
(8,160
|
)
|
|
(8,160
|
)
|
|||
|
Issuance costs of redeemed preferred stock
|
|
(3,947
|
)
|
|
—
|
|
|
—
|
|
|||
|
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities
|
|
$
|
260,730
|
|
|
$
|
1,119,359
|
|
|
$
|
(5,129
|
)
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||
|
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
(In Thousands, Except Per Share Amounts)
|
|
Dollars
|
|
Shares
|
|
Dollars
|
|
Shares
|
|
Dollars
|
|
Shares
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Preferred Stock, 8.50% Series A Cumulative Redeemable - Liquidation Preference $25.00 per Share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
38
|
|
|
3,840
|
|
|
$
|
38
|
|
|
3,840
|
|
|
$
|
38
|
|
|
3,840
|
|
|
Redemption of Series A Preferred Stock
|
|
(38
|
)
|
|
(3,840
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Balance at end of year
|
|
$
|
—
|
|
|
—
|
|
|
$
|
38
|
|
|
3,840
|
|
|
$
|
38
|
|
|
3,840
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Preferred Stock, 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
Issuance of Series B Preferred Stock, net of expenses
|
|
80
|
|
|
8,000
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Balance at end of year
|
|
$
|
80
|
|
|
8,000
|
|
|
$
|
—
|
|
|
—
|
|
|
$
|
—
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Common Stock, Par Value $.01:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
3,575
|
|
|
357,546
|
|
|
$
|
3,561
|
|
|
356,112
|
|
|
$
|
2,805
|
|
|
280,481
|
|
|
Issuance of common stock
(1)
|
|
97
|
|
|
9,855
|
|
|
30
|
|
|
2,966
|
|
|
756
|
|
|
75,631
|
|
|||
|
Repurchase of shares of common stock
(1)
|
|
(21
|
)
|
|
(2,276
|
)
|
|
(16
|
)
|
|
(1,532
|
)
|
|
—
|
|
|
—
|
|
|||
|
Balance at end of year
|
|
$
|
3,651
|
|
|
365,125
|
|
|
$
|
3,575
|
|
|
357,546
|
|
|
$
|
3,561
|
|
|
356,112
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Additional Paid-in Capital, in excess of Par:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
2,805,724
|
|
|
|
|
|
$
|
2,795,925
|
|
|
|
|
$
|
2,184,493
|
|
|
|
||
|
Issuance of common stock, net of expenses
(1)
|
|
77,528
|
|
|
|
|
|
15,432
|
|
|
|
|
607,047
|
|
|
|
|||||
|
Redemption of Series A Preferred Stock
|
|
(92,015
|
)
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
||||||
|
Issuance of Series B Preferred Stock, net of expenses
|
|
193,236
|
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
||||||
|
Shares issued for common stock option exercises
|
|
—
|
|
|
|
|
35
|
|
|
|
|
—
|
|
|
|
||||||
|
Equity-based compensation expense
|
|
4,156
|
|
|
|
|
|
6,488
|
|
|
|
|
4,385
|
|
|
|
|||||
|
Repurchase of shares of common stock
(1)
|
|
(16,260
|
)
|
|
|
|
|
(12,156
|
)
|
|
|
|
—
|
|
|
|
|||||
|
Balance at end of year
|
|
$
|
2,972,369
|
|
|
|
|
|
$
|
2,805,724
|
|
|
|
|
$
|
2,795,925
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Accumulated Deficit:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
(260,308
|
)
|
|
|
|
|
$
|
(243,061
|
)
|
|
|
|
$
|
(191,569
|
)
|
|
|
||
|
Net income
|
|
302,709
|
|
|
|
|
|
306,839
|
|
|
|
|
316,414
|
|
|
|
|||||
|
Dividends declared on common stock
|
|
(594,318
|
)
|
|
|
|
|
(314,553
|
)
|
|
|
|
(358,104
|
)
|
|
|
|||||
|
Dividends declared on preferred stock
|
|
(13,750
|
)
|
|
|
|
|
(8,160
|
)
|
|
|
|
(8,160
|
)
|
|
|
|||||
|
Dividends attributable to DERs
|
|
(1,930
|
)
|
|
|
|
|
(1,373
|
)
|
|
|
|
(1,642
|
)
|
|
|
|||||
|
Issuance costs of redeemed Preferred Stock
|
|
(3,947
|
)
|
|
|
|
—
|
|
|
|
|
—
|
|
|
|
||||||
|
Balance at end of year
|
|
$
|
(571,544
|
)
|
|
|
|
|
$
|
(260,308
|
)
|
|
|
|
$
|
(243,061
|
)
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Accumulated Other Comprehensive Income/(Loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Balance at beginning of year
|
|
$
|
761,977
|
|
|
|
|
|
$
|
(58,703
|
)
|
|
|
|
$
|
254,680
|
|
|
|
||
|
Change in unrealized (losses)/gains on MBS, net
|
|
(71,896
|
)
|
|
|
|
|
769,317
|
|
|
|
|
(338,331
|
)
|
|
|
|||||
|
Change in unrealized gains on derivative hedging instruments, net
|
|
47,614
|
|
|
|
|
|
51,363
|
|
|
|
|
24,948
|
|
|
|
|||||
|
Balance at end of year
|
|
$
|
737,695
|
|
|
|
|
|
$
|
761,977
|
|
|
|
|
$
|
(58,703
|
)
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Total Stockholders’ Equity at end of the year
|
|
$
|
3,142,251
|
|
|
|
|
|
$
|
3,311,006
|
|
|
|
|
$
|
2,497,760
|
|
|
|
||
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Cash Flows From Operating Activities:
|
|
|
|
|
|
|
|
|
|
|||
|
Net income
|
|
$
|
302,709
|
|
|
$
|
306,839
|
|
|
$
|
316,414
|
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
|
|
|
|
|
|||
|
Gain on sales of MBS and U.S. Treasury securities
|
|
(25,825
|
)
|
|
(9,001
|
)
|
|
(6,730
|
)
|
|||
|
Other-than-temporary impairment charges
|
|
—
|
|
|
1,200
|
|
|
10,570
|
|
|||
|
Accretion of purchase discounts on MBS
|
|
(73,447
|
)
|
|
(38,263
|
)
|
|
(42,419
|
)
|
|||
|
Amortization of purchase premiums on MBS
|
|
58,207
|
|
|
52,298
|
|
|
38,466
|
|
|||
|
Depreciation and amortization on real estate, fixed assets and other assets
|
|
5,831
|
|
|
3,534
|
|
|
2,664
|
|
|||
|
Gain on sale of real estate
|
|
—
|
|
|
—
|
|
|
(430
|
)
|
|||
|
Equity-based compensation expense
|
|
4,158
|
|
|
6,488
|
|
|
4,385
|
|
|||
|
Unrealized (gains)/losses on derivative instruments
|
|
(1,111
|
)
|
|
(9,593
|
)
|
|
14,855
|
|
|||
|
(Increase)/decrease in interest receivable
|
|
8,180
|
|
|
(1,160
|
)
|
|
(4,622
|
)
|
|||
|
(Increase)/decrease in prepaid and other assets
|
|
(5,549
|
)
|
|
(12,767
|
)
|
|
783
|
|
|||
|
Realized loss on TBA short positions
|
|
7,517
|
|
|
—
|
|
|
—
|
|
|||
|
Increase/(decrease)
in accrued expenses and other liabilities, and excise tax and interest
|
|
3,610
|
|
|
3,820
|
|
|
(632
|
)
|
|||
|
Increase in accrued interest payable on financial instruments
|
|
13,808
|
|
|
6,992
|
|
|
1,105
|
|
|||
|
Net cash provided by operating activities
|
|
$
|
298,088
|
|
|
$
|
310,387
|
|
|
$
|
334,409
|
|
|
Cash Flows From Investing Activities:
|
|
|
|
|
|
|
|
|
||||
|
Principal payments on MBS
|
|
$
|
2,770,710
|
|
|
$
|
2,671,137
|
|
|
$
|
2,291,153
|
|
|
Proceeds from sale of MBS and U.S. Treasury securities
|
|
574,869
|
|
|
268,859
|
|
|
150,630
|
|
|||
|
Purchases of MBS
|
|
(1,744,605
|
)
|
|
(3,589,981
|
)
|
|
(4,834,169
|
)
|
|||
|
Proceeds from sale of real estate
|
|
—
|
|
|
—
|
|
|
11,370
|
|
|||
|
Additions to leasehold improvements, furniture, fixtures and real estate investment
|
|
(373
|
)
|
|
(443
|
)
|
|
(2,343
|
)
|
|||
|
Net cash provided by/(used in) investing activities
|
|
$
|
1,600,601
|
|
|
$
|
(650,428
|
)
|
|
$
|
(2,383,359
|
)
|
|
Cash Flows From Financing Activities:
|
|
|
|
|
|
|
|
|
||||
|
Principal payments on repurchase agreements
|
|
$
|
(69,851,602
|
)
|
|
$
|
(63,237,681
|
)
|
|
$
|
(54,050,542
|
)
|
|
Proceeds from borrowings under repurchase agreements
|
|
69,438,427
|
|
|
64,176,994
|
|
|
55,824,734
|
|
|||
|
Proceeds from issuance of securitized debt
|
|
129,314
|
|
|
186,691
|
|
|
963,255
|
|
|||
|
Principal payments on securitized debt
|
|
(409,606
|
)
|
|
(415,395
|
)
|
|
(308,668
|
)
|
|||
|
Payments made on obligation to return securities obtained as collateral
|
|
(246,850
|
)
|
|
—
|
|
|
—
|
|
|||
|
Maturity of obligation to return securities obtained as collateral
|
|
(275,402
|
)
|
|
—
|
|
|
—
|
|
|||
|
Payments made for resecuritization related costs
|
|
—
|
|
|
(1,814
|
)
|
|
(6,981
|
)
|
|||
|
Proceeds from issuance of Senior Notes
|
|
—
|
|
|
100,000
|
|
|
—
|
|
|||
|
Payments made for Senior Notes related costs
|
|
—
|
|
|
(3,415
|
)
|
|
—
|
|
|||
|
Cash disbursements on financial instruments underlying Linked Transactions
|
|
(419,802
|
)
|
|
(585,393
|
)
|
|
(2,327,609
|
)
|
|||
|
Cash received from financial instruments underlying Linked Transactions
|
|
405,436
|
|
|
462,889
|
|
|
1,710,520
|
|
|||
|
Payments made for margin calls on repurchase agreements and interest rate swaps (“Swaps”)
|
|
(69,902
|
)
|
|
(2,390
|
)
|
|
(19,361
|
)
|
|||
|
Proceeds from reverse margin calls on repurchase agreements and Swaps
|
|
22,809
|
|
|
12,890
|
|
|
42,914
|
|
|||
|
Payment made to purchase interest rate swaption (“Swaption”)
|
|
—
|
|
|
—
|
|
|
(915
|
)
|
|||
|
Settlement of TBA short positions
|
|
(7,517
|
)
|
|
—
|
|
|
—
|
|
|||
|
Proceeds from issuances of common stock
|
|
77,625
|
|
|
13,038
|
|
|
607,803
|
|
|||
|
Payments made for redemption of Series A Preferred Stock
|
|
(96,000
|
)
|
|
—
|
|
|
—
|
|
|||
|
Proceeds from issuance of Series B Preferred Stock
|
|
200,000
|
|
|
—
|
|
|
—
|
|
|||
|
Payments made for preferred stock offering costs
|
|
(6,684
|
)
|
|
—
|
|
|
—
|
|
|||
|
Payments made to repurchase common stock
|
|
(16,281
|
)
|
|
(9,713
|
)
|
|
—
|
|
|||
|
Dividends paid on preferred stock
|
|
(13,750
|
)
|
|
(8,160
|
)
|
|
(8,160
|
)
|
|||
|
Dividends paid on common stock and DERs
|
|
(594,827
|
)
|
|
(341,229
|
)
|
|
(329,261
|
)
|
|||
|
Net cash (used in)/provided by financing activities
|
|
$
|
(1,734,612
|
)
|
|
$
|
347,312
|
|
|
$
|
2,097,729
|
|
|
|
|
|
|
|
|
|
||||||
|
Net increase in cash and cash equivalents
|
|
$
|
164,077
|
|
|
$
|
7,271
|
|
|
$
|
48,779
|
|
|
Cash and cash equivalents at beginning of period
|
|
$
|
401,293
|
|
|
$
|
394,022
|
|
|
$
|
345,243
|
|
|
Cash and cash equivalents at end of period
|
|
$
|
565,370
|
|
|
$
|
401,293
|
|
|
$
|
394,022
|
|
|
|
|
|
|
|
|
|
||||||
|
Supplemental Disclosure of Cash Flow Information:
|
|
|
|
|
|
|
|
|
|
|||
|
Interest paid
|
|
$
|
162,186
|
|
|
$
|
161,657
|
|
|
$
|
148,306
|
|
|
|
|
|
|
|
|
|
||||||
|
Non-cash investing and financing activities:
|
|
|
|
|
|
|
|
|
||||
|
MBS recorded upon de-linking of Linked Transactions
|
|
$
|
—
|
|
|
$
|
175,194
|
|
|
$
|
773,046
|
|
|
Repurchase agreements recorded upon de-linking of Linked Transactions
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
46,698
|
|
|
Net increase in securities obtained as collateral/obligation to return securities obtained as collateral
|
|
$
|
401,135
|
|
|
$
|
202,432
|
|
|
$
|
306,401
|
|
|
Dividends and DERs declared and unpaid
|
|
$
|
73,643
|
|
|
$
|
72,222
|
|
|
$
|
97,525
|
|
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve and
OTTI
(1)
|
|
Amortized
Cost
(2)
|
|
Fair Value
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
||||||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Fannie Mae
|
|
$
|
5,092,410
|
|
|
$
|
181,710
|
|
|
$
|
(87
|
)
|
|
$
|
—
|
|
|
$
|
5,274,033
|
|
|
$
|
5,315,363
|
|
|
$
|
96,516
|
|
|
$
|
(55,186
|
)
|
|
$
|
41,330
|
|
|
Freddie Mac
|
|
1,171,841
|
|
|
44,967
|
|
|
—
|
|
|
—
|
|
|
1,217,927
|
|
|
1,190,670
|
|
|
9,842
|
|
|
(37,099
|
)
|
|
(27,257
|
)
|
|||||||||
|
Ginnie Mae
|
|
12,668
|
|
|
218
|
|
|
—
|
|
|
—
|
|
|
12,886
|
|
|
13,188
|
|
|
302
|
|
|
—
|
|
|
302
|
|
|||||||||
|
Total Agency MBS
|
|
6,276,919
|
|
|
226,895
|
|
|
(87
|
)
|
|
—
|
|
|
6,504,846
|
|
|
6,519,221
|
|
|
106,660
|
|
|
(92,285
|
)
|
|
14,375
|
|
|||||||||
|
Non-Agency MBS
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Rated AAA
|
|
14,162
|
|
|
60
|
|
|
(160
|
)
|
|
—
|
|
|
14,062
|
|
|
14,389
|
|
|
327
|
|
|
—
|
|
|
327
|
|
|||||||||
|
Rated A
|
|
17,679
|
|
|
503
|
|
|
—
|
|
|
—
|
|
|
18,182
|
|
|
17,663
|
|
|
—
|
|
|
(519
|
)
|
|
(519
|
)
|
|||||||||
|
Rated BBB
|
|
26,755
|
|
|
5
|
|
|
(1,091
|
)
|
|
—
|
|
|
25,669
|
|
|
27,156
|
|
|
1,496
|
|
|
(9
|
)
|
|
1,487
|
|
|||||||||
|
Rated BB
|
|
102,019
|
|
|
59
|
|
|
(7,220
|
)
|
|
(598
|
)
|
|
94,260
|
|
|
98,494
|
|
|
4,505
|
|
|
(271
|
)
|
|
4,234
|
|
|||||||||
|
Rated B
|
|
265,488
|
|
|
—
|
|
|
(33,354
|
)
|
|
(5,372
|
)
|
|
226,762
|
|
|
253,208
|
|
|
26,446
|
|
|
—
|
|
|
26,446
|
|
|||||||||
|
Rated CCC
|
|
1,191,641
|
|
|
11
|
|
|
(133,607
|
)
|
|
(179,239
|
)
|
|
878,806
|
|
|
1,056,356
|
|
|
178,964
|
|
|
(1,414
|
)
|
|
177,550
|
|
|||||||||
|
Rated CC
|
|
353,912
|
|
|
—
|
|
|
(33,498
|
)
|
|
(80,300
|
)
|
|
240,114
|
|
|
291,333
|
|
|
51,226
|
|
|
(7
|
)
|
|
51,219
|
|
|||||||||
|
Rated C
|
|
203,153
|
|
|
—
|
|
|
(32,704
|
)
|
|
(23,340
|
)
|
|
147,109
|
|
|
182,424
|
|
|
35,508
|
|
|
(193
|
)
|
|
35,315
|
|
|||||||||
|
Rated D
|
|
3,369,202
|
|
|
—
|
|
|
(213,238
|
)
|
|
(736,308
|
)
|
|
2,419,656
|
|
|
2,852,101
|
|
|
433,781
|
|
|
(1,336
|
)
|
|
432,445
|
|
|||||||||
|
Not Rated
|
|
72,027
|
|
|
—
|
|
|
(5,167
|
)
|
|
(17,880
|
)
|
|
48,980
|
|
|
59,013
|
|
|
10,033
|
|
|
—
|
|
|
10,033
|
|
|||||||||
|
Total Non-Agency MBS
|
|
5,616,038
|
|
|
638
|
|
|
(460,039
|
)
|
|
(1,043,037
|
)
|
|
4,113,600
|
|
|
4,852,137
|
|
|
742,286
|
|
|
(3,749
|
)
|
|
738,537
|
|
|||||||||
|
Total MBS
|
|
$
|
11,892,957
|
|
|
$
|
227,533
|
|
|
$
|
(460,126
|
)
|
|
$
|
(1,043,037
|
)
|
|
$
|
10,618,446
|
|
|
$
|
11,371,358
|
|
|
$
|
848,946
|
|
|
$
|
(96,034
|
)
|
|
$
|
752,912
|
|
|
(In Thousands)
|
|
Principal/ Current
Face
|
|
Purchase
Premiums
|
|
Accretable
Purchase
Discounts
|
|
Discount
Designated
as Credit Reserve and
OTTI
(1)
|
|
Amortized
Cost
(2)
|
|
Fair Value
|
|
Gross
Unrealized
Gains
|
|
Gross
Unrealized
Losses
|
|
Net
Unrealized
Gain/(Loss)
|
||||||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Fannie Mae
|
|
$
|
5,977,388
|
|
|
$
|
196,686
|
|
|
$
|
(58
|
)
|
|
$
|
—
|
|
|
$
|
6,174,016
|
|
|
$
|
6,351,621
|
|
|
$
|
178,970
|
|
|
$
|
(1,365
|
)
|
|
$
|
177,605
|
|
|
Freddie Mac
|
|
800,854
|
|
|
30,447
|
|
|
—
|
|
|
—
|
|
|
835,724
|
|
|
858,560
|
|
|
22,925
|
|
|
(89
|
)
|
|
22,836
|
|
|||||||||
|
Ginnie Mae
|
|
14,526
|
|
|
251
|
|
|
—
|
|
|
—
|
|
|
14,777
|
|
|
15,279
|
|
|
502
|
|
|
—
|
|
|
502
|
|
|||||||||
|
Total Agency MBS
|
|
6,792,768
|
|
|
227,384
|
|
|
(58
|
)
|
|
—
|
|
|
7,024,517
|
|
|
7,225,460
|
|
|
202,397
|
|
|
(1,454
|
)
|
|
200,943
|
|
|||||||||
|
Non-Agency MBS
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
|
Rated AAA
|
|
25,209
|
|
|
158
|
|
|
(219
|
)
|
|
—
|
|
|
25,148
|
|
|
25,905
|
|
|
757
|
|
|
—
|
|
|
757
|
|
|||||||||
|
Rated A
|
|
1,147
|
|
|
24
|
|
|
—
|
|
|
—
|
|
|
1,171
|
|
|
1,086
|
|
|
—
|
|
|
(85
|
)
|
|
(85
|
)
|
|||||||||
|
Rated BBB
|
|
49,301
|
|
|
637
|
|
|
(1,741
|
)
|
|
(378
|
)
|
|
47,819
|
|
|
48,563
|
|
|
1,806
|
|
|
(1,062
|
)
|
|
744
|
|
|||||||||
|
Rated BB
|
|
118,031
|
|
|
39
|
|
|
(8,892
|
)
|
|
(853
|
)
|
|
108,325
|
|
|
112,905
|
|
|
4,937
|
|
|
(357
|
)
|
|
4,580
|
|
|||||||||
|
Rated B
|
|
247,532
|
|
|
—
|
|
|
(31,133
|
)
|
|
(12,462
|
)
|
|
203,937
|
|
|
225,281
|
|
|
21,452
|
|
|
(108
|
)
|
|
21,344
|
|
|||||||||
|
Rated CCC
|
|
1,235,638
|
|
|
14
|
|
|
(107,618
|
)
|
|
(201,126
|
)
|
|
926,908
|
|
|
1,055,757
|
|
|
131,826
|
|
|
(2,977
|
)
|
|
128,849
|
|
|||||||||
|
Rated CC
|
|
579,632
|
|
|
—
|
|
|
(41,191
|
)
|
|
(132,061
|
)
|
|
406,380
|
|
|
468,017
|
|
|
61,739
|
|
|
(102
|
)
|
|
61,637
|
|
|||||||||
|
Rated C
|
|
952,984
|
|
|
—
|
|
|
(55,294
|
)
|
|
(166,529
|
)
|
|
731,161
|
|
|
812,523
|
|
|
81,850
|
|
|
(488
|
)
|
|
81,362
|
|
|||||||||
|
Rated D
|
|
3,219,744
|
|
|
—
|
|
|
(123,673
|
)
|
|
(843,773
|
)
|
|
2,252,298
|
|
|
2,573,238
|
|
|
321,048
|
|
|
(108
|
)
|
|
320,940
|
|
|||||||||
|
Not Rated
|
|
80,342
|
|
|
—
|
|
|
(1,865
|
)
|
|
(23,324
|
)
|
|
55,153
|
|
|
58,890
|
|
|
4,748
|
|
|
(1,011
|
)
|
|
3,737
|
|
|||||||||
|
Total Non-Agency MBS
|
|
6,509,560
|
|
|
872
|
|
|
(371,626
|
)
|
|
(1,380,506
|
)
|
|
4,758,300
|
|
|
5,382,165
|
|
|
630,163
|
|
|
(6,298
|
)
|
|
623,865
|
|
|||||||||
|
Total MBS
|
|
$
|
13,302,328
|
|
|
$
|
228,256
|
|
|
$
|
(371,684
|
)
|
|
$
|
(1,380,506
|
)
|
|
$
|
11,782,817
|
|
|
$
|
12,607,625
|
|
|
$
|
832,560
|
|
|
$
|
(7,752
|
)
|
|
$
|
824,808
|
|
|
|
|
Unrealized Loss Position For:
|
|
|
||||||||||||||||||||||||||
|
|
|
Less than 12 Months
|
|
12 Months or more
|
|
Total
|
||||||||||||||||||||||||
|
(In Thousands)
|
|
Fair
Value
|
|
Unrealized Losses
|
|
Number of
Securities
|
|
Fair
Value
|
|
Unrealized Losses
|
|
Number of
Securities
|
|
Fair
Value
|
|
Unrealized Losses
|
||||||||||||||
|
Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Fannie Mae
|
|
$
|
1,778,144
|
|
|
$
|
49,283
|
|
|
161
|
|
|
$
|
141,118
|
|
|
$
|
5,903
|
|
|
35
|
|
|
$
|
1,919,262
|
|
|
$
|
55,186
|
|
|
Freddie Mac
|
|
671,463
|
|
|
28,946
|
|
|
90
|
|
|
146,238
|
|
|
8,153
|
|
|
22
|
|
|
817,701
|
|
|
37,099
|
|
||||||
|
Total Agency MBS
|
|
2,449,607
|
|
|
78,229
|
|
|
251
|
|
|
287,356
|
|
|
14,056
|
|
|
57
|
|
|
2,736,963
|
|
|
92,285
|
|
||||||
|
Non-Agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Rated A
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,663
|
|
|
519
|
|
|
2
|
|
|
17,663
|
|
|
519
|
|
||||||
|
Rated BBB
|
|
6,354
|
|
|
4
|
|
|
1
|
|
|
40
|
|
|
5
|
|
|
1
|
|
|
6,394
|
|
|
9
|
|
||||||
|
Rated BB
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,572
|
|
|
271
|
|
|
4
|
|
|
2,572
|
|
|
271
|
|
||||||
|
Rated CCC
|
|
15,276
|
|
|
248
|
|
|
4
|
|
|
11,075
|
|
|
1,166
|
|
|
3
|
|
|
26,351
|
|
|
1,414
|
|
||||||
|
Rated CC
|
|
1,555
|
|
|
7
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,555
|
|
|
7
|
|
||||||
|
Rated C
|
|
8,661
|
|
|
193
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
8,661
|
|
|
193
|
|
||||||
|
Rated D
|
|
72,353
|
|
|
1,304
|
|
|
11
|
|
|
1
|
|
|
32
|
|
|
1
|
|
|
72,354
|
|
|
1,336
|
|
||||||
|
Total Non-Agency MBS
|
|
104,199
|
|
|
1,756
|
|
|
19
|
|
|
31,351
|
|
|
1,993
|
|
|
11
|
|
|
135,550
|
|
|
3,749
|
|
||||||
|
Total MBS
|
|
$
|
2,553,806
|
|
|
$
|
79,985
|
|
|
270
|
|
|
$
|
318,707
|
|
|
$
|
16,049
|
|
|
68
|
|
|
$
|
2,872,513
|
|
|
$
|
96,034
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Total OTTI losses
|
|
$
|
—
|
|
|
$
|
(879
|
)
|
|
$
|
(45,144
|
)
|
|
OTTI (reclassified from)/recognized in OCI
|
|
—
|
|
|
(321
|
)
|
|
34,574
|
|
|||
|
OTTI recognized in earnings
|
|
$
|
—
|
|
|
$
|
(1,200
|
)
|
|
$
|
(10,570
|
)
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Credit loss component of OTTI at beginning of period
|
|
$
|
36,115
|
|
|
$
|
34,915
|
|
|
$
|
24,345
|
|
|
Additions for credit related OTTI not previously recognized
|
|
—
|
|
|
458
|
|
|
7,158
|
|
|||
|
Subsequent additional credit related OTTI recorded
|
|
—
|
|
|
742
|
|
|
3,412
|
|
|||
|
Credit loss component of OTTI at end of period
|
|
$
|
36,115
|
|
|
$
|
36,115
|
|
|
$
|
34,915
|
|
|
|
For the Year Ended December 31,
|
||||
|
|
2013
|
|
2012
|
|
2011
|
|
Credit enhancement
(1)(2)
|
|
|
|
|
|
|
Weighted average
(3)
|
—
|
|
3.26%
|
|
2.90%
|
|
Range
(4)
|
—
|
|
0.00-16.50%
|
|
0.00-13.30%
|
|
|
|
|
|
|
|
|
Projected CPR
(2)
(
5)
|
|
|
|
|
|
|
Weighted average
(3)
|
—
|
|
9.90%
|
|
10.70%
|
|
Range
(4)
|
—
|
|
9.10-13.30%
|
|
1.90-13.80%
|
|
|
|
|
|
|
|
|
Projected Loss Severity
(2)(6)
|
|
|
|
|
|
|
Weighted average
(3)
|
—
|
|
55.50%
|
|
52.10%
|
|
Range
(4)
|
—
|
|
45.90-60.00%
|
|
41.90-70.00%
|
|
|
|
|
|
|
|
|
60+ days delinquent
(2)(7)
|
|
|
|
|
|
|
Weighted average
(3)
|
—
|
|
24.40%
|
|
22.60%
|
|
Range
(4)
|
—
|
|
18.20-32.40%
|
|
7.30-36.70%
|
|
|
|
For the Year Ended December 31,
|
||||||||||||||
|
|
|
2013
|
|
2012
|
||||||||||||
|
(In Thousands)
|
|
Discount
Designated as
Credit Reserve
and OTTI
(1)
|
|
Accretable
Discount
(1)(2)
|
|
Discount
Designated as
Credit Reserve
and OTTI
(3)
|
|
Accretable
Discount
(2)(3)
|
||||||||
|
Balance at beginning of period
|
|
$
|
(1,380,506
|
)
|
|
$
|
(371,626
|
)
|
|
$
|
(1,228,766
|
)
|
|
$
|
(250,479
|
)
|
|
Accretion of discount
|
|
—
|
|
|
73,422
|
|
|
—
|
|
|
38,185
|
|
||||
|
Realized credit losses
|
|
163,478
|
|
|
—
|
|
|
162,458
|
|
|
—
|
|
||||
|
Purchases
|
|
(79,320
|
)
|
|
32,152
|
|
|
(427,741
|
)
|
|
3,497
|
|
||||
|
Sales
|
|
45,371
|
|
|
13,953
|
|
|
—
|
|
|
—
|
|
||||
|
Reclass discount for OTTI
|
|
—
|
|
|
—
|
|
|
866
|
|
|
(866
|
)
|
||||
|
Net impairment losses recognized in earnings
|
|
—
|
|
|
—
|
|
|
(1,200
|
)
|
|
—
|
|
||||
|
Unlinking of Linked Transactions
|
|
—
|
|
|
—
|
|
|
(38,662
|
)
|
|
(9,424
|
)
|
||||
|
Transfers/release of credit reserve
|
|
207,940
|
|
|
(207,940
|
)
|
|
152,539
|
|
|
(152,539
|
)
|
||||
|
Balance at end of period
|
|
$
|
(1,043,037
|
)
|
|
$
|
(460,039
|
)
|
|
$
|
(1,380,506
|
)
|
|
$
|
(371,626
|
)
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
AOCI from MBS:
|
|
|
|
|
|
|
|
|
|
|||
|
Unrealized gain on MBS at beginning of period
|
|
$
|
824,808
|
|
|
$
|
55,491
|
|
|
$
|
393,822
|
|
|
Unrealized (loss)/gain on Agency MBS, net
|
|
(186,568
|
)
|
|
(7,820
|
)
|
|
61,149
|
|
|||
|
Unrealized gain/(loss) on Non-Agency MBS, net
|
|
134,505
|
|
|
785,830
|
|
|
(381,410
|
)
|
|||
|
Reclassification adjustment for MBS sales included in net income
|
|
(19,833
|
)
|
|
(7,493
|
)
|
|
(7,500
|
)
|
|||
|
Reclassification adjustment for OTTI included in net income
|
|
—
|
|
|
(1,200
|
)
|
|
(10,570
|
)
|
|||
|
Change in AOCI from MBS
|
|
(71,896
|
)
|
|
769,317
|
|
|
(338,331
|
)
|
|||
|
Balance at end of period
|
|
$
|
752,912
|
|
|
$
|
824,808
|
|
|
$
|
55,491
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Coupon interest
|
|
$
|
213,995
|
|
|
$
|
248,048
|
|
|
$
|
280,206
|
|
|
Effective yield adjustment
(1)
|
|
(57,949
|
)
|
|
(51,990
|
)
|
|
(38,212
|
)
|
|||
|
Agency MBS interest income
|
|
$
|
156,046
|
|
|
$
|
196,058
|
|
|
$
|
241,994
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Coupon interest
|
|
$
|
253,581
|
|
|
$
|
265,018
|
|
|
$
|
212,452
|
|
|
Effective yield adjustment
(1)
|
|
73,189
|
|
|
37,954
|
|
|
42,165
|
|
|||
|
Non-Agency MBS interest income
|
|
$
|
326,770
|
|
|
$
|
302,972
|
|
|
$
|
254,617
|
|
|
|
|
December 31,
|
||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
||||
|
MBS interest receivable:
|
|
|
|
|
|
|
||
|
Fannie Mae
|
|
$
|
13,760
|
|
|
$
|
17,597
|
|
|
Freddie Mac
|
|
3,110
|
|
|
2,696
|
|
||
|
Ginnie Mae
|
|
19
|
|
|
24
|
|
||
|
Non-Agency MBS
|
|
18,917
|
|
|
23,707
|
|
||
|
Total MBS interest receivable
|
|
35,806
|
|
|
44,024
|
|
||
|
Money market and other investments
|
|
22
|
|
|
9
|
|
||
|
Total interest receivable
|
|
$
|
35,828
|
|
|
$
|
44,033
|
|
|
|
|
|
|
|
|
December 31,
|
||||||||||
|
|
|
|
|
|
|
2013
|
|
2012
|
||||||||
|
Derivative Instrument
|
|
Designation
|
|
Balance Sheet Location
|
|
Notional Amount
|
|
Fair Value
|
||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
|
|
||||||
|
Linked Transactions
|
|
Non-Hedging
|
|
Assets
|
|
N/A
|
|
|
$
|
28,181
|
|
|
$
|
12,704
|
|
|
|
Non-cleared legacy Swaps
(1)
|
|
Hedging
|
|
Assets
|
|
$
|
450,000
|
|
|
$
|
4,925
|
|
|
$
|
203
|
|
|
Cleared Swaps
(2)
|
|
Hedging
|
|
Assets
|
|
$
|
1,300,000
|
|
|
$
|
8,075
|
|
|
$
|
—
|
|
|
Non-cleared legacy Swaps
(1)
|
|
Hedging
|
|
Liabilities
|
|
$
|
1,445,212
|
|
|
$
|
(24,437
|
)
|
|
$
|
(63,034
|
)
|
|
Cleared Swaps
(2)
|
|
Hedging
|
|
Liabilities
|
|
$
|
850,000
|
|
|
$
|
(3,780
|
)
|
|
$
|
—
|
|
|
Linked Repurchase Agreements
|
|
Linked MBS
|
||||||||||||||||||||||
|
Maturity or Repricing
|
|
Balance
|
|
Weighted
Average
Interest
Rate
|
|
Non-Agency MBS
|
|
Fair Value
|
|
Amortized
Cost
|
|
Par/Current
Face
|
|
Weighted
Average
Coupon
Rate
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||||||||
|
Within 30 days
|
|
$
|
93,835
|
|
|
1.76
|
%
|
|
Rated AA
|
|
$
|
9,054
|
|
|
$
|
8,486
|
|
|
$
|
8,790
|
|
|
5.00
|
%
|
|
>30 days to 90 days
|
|
8,902
|
|
|
1.44
|
|
|
Rated A
|
|
2,574
|
|
|
2,077
|
|
|
2,682
|
|
|
1.27
|
|
||||
|
Total
|
|
$
|
102,737
|
|
|
1.73
|
%
|
|
Rated BBB
|
|
7,436
|
|
|
6,564
|
|
|
7,903
|
|
|
2.21
|
|
|||
|
|
|
|
|
|
|
|
|
Rated BB
|
|
6,476
|
|
|
6,067
|
|
|
6,608
|
|
|
2.47
|
|
||||
|
|
|
|
|
|
|
|
|
Rated D
|
|
13,740
|
|
|
11,834
|
|
|
16,216
|
|
|
5.20
|
|
||||
|
|
|
|
|
|
|
Not Rated
|
|
91,510
|
|
|
91,469
|
|
|
92,231
|
|
|
3.97
|
|
||||||
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
130,790
|
|
|
$
|
126,497
|
|
|
$
|
134,430
|
|
|
3.96
|
%
|
|
|
Linked Repurchase Agreements
|
|
Linked MBS
|
||||||||||||||||||||||
|
Maturity or Repricing
|
|
Balance
|
|
Weighted
Average
Interest
Rate
|
|
Non-Agency MBS
|
|
Fair Value
|
|
Amortized
Cost
|
|
Par/Current
Face
|
|
Weighted
Average
Coupon
Rate
|
||||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||||||||
|
Within 30 days
|
|
$
|
13,672
|
|
|
1.57
|
%
|
|
Rated AA
|
|
$
|
13,588
|
|
|
$
|
12,817
|
|
|
$
|
13,192
|
|
|
5.00
|
%
|
|
>30 days to 90 days
|
|
21,599
|
|
|
1.66
|
|
|
Rated A
|
|
3,075
|
|
|
2,548
|
|
|
3,342
|
|
|
0.76
|
|
||||
|
Total
|
|
$
|
35,271
|
|
|
1.63
|
%
|
|
Rated BBB
|
|
8,299
|
|
|
7,226
|
|
|
8,847
|
|
|
2.55
|
|
|||
|
|
|
|
|
|
|
|
|
Rated BB
|
|
7,365
|
|
|
6,854
|
|
|
7,593
|
|
|
2.75
|
|
||||
|
|
|
|
|
|
|
|
|
Rated D
|
|
15,501
|
|
|
14,372
|
|
|
19,303
|
|
|
5.80
|
|
||||
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
47,828
|
|
|
$
|
43,817
|
|
|
$
|
52,277
|
|
|
4.28
|
%
|
|
|
Components of Unrealized Net Gains and Net Interest Income from Linked Transactions
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Interest income attributable to MBS underlying Linked Transactions
|
|
$
|
3,869
|
|
|
$
|
5,089
|
|
|
$
|
25,592
|
|
|
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions
|
|
(925
|
)
|
|
(1,113
|
)
|
|
(4,794
|
)
|
|||
|
Change in fair value of Linked Transactions included in earnings
|
|
281
|
|
|
8,634
|
|
|
(17,783
|
)
|
|||
|
Unrealized net gains and net interest income from Linked Transactions
|
|
$
|
3,225
|
|
|
$
|
12,610
|
|
|
$
|
3,015
|
|
|
|
|
December 31,
|
||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
||||
|
Agency MBS, at fair value
|
|
$
|
73,859
|
|
|
$
|
68,915
|
|
|
Restricted cash
|
|
37,520
|
|
|
5,016
|
|
||
|
Total assets pledged against Swaps
|
|
$
|
111,379
|
|
|
$
|
73,931
|
|
|
(Dollars in Thousands)
|
|
December 31, 2013
|
||
|
New Swaps:
|
|
|
||
|
Aggregate notional amount
|
|
$
|
2,501,000
|
|
|
Weighted average fixed-pay rate
|
|
1.85
|
%
|
|
|
Initial maturity date range
|
|
Two months to ten years
|
|
|
|
Number of new Swaps
|
|
23
|
|
|
|
Swaps amortized/expired:
|
|
|
||
|
Aggregate notional amount
|
|
$
|
975,352
|
|
|
Weighted average fixed-pay rate
|
|
2.78
|
%
|
|
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||||||
|
Maturity
(1)
|
|
Notional
Amount
|
|
Weighted
Average
Fixed-Pay
Interest Rate
|
|
Weighted
Average Variable
Interest Rate
(2)
|
|
Notional
Amount
|
|
Weighted
Average
Fixed-Pay
Interest Rate
|
|
Weighted
Average Variable
Interest Rate
(2)
|
||||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
|
Within 30 days
|
|
$
|
17,635
|
|
|
3.90
|
%
|
|
0.21
|
%
|
|
$
|
25,828
|
|
|
3.88
|
%
|
|
0.28
|
%
|
|
Over 30 days to 3 months
|
|
24,216
|
|
|
3.93
|
|
|
0.21
|
|
|
30,185
|
|
|
3.96
|
|
|
0.26
|
|
||
|
Over 3 months to 6 months
|
|
476,147
|
|
|
1.80
|
|
|
0.17
|
|
|
527,275
|
|
|
1.63
|
|
|
0.21
|
|
||
|
Over 6 months to 12 months
|
|
167,043
|
|
|
3.22
|
|
|
0.18
|
|
|
391,063
|
|
|
4.17
|
|
|
0.22
|
|
||
|
Over 12 months to 24 months
|
|
710,171
|
|
|
1.97
|
|
|
0.17
|
|
|
685,042
|
|
|
2.28
|
|
|
0.22
|
|
||
|
Over 24 months to 36 months
|
|
150,000
|
|
|
1.03
|
|
|
0.17
|
|
|
710,171
|
|
|
1.97
|
|
|
0.21
|
|
||
|
Over 36 months to 48 months
|
|
350,000
|
|
|
0.58
|
|
|
0.17
|
|
|
150,000
|
|
|
1.03
|
|
|
0.21
|
|
||
|
Over 48 months to 60 months
|
|
550,000
|
|
|
1.49
|
|
|
0.17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Over 72 months to 84 months
|
|
1,500,000
|
|
|
2.22
|
|
|
0.17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Over 84 months
(3)
|
|
100,000
|
|
|
2.75
|
|
|
0.17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||
|
Total Swaps
|
|
$
|
4,045,212
|
|
|
1.91
|
%
|
|
0.17
|
%
|
|
$
|
2,519,564
|
|
|
2.31
|
%
|
|
0.22
|
%
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(Dollars in Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Interest expense attributable to Swaps
|
|
$
|
59,031
|
|
|
$
|
73,266
|
|
|
$
|
95,677
|
|
|
Weighted average Swap rate paid
|
|
2.08
|
%
|
|
2.68
|
%
|
|
3.13
|
%
|
|||
|
Weighted average Swap rate received
|
|
0.19
|
%
|
|
0.27
|
%
|
|
0.25
|
%
|
|||
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
AOCI from derivative hedging instruments:
|
|
|
|
|
|
|
|
|
|
|||
|
Balance at beginning of period
|
|
$
|
(62,831
|
)
|
|
$
|
(114,194
|
)
|
|
$
|
(139,142
|
)
|
|
Unrealized gain on Swaps, net
|
|
47,614
|
|
|
51,363
|
|
|
24,948
|
|
|||
|
Balance at end of period
|
|
$
|
(15,217
|
)
|
|
$
|
(62,831
|
)
|
|
$
|
(114,194
|
)
|
|
(Dollars in Thousands)
|
|
December 31, 2013
|
|
December 31, 2012
|
||||
|
Repurchase agreement borrowings secured by Agency MBS
|
|
$
|
5,750,053
|
|
|
$
|
6,353,489
|
|
|
Fair Value of Agency MBS pledged as collateral under repurchase agreements
|
|
$
|
6,068,447
|
|
|
$
|
6,678,384
|
|
|
Weighted average haircut on Agency MBS
(1)
|
|
4.89
|
%
|
|
4.80
|
%
|
||
|
Repurchase agreement borrowings secured by Non-Agency MBS
(2)
|
|
$
|
2,206,586
|
|
|
$
|
1,988,172
|
|
|
Fair Value of Non-Agency MBS pledged as collateral under repurchase agreements
(2)(3)
|
|
$
|
3,663,523
|
|
|
$
|
3,463,128
|
|
|
Weighted average haircut on Non-Agency MBS
(1)
|
|
32.48
|
%
|
|
30.49
|
%
|
||
|
Repurchase agreements secured by U.S. Treasuries
|
|
$
|
382,658
|
|
|
$
|
410,811
|
|
|
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
|
|
$
|
383,743
|
|
|
$
|
408,833
|
|
|
Weighted average haircut on U.S. Treasuries
(1)
|
|
1.65
|
%
|
|
1.74
|
%
|
||
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||
|
Time Until Interest Rate Reset
|
|
Balance
(1)
|
|
Weighted
Average
Interest Rate
|
|
Balance
(1)
|
|
Weighted
Average
Interest Rate
|
||||||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
||||||
|
Within 30 days
|
|
$
|
7,064,598
|
|
|
0.68
|
%
|
|
$
|
6,293,802
|
|
|
0.71
|
%
|
|
Over 30 days to 3 months
|
|
1,274,699
|
|
|
1.31
|
|
|
2,458,670
|
|
|
1.21
|
|
||
|
Total
|
|
$
|
8,339,297
|
|
|
0.77
|
%
|
|
$
|
8,752,472
|
|
|
0.85
|
%
|
|
|
|
December 31, 2013
|
|||||
|
Contractual Maturity
|
|
Balance
(1)
|
|
Weighted
Average
Interest Rate
|
|||
|
(Dollars in Thousands)
|
|
|
|
|
|||
|
Overnight
|
|
$
|
—
|
|
|
—
|
%
|
|
Within 30 days
|
|
6,508,863
|
|
|
0.55
|
|
|
|
Over 30 days to 90 days
|
|
1,245,007
|
|
|
1.25
|
|
|
|
Over 90 days to 12 months
|
|
343,902
|
|
|
1.87
|
|
|
|
Over 12 months
|
|
241,525
|
|
|
2.67
|
|
|
|
Total
|
|
$
|
8,339,297
|
|
|
0.77
|
%
|
|
|
|
December 31, 2013
|
|||||||||
|
Counterparty
|
|
Counterparty
Rating
(1)
|
|
Amount at
Risk
(2)
|
|
Weighted
Average Months
to Maturity for
Repurchase
Agreements
|
|
Percent of
Stockholders’
Equity
|
|||
|
(Dollars in Thousands)
|
|
|
|
|
|
|
|
|
|||
|
Alpine Securitization Corporation/Credit Suisse
(3)
|
|
A-1/P-1/F1
|
|
$
|
751,132
|
|
|
2
|
|
23.9
|
%
|
|
Wells Fargo
(4)
|
|
A+/A2/AA-
|
|
383,914
|
|
|
9
|
|
12.2
|
|
|
|
RBS
|
|
BBB+/Baa1/A
|
|
251,273
|
|
|
2
|
|
8.0
|
|
|
|
UBS
(5)(6)
|
|
A/A2/A
|
|
242,613
|
|
|
22
|
|
7.7
|
|
|
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||
|
(In Thousands)
|
|
Assets Pledged
|
|
Collateral Held
|
|
Assets Pledged
|
|
Collateral Held
|
||||||||
|
Derivative Hedging Instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency MBS
|
|
$
|
73,859
|
|
|
$
|
—
|
|
|
$
|
68,915
|
|
|
$
|
—
|
|
|
Cash
(1)
|
|
37,520
|
|
|
—
|
|
|
5,016
|
|
|
—
|
|
||||
|
|
|
111,379
|
|
|
—
|
|
|
73,931
|
|
|
—
|
|
||||
|
Repurchase Agreement Borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency MBS
|
|
$
|
6,068,447
|
|
|
$
|
—
|
|
|
$
|
6,678,384
|
|
|
$
|
—
|
|
|
Non-Agency MBS
(2)(3)
|
|
3,663,523
|
|
|
—
|
|
|
3,463,128
|
|
|
—
|
|
||||
|
U.S. Treasury securities
|
|
383,743
|
|
|
—
|
|
|
408,833
|
|
|
—
|
|
||||
|
|
|
10,115,713
|
|
|
—
|
|
|
10,550,345
|
|
|
—
|
|
||||
|
Reverse Repurchase Agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
U.S. Treasury securities
|
|
$
|
—
|
|
|
$
|
383,743
|
|
|
$
|
—
|
|
|
$
|
408,833
|
|
|
|
|
—
|
|
|
383,743
|
|
|
—
|
|
|
408,833
|
|
||||
|
Total
|
|
$
|
10,227,092
|
|
|
$
|
383,743
|
|
|
$
|
10,624,276
|
|
|
$
|
408,833
|
|
|
|
|
Assets Pledged Under Repurchase
Agreements
|
|
Assets Pledged Against Derivative
Hedging Instruments
|
|
Total Fair
Value of
MBS
Pledged and
Accrued
Interest
|
||||||||||||||||||||||
|
(In Thousands)
|
|
Fair Value/
Carrying
Value
|
|
Amortized
Cost
|
|
Accrued
Interest on
Pledged
MBS
|
|
Fair Value/
Carrying
Value
|
|
Amortized
Cost
|
|
Accrued
Interest on
Pledged
MBS
|
|
|||||||||||||||
|
U.S. Treasuries
|
|
$
|
383,743
|
|
|
$
|
383,743
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
383,743
|
|
|
Fannie Mae
|
|
$
|
4,941,677
|
|
|
$
|
4,903,089
|
|
|
$
|
12,768
|
|
|
$
|
54,825
|
|
|
$
|
55,059
|
|
|
$
|
136
|
|
|
$
|
5,009,406
|
|
|
Freddie Mac
|
|
1,126,770
|
|
|
1,154,787
|
|
|
2,887
|
|
|
11,752
|
|
|
11,532
|
|
|
43
|
|
|
1,141,452
|
|
|||||||
|
Ginnie Mae
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7,282
|
|
|
7,095
|
|
|
11
|
|
|
7,293
|
|
|||||||
|
Agency MBS
|
|
$
|
6,068,447
|
|
|
$
|
6,057,876
|
|
|
$
|
15,655
|
|
|
$
|
73,859
|
|
|
$
|
73,686
|
|
|
$
|
190
|
|
|
$
|
6,158,151
|
|
|
Rated AAA
|
|
$
|
14,389
|
|
|
$
|
14,062
|
|
|
$
|
50
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
14,439
|
|
|
Rated A
|
|
72,811
|
|
|
66,959
|
|
|
222
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
73,033
|
|
|||||||
|
Rated BBB
|
|
65,272
|
|
|
55,828
|
|
|
226
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
65,498
|
|
|||||||
|
Rated BB
|
|
75,523
|
|
|
64,098
|
|
|
223
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
75,746
|
|
|||||||
|
Rated B
|
|
150,119
|
|
|
131,124
|
|
|
390
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
150,509
|
|
|||||||
|
Rated CCC
|
|
387,346
|
|
|
326,517
|
|
|
1,362
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
388,708
|
|
|||||||
|
Rated CC
|
|
85,219
|
|
|
72,065
|
|
|
319
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
85,538
|
|
|||||||
|
Rated C
|
|
84,187
|
|
|
73,192
|
|
|
256
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
84,443
|
|
|||||||
|
Rated D
|
|
1,046,134
|
|
|
925,621
|
|
|
4,954
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,051,088
|
|
|||||||
|
Not Rated
|
|
1,682,523
|
|
|
1,125,014
|
|
|
6,425
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,688,948
|
|
|||||||
|
Non-Agency MBS
(1)(2)(3)
|
|
$
|
3,663,523
|
|
|
$
|
2,854,480
|
|
|
$
|
14,427
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,677,950
|
|
|
Total
|
|
$
|
10,115,713
|
|
|
$
|
9,296,099
|
|
|
$
|
30,082
|
|
|
$
|
73,859
|
|
|
$
|
73,686
|
|
|
$
|
190
|
|
|
$
|
10,219,844
|
|
|
|
|
Gross Amounts of Recognized Assets
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Assets Presented in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in
the Consolidated Balance Sheets
|
|
Net Amount
|
||||||||||||||
|
(In Thousands)
|
Financial
Instruments
|
|
Cash
Collateral
Received
|
|||||||||||||||||||||
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative hedging instruments, at fair value
|
|
$
|
13,000
|
|
|
$
|
—
|
|
|
$
|
13,000
|
|
|
$
|
(13,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Total
|
|
$
|
13,000
|
|
|
$
|
—
|
|
|
$
|
13,000
|
|
|
$
|
(13,000
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative hedging instruments, at fair value
|
|
$
|
203
|
|
|
$
|
—
|
|
|
$
|
203
|
|
|
$
|
(203
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Total
|
|
$
|
203
|
|
|
$
|
—
|
|
|
$
|
203
|
|
|
$
|
(203
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
|
|
Gross Amounts of Recognized Liabilities
|
|
Gross Amounts Offset in the Consolidated Balance Sheets
|
|
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets
|
|
Gross Amounts Not Offset in the
Consolidated Balance Sheets
|
|
Net Amount
|
||||||||||||||
|
(In Thousands)
|
Financial
Instruments
(1)
|
|
Cash
Collateral
Pledged
(1)
|
|||||||||||||||||||||
|
December 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative hedging instruments, at fair value
(2)
|
|
$
|
28,217
|
|
|
$
|
—
|
|
|
$
|
28,217
|
|
|
$
|
—
|
|
|
$
|
(28,217
|
)
|
|
$
|
—
|
|
|
Repurchase agreements
(3)
|
|
8,339,297
|
|
|
—
|
|
|
8,339,297
|
|
|
(8,339,297
|
)
|
|
—
|
|
|
—
|
|
||||||
|
Total
|
|
$
|
8,367,514
|
|
|
$
|
—
|
|
|
$
|
8,367,514
|
|
|
$
|
(8,339,297
|
)
|
|
$
|
(28,217
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
|
Derivative hedging instruments, at fair value
(2)
|
|
$
|
63,034
|
|
|
$
|
—
|
|
|
$
|
63,034
|
|
|
$
|
(58,018
|
)
|
|
$
|
(5,016
|
)
|
|
$
|
—
|
|
|
Repurchase agreements
(3)
|
|
8,752,472
|
|
|
—
|
|
|
8,752,472
|
|
|
(8,752,472
|
)
|
|
—
|
|
|
—
|
|
||||||
|
Total
|
|
$
|
8,815,506
|
|
|
$
|
—
|
|
|
$
|
8,815,506
|
|
|
$
|
(8,810,490
|
)
|
|
$
|
(5,016
|
)
|
|
$
|
—
|
|
|
Year Ended December 31,
|
|
Minimum Rental Payments
|
||
|
(In Thousands)
|
|
|
||
|
2014
|
|
$
|
2,382
|
|
|
2015
|
|
2,397
|
|
|
|
2016
|
|
2,552
|
|
|
|
2017
|
|
2,522
|
|
|
|
2018
|
|
2,522
|
|
|
|
Beyond 2018
|
|
3,572
|
|
|
|
Total
|
|
$
|
15,947
|
|
|
Year
|
|
Declaration Date
|
|
Record Date
|
|
Payment Date
|
|
Dividend Per Share
|
|
||
|
2013
|
|
December 11, 2013
|
|
December 31, 2013
|
|
January 31, 2014
|
|
$
|
0.20
|
|
(1)
|
|
|
|
September 26, 2013
|
|
October 11, 2013
|
|
October 31, 2013
|
|
0.22
|
|
|
|
|
|
|
August 1, 2013
|
|
August 12, 2013
|
|
August 30, 2013
|
|
0.28
|
|
(2)
|
|
|
|
|
June 28, 2013
|
|
July 12, 2013
|
|
July 31, 2013
|
|
0.22
|
|
|
|
|
|
|
March 28, 2013
|
|
April 12, 2013
|
|
April 30, 2013
|
|
0.22
|
|
|
|
|
|
|
March 4, 2013
|
|
March 18, 2013
|
|
April 10, 2013
|
|
0.50
|
|
(3)
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2012
|
|
December 12, 2012
|
|
December 28, 2012
|
|
January 31, 2013
|
|
$
|
0.20
|
|
|
|
|
|
September 28, 2012
|
|
October 12, 2012
|
|
October 31, 2012
|
|
0.21
|
|
|
|
|
|
|
June 27, 2012
|
|
July 13, 2012
|
|
July 31, 2012
|
|
0.23
|
|
|
|
|
|
|
March 23, 2012
|
|
April 4, 2012
|
|
April 30, 2012
|
|
0.24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
|
2011
|
|
December 14, 2011
|
|
December 30, 2011
|
|
January 31, 2012
|
|
$
|
0.27
|
|
(4)
|
|
|
|
September 26, 2011
|
|
October 11, 2011
|
|
October 31, 2011
|
|
0.25
|
|
|
|
|
|
|
June 30, 2011
|
|
July 14, 2011
|
|
July 29, 2011
|
|
0.25
|
|
|
|
|
|
|
March 31, 2011
|
|
April 11, 2011
|
|
April 29, 2011
|
|
0.24
|
|
|
|
|
Share Issue Date
(1)
|
|
Shares Issued
|
|
Gross Proceeds
Per Share
|
|
Gross Proceeds
|
|
|||||
|
(In Thousands, Except Per Share Amounts)
|
|
|
|
|
|
|
|
|||||
|
March 11, 2011
|
|
74,750
|
|
|
$
|
8.10
|
|
|
$
|
605,475
|
|
(2)
|
|
|
|
For the Year Ended December 31,
|
||||||||||||||||||||||||||||||||||
|
|
|
2013
|
|
2012
|
|
2011
|
||||||||||||||||||||||||||||||
|
(In Thousands)
|
|
Net Unrealized
Gain/(Loss) on
Available-for-Sale MBS
|
|
Net
Unrealized
Gain/(Loss)
on Swaps
|
|
Total
AOCI
|
|
Net
Unrealized
Gain/(Loss) on
Available-for-Sale MBS
|
|
Net
Unrealized Gain/(Loss) on Swaps |
|
Total
AOCI
|
|
Net
Unrealized Gain/(Loss) on Available-for-Sale MBS |
|
Net
Unrealized Gain/(Loss) on Swaps |
|
Total
AOCI
|
||||||||||||||||||
|
Balance at beginning of period
|
|
$
|
824,808
|
|
|
$
|
(62,831
|
)
|
|
$
|
761,977
|
|
|
$
|
55,491
|
|
|
$
|
(114,194
|
)
|
|
$
|
(58,703
|
)
|
|
$
|
393,822
|
|
|
$
|
(139,142
|
)
|
|
$
|
254,680
|
|
|
OCI before reclassifications
|
|
(52,063
|
)
|
|
47,614
|
|
|
(4,449
|
)
|
|
778,010
|
|
|
51,363
|
|
|
829,373
|
|
|
(320,261
|
)
|
|
24,948
|
|
|
(295,313
|
)
|
|||||||||
|
Amounts reclassified from AOCI
(1)
|
|
(19,833
|
)
|
|
—
|
|
|
(19,833
|
)
|
|
(8,693
|
)
|
|
—
|
|
|
(8,693
|
)
|
|
(18,070
|
)
|
|
—
|
|
|
(18,070
|
)
|
|||||||||
|
Net OCI during period
(2)
|
|
(71,896
|
)
|
|
47,614
|
|
|
(24,282
|
)
|
|
769,317
|
|
|
51,363
|
|
|
820,680
|
|
|
(338,331
|
)
|
|
24,948
|
|
|
(313,383
|
)
|
|||||||||
|
Balance at end of period
|
|
$
|
752,912
|
|
|
$
|
(15,217
|
)
|
|
$
|
737,695
|
|
|
$
|
824,808
|
|
|
$
|
(62,831
|
)
|
|
$
|
761,977
|
|
|
$
|
55,491
|
|
|
$
|
(114,194
|
)
|
|
$
|
(58,703
|
)
|
|
|
|
For the Year Ended December 31,
|
|
|
||||||||||
|
|
|
2013
|
|
2012
|
|
2011
|
|
|
||||||
|
Details about AOCI Components
|
|
Amounts Reclassified from AOCI
|
|
Affected Line Item in the Statement
Where Net Income is Presented |
||||||||||
|
(In Thousands)
|
|
|
|
|
|
|
|
|
||||||
|
Available-for-sale MBS:
|
|
|
|
|
|
|
|
|
||||||
|
Realized gain on sale of securities
|
|
$
|
(19,833
|
)
|
|
$
|
(7,493
|
)
|
|
$
|
(7,500
|
)
|
|
Gain on sales of MBS and U.S. Treasury securities, net
|
|
OTTI recognized in earnings
|
|
—
|
|
|
(1,200
|
)
|
|
(10,570
|
)
|
|
Net impairment losses recognized in earnings
|
|||
|
Total reclassifications for period
|
|
$
|
(19,833
|
)
|
|
$
|
(8,693
|
)
|
|
$
|
(18,070
|
)
|
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands, Except Per Share Amounts)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Numerator:
|
|
|
|
|
|
|
|
|
|
|||
|
Net income
|
|
$
|
302,709
|
|
|
$
|
306,839
|
|
|
$
|
316,414
|
|
|
Dividends declared on preferred stock
|
|
(13,750
|
)
|
|
(8,160
|
)
|
|
(8,160
|
)
|
|||
|
Dividends, DERs and undistributed earnings allocated to participating securities
|
|
(1,080
|
)
|
|
(1,517
|
)
|
|
(1,684
|
)
|
|||
|
Issuance costs of redeemed preferred stock
(1)
|
|
(3,947
|
)
|
|
—
|
|
|
—
|
|
|||
|
Net income allocable to common stockholders - basic and diluted
|
|
$
|
283,932
|
|
|
$
|
297,162
|
|
|
$
|
306,570
|
|
|
|
|
|
|
|
|
|
||||||
|
Denominator:
|
|
|
|
|
|
|
|
|
||||
|
Weighted average common shares for basic and diluted earnings per share
(2)
|
|
362,399
|
|
|
356,762
|
|
|
341,368
|
|
|||
|
Basic and diluted earnings per share
|
|
$
|
0.78
|
|
|
$
|
0.83
|
|
|
$
|
0.90
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
|
Number of
DERs
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Number of
DERs
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Number of
DERs
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|||||||||
|
Outstanding at beginning of year:
|
1,280,898
|
|
|
$
|
7.08
|
|
|
1,655,848
|
|
|
$
|
7.35
|
|
|
1,514,767
|
|
|
$
|
8.40
|
|
|
Granted
|
40,324
|
|
|
9.14
|
|
|
21,938
|
|
|
8.17
|
|
|
305,000
|
|
|
2.71
|
|
|||
|
Cancelled, forfeited or expired
|
(469,894
|
)
|
|
9.32
|
|
|
(396,888
|
)
|
|
8.24
|
|
|
(163,919
|
)
|
|
8.48
|
|
|||
|
Outstanding at end of year
|
851,328
|
|
|
$
|
5.95
|
|
|
1,280,898
|
|
|
$
|
7.08
|
|
|
1,655,848
|
|
|
$
|
7.35
|
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
|
Number
of
Options
|
|
Weighted
Average
Exercise Price
|
|
Number
of
Options
|
|
Weighted
Average
Exercise Price
|
|
Number
of
Options
|
|
Weighted
Average
Exercise Price
|
|||||||||
|
Outstanding at beginning of year:
|
427,000
|
|
|
$
|
10.14
|
|
|
482,000
|
|
|
$
|
10.12
|
|
|
537,000
|
|
|
$
|
10.11
|
|
|
Granted
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
|
Cancelled, forfeited or expired
|
(402,000
|
)
|
|
10.25
|
|
|
(50,000
|
)
|
|
10.25
|
|
|
(55,000
|
)
|
|
10.06
|
|
|||
|
Exercised
(1)
|
(20,000
|
)
|
|
8.40
|
|
|
(5,000
|
)
|
|
6.99
|
|
|
—
|
|
|
—
|
|
|||
|
Outstanding at end of year
|
5,000
|
|
|
$
|
8.40
|
|
|
427,000
|
|
|
$
|
10.14
|
|
|
482,000
|
|
|
$
|
10.12
|
|
|
Options exercisable at end of year
|
5,000
|
|
|
$
|
8.40
|
|
|
427,000
|
|
|
$
|
10.14
|
|
|
482,000
|
|
|
$
|
10.12
|
|
|
Exercise Price or
Price Range
|
|
Options
Outstanding
|
|
Weighted
Average
Exercise Price
|
|
Weighted Average
Remaining
Contractual Life
(years)
|
|
$8.40
|
|
5,000
|
|
$8.40
|
|
0.6
|
|
|
For the Year Ended December 31,
|
|||||||||||||||||||
|
|
2013
|
|
2012
|
|
2011
|
|||||||||||||||
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|
Shares of
Restricted
Stock
|
|
Weighted
Average
Grant Date
Fair Value
(1)
|
|||||||||
|
Outstanding at beginning of year:
|
483,442
|
|
|
$
|
7.74
|
|
|
752,155
|
|
|
$
|
7.33
|
|
|
792,824
|
|
|
$
|
7.40
|
|
|
Granted
|
231,531
|
|
|
7.33
|
|
|
418,184
|
|
|
7.99
|
|
|
387,418
|
|
|
7.03
|
|
|||
|
Vested
(2)
|
(270,456
|
)
|
|
7.77
|
|
|
(685,864
|
)
|
|
7.45
|
|
|
(415,890
|
)
|
|
7.19
|
|
|||
|
Cancelled/forfeited
|
(550
|
)
|
|
7.72
|
|
|
(1,033
|
)
|
|
6.91
|
|
|
(12,197
|
)
|
|
7.60
|
|
|||
|
Outstanding at end of year
|
443,967
|
|
|
$
|
7.50
|
|
|
483,442
|
|
|
$
|
7.74
|
|
|
752,155
|
|
|
$
|
7.33
|
|
|
|
For the Year Ended December 31, 2013
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted
Average
Grant Date
Fair Value
|
|||||||||
|
Outstanding at beginning of year:
|
448,141
|
|
|
$
|
7.61
|
|
|
279,507
|
|
|
$
|
4.55
|
|
|
727,648
|
|
|
$
|
6.43
|
|
|
Granted
|
64,483
|
|
|
8.23
|
|
(1)
|
48,341
|
|
|
2.59
|
|
(2)
|
112,824
|
|
|
5.82
|
|
|||
|
Settled
|
(21,025
|
)
|
|
6.20
|
|
|
(32,066
|
)
|
|
2.80
|
|
|
(53,091
|
)
|
|
4.15
|
|
|||
|
Cancelled/forfeited
|
(1,500
|
)
|
|
7.77
|
|
|
(8,063
|
)
|
|
7.89
|
|
|
(9,563
|
)
|
|
7.88
|
|
|||
|
Outstanding at end of year
|
490,099
|
|
|
$
|
7.75
|
|
|
287,719
|
|
|
$
|
4.32
|
|
|
777,818
|
|
|
$
|
6.48
|
|
|
RSUs vested but not settled at end of year
|
84,199
|
|
|
$
|
8.50
|
|
|
14,625
|
|
|
$
|
4.69
|
|
|
98,824
|
|
|
$
|
7.93
|
|
|
RSUs unvested at end of year
|
405,900
|
|
(3)
|
$
|
7.60
|
|
|
273,094
|
|
(4)
|
$
|
4.30
|
|
|
678,994
|
|
|
$
|
6.27
|
|
|
|
For the Year Ended December 31, 2012
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted Average Grant Date Fair Value |
|||||||||
|
Outstanding at beginning of year:
|
722,132
|
|
|
$
|
8.04
|
|
|
256,716
|
|
|
$
|
4.78
|
|
|
978,848
|
|
|
$
|
7.18
|
|
|
Granted
|
38,784
|
|
|
7.01
|
|
(5)
|
55,654
|
|
|
3.26
|
|
(6)
|
94,438
|
|
|
4.80
|
|
|||
|
Settled
|
(297,775
|
)
|
|
8.57
|
|
|
—
|
|
|
—
|
|
|
(297,775
|
)
|
|
8.57
|
|
|||
|
Cancelled/forfeited
|
(15,000
|
)
|
|
7.77
|
|
|
(32,863
|
)
|
|
4.17
|
|
|
(47,863
|
)
|
|
5.30
|
|
|||
|
Outstanding at end of year
|
448,141
|
|
|
$
|
7.61
|
|
|
279,507
|
|
|
$
|
4.55
|
|
|
727,648
|
|
|
$
|
6.43
|
|
|
RSUs vested but not settled at end of year
|
29,250
|
|
|
$
|
7.77
|
|
|
14,625
|
|
|
$
|
4.69
|
|
|
43,875
|
|
|
$
|
6.74
|
|
|
RSUs unvested at end of year
|
418,891
|
|
|
$
|
7.60
|
|
|
264,882
|
|
|
$
|
4.54
|
|
|
683,773
|
|
|
$
|
6.41
|
|
|
|
For the Year Ended December 31, 2011
|
|||||||||||||||||||
|
|
RSUs With
Service
Condition
|
|
Weighted
Average
Grant Date
Fair Value
|
|
RSUs With
Market and
Service
Conditions
|
|
Weighted
Average
Grant Date
Fair Value
|
|
Total
RSUs
|
|
Total
Weighted Average Grant Date Fair Value |
|||||||||
|
Outstanding at beginning of year:
|
778,142
|
|
|
$
|
8.15
|
|
|
225,875
|
|
|
$
|
5.18
|
|
|
1,004,017
|
|
|
$
|
7.49
|
|
|
Granted
|
39,159
|
|
|
6.13
|
|
(7)
|
48,341
|
|
|
3.08
|
|
(8)
|
87,500
|
|
|
4.44
|
|
|||
|
Settled
|
(60,169
|
)
|
|
8.40
|
|
|
—
|
|
|
—
|
|
|
(60,169
|
)
|
|
8.40
|
|
|||
|
Cancelled/forfeited
|
(35,000
|
)
|
|
7.77
|
|
|
(17,500
|
)
|
|
5.21
|
|
|
(52,500
|
)
|
|
7.14
|
|
|||
|
Outstanding at end of year
|
722,132
|
|
|
$
|
8.04
|
|
|
256,716
|
|
|
$
|
4.78
|
|
|
978,848
|
|
|
$
|
7.18
|
|
|
RSUs vested but not settled at end of year
|
284,723
|
|
|
$
|
8.68
|
|
|
—
|
|
|
$
|
—
|
|
|
284,723
|
|
|
$
|
8.68
|
|
|
RSUs unvested at end of year
|
437,409
|
|
|
$
|
7.62
|
|
|
256,716
|
|
|
$
|
4.78
|
|
|
694,125
|
|
|
$
|
6.57
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Restricted shares of common stock
|
|
$
|
2,150
|
|
|
$
|
5,102
|
|
|
$
|
2,996
|
|
|
RSUs
|
|
1,813
|
|
|
1,149
|
|
|
1,264
|
|
|||
|
DERs
|
|
195
|
|
|
237
|
|
|
122
|
|
|||
|
Stock options
|
|
—
|
|
|
—
|
|
|
3
|
|
|||
|
Total
|
|
$
|
4,158
|
|
|
$
|
6,488
|
|
|
$
|
4,385
|
|
|
|
|
For the Year Ended December 31,
|
||||||||||
|
(In Thousands)
|
|
2013
|
|
2012
|
|
2011
|
||||||
|
Non-employee directors
|
|
$
|
17
|
|
|
$
|
69
|
|
|
$
|
(6
|
)
|
|
Total
|
|
$
|
17
|
|
|
$
|
69
|
|
|
$
|
(6
|
)
|
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||
|
(In Thousands)
|
|
Undistributed
Income
Deferred
(1)
|
|
Liability Under
Deferred Plans
|
|
Undistributed
Income
Deferred
(1)
|
|
Liability Under
Deferred Plans
|
||||||||
|
Non-employee directors
|
|
$
|
270
|
|
|
$
|
382
|
|
|
$
|
199
|
|
|
$
|
302
|
|
|
Total
|
|
$
|
270
|
|
|
$
|
382
|
|
|
$
|
199
|
|
|
$
|
302
|
|
|
(In Thousands)
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency MBS
|
|
$
|
—
|
|
|
$
|
6,519,221
|
|
|
$
|
—
|
|
|
$
|
6,519,221
|
|
|
Non-Agency MBS, including MBS transferred to consolidated VIEs
|
|
—
|
|
|
4,852,137
|
|
|
—
|
|
|
4,852,137
|
|
||||
|
Securities obtained and pledged as collateral
|
|
383,743
|
|
|
—
|
|
|
—
|
|
|
383,743
|
|
||||
|
Linked Transactions
|
|
—
|
|
|
28,181
|
|
|
—
|
|
|
28,181
|
|
||||
|
Derivative hedging instruments
|
|
—
|
|
|
13,000
|
|
|
—
|
|
|
13,000
|
|
||||
|
Total assets carried at fair value
|
|
$
|
383,743
|
|
|
$
|
11,412,539
|
|
|
$
|
—
|
|
|
$
|
11,796,282
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Derivative hedging instruments
|
|
$
|
—
|
|
|
$
|
28,217
|
|
|
$
|
—
|
|
|
$
|
28,217
|
|
|
Obligation to return securities obtained as collateral
|
|
383,743
|
|
|
—
|
|
|
—
|
|
|
383,743
|
|
||||
|
Total liabilities carried at fair value
|
|
$
|
383,743
|
|
|
$
|
28,217
|
|
|
$
|
—
|
|
|
$
|
411,960
|
|
|
|
|
December 31, 2013
|
|
December 31, 2012
|
||||||||||||
|
(In Thousands)
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
|
Carrying
Value
|
|
Estimated
Fair Value
|
||||||||
|
Financial Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency MBS
|
|
$
|
6,519,221
|
|
|
$
|
6,519,221
|
|
|
$
|
7,225,460
|
|
|
$
|
7,225,460
|
|
|
Non-Agency MBS, including MBS transferred to consolidated VIEs
|
|
4,852,137
|
|
|
4,852,137
|
|
|
5,382,165
|
|
|
5,382,165
|
|
||||
|
Securities obtained and pledged as collateral
|
|
383,743
|
|
|
383,743
|
|
|
408,833
|
|
|
408,833
|
|
||||
|
Cash and cash equivalents
|
|
565,370
|
|
|
565,370
|
|
|
401,293
|
|
|
401,293
|
|
||||
|
Restricted cash
|
|
37,520
|
|
|
37,520
|
|
|
5,016
|
|
|
5,016
|
|
||||
|
Linked Transactions
|
|
28,181
|
|
|
28,181
|
|
|
12,704
|
|
|
12,704
|
|
||||
|
Derivative hedging instruments
|
|
13,000
|
|
|
13,000
|
|
|
203
|
|
|
203
|
|
||||
|
Financial Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Repurchase agreements
|
|
8,339,297
|
|
|
8,339,071
|
|
|
8,752,472
|
|
|
8,754,521
|
|
||||
|
Securitized debt
|
|
366,205
|
|
|
366,767
|
|
|
646,816
|
|
|
647,070
|
|
||||
|
Obligation to return securities obtained as collateral
|
|
383,743
|
|
|
383,743
|
|
|
508,827
|
|
|
508,827
|
|
||||
|
Senior Notes
|
|
100,000
|
|
|
98,000
|
|
|
100,000
|
|
|
103,040
|
|
||||
|
Derivative hedging instruments
|
|
28,217
|
|
|
28,217
|
|
|
63,034
|
|
|
63,034
|
|
||||
|
(Dollars in Thousands)
|
|
February 2012
|
|
June 2011
|
|
February 2011
|
|
October 2010
|
||||||||
|
Name of Trust (Consolidated as a VIE)
|
|
WFMLT Series
2012-RR1
|
|
CSMC Series 2011-7R
|
|
CSMC Series 2011-1R
|
|
DMSI
2010-RS2
|
||||||||
|
Principal value of Non-Agency MBS sold
|
|
$
|
433,347
|
|
|
$
|
1,283,422
|
|
|
$
|
1,319,969
|
|
|
$
|
985,228
|
|
|
Face amount of Senior Bonds issued by the VIE and purchased by 3rd party investors
(1)
|
|
$
|
186,691
|
|
|
$
|
474,866
|
|
|
$
|
488,389
|
|
|
$
|
373,577
|
|
|
Outstanding amount of Senior Bonds at December 31, 2013
|
|
$
|
93,556
|
|
|
$
|
61,711
|
|
|
$
|
99,943
|
|
|
$
|
110,995
|
|
|
Pass-through rate for Senior Bonds issued
|
|
2.85
|
%
|
|
One-month LIBOR plus 125 basis points
|
|
One-month LIBOR plus 100 basis points
|
|
Weighted Average Coupon Rate
|
|||||||
|
Face amount of Senior Support Certificates
received by the Company
(2)
|
|
$
|
222,921
|
|
|
$
|
774,618
|
|
|
$
|
790,563
|
|
|
$
|
494,721
|
|
|
Cash received
|
|
$
|
186,691
|
|
|
$
|
474,866
|
|
|
$
|
488,389
|
|
|
$
|
375,621
|
|
|
Notional amount acquired of non-rated, interest only senior certificates
(1)
|
|
$
|
186,691
|
|
|
$
|
474,866
|
|
|
$
|
488,389
|
|
|
$
|
—
|
|
|
Unamortized deferred costs
(3)
|
|
$
|
805
|
|
|
$
|
428
|
|
|
$
|
934
|
|
|
$
|
362
|
|
|
•
|
Whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and
|
|
•
|
Whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE.
|
|
|
|
2013 Quarter Ended
|
||||||||||||||
|
(In Thousands, Except per Share Amounts)
|
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
Interest income
|
|
$
|
122,738
|
|
|
$
|
120,671
|
|
|
$
|
118,482
|
|
|
$
|
121,049
|
|
|
Interest expense
|
|
(40,158
|
)
|
|
(38,478
|
)
|
|
(41,950
|
)
|
|
(43,427
|
)
|
||||
|
Net interest income
|
|
82,580
|
|
|
82,193
|
|
|
76,532
|
|
|
77,622
|
|
||||
|
Gain on sales of MBS and U.S. Treasury securities, net
|
|
1,633
|
|
|
4,365
|
|
|
13,680
|
|
|
6,147
|
|
||||
|
(Losses)/gains on TBA short positions
|
|
—
|
|
|
—
|
|
|
(8,724
|
)
|
|
1,207
|
|
||||
|
Unrealized net gains/(losses) and net interest income from Linked Transactions
|
|
1,536
|
|
|
(295
|
)
|
|
544
|
|
|
1,440
|
|
||||
|
Other income
|
|
55
|
|
|
55
|
|
|
55
|
|
|
54
|
|
||||
|
Operating and other expense
|
|
(8,453
|
)
|
|
(10,845
|
)
|
|
(10,759
|
)
|
|
(7,913
|
)
|
||||
|
Net income
|
|
77,351
|
|
|
75,473
|
|
|
71,328
|
|
|
78,557
|
|
||||
|
Preferred stock dividends
|
|
(2,040
|
)
|
|
(4,210
|
)
|
|
(3,750
|
)
|
|
(3,750
|
)
|
||||
|
Issuance costs of redeemed preferred stock
|
|
—
|
|
|
(3,947
|
)
|
|
—
|
|
|
—
|
|
||||
|
Net income available to common stock and participating securities
|
|
$
|
75,311
|
|
|
$
|
67,316
|
|
|
$
|
67,578
|
|
|
$
|
74,807
|
|
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.21
|
|
|
$
|
0.19
|
|
|
$
|
0.19
|
|
|
$
|
0.20
|
|
|
|
|
2012 Quarter Ended
|
||||||||||||||
|
(In Thousands, Except per Share Amounts)
|
|
March 31
|
|
June 30
|
|
September 30
|
|
December 31
|
||||||||
|
Interest income
|
|
$
|
123,523
|
|
|
$
|
125,531
|
|
|
$
|
125,135
|
|
|
$
|
124,968
|
|
|
Interest expense
|
|
(40,127
|
)
|
|
(42,688
|
)
|
|
(45,801
|
)
|
|
(43,054
|
)
|
||||
|
Net interest income
|
|
83,396
|
|
|
82,843
|
|
|
79,334
|
|
|
81,914
|
|
||||
|
Net impairment losses recognized in earnings
|
|
(920
|
)
|
|
(280
|
)
|
|
—
|
|
|
—
|
|
||||
|
Gain on sales of MBS
|
|
2,953
|
|
|
—
|
|
|
4,279
|
|
|
1,769
|
|
||||
|
Unrealized net gains and net interest income from Linked Transactions
|
|
7,699
|
|
|
568
|
|
|
3,177
|
|
|
1,166
|
|
||||
|
Other income
|
|
—
|
|
|
1
|
|
|
1
|
|
|
8
|
|
||||
|
Operating and other expense
|
|
(8,415
|
)
|
|
(8,366
|
)
|
|
(8,650
|
)
|
|
(15,638
|
)
|
||||
|
Net income
|
|
84,713
|
|
|
74,766
|
|
|
78,141
|
|
|
69,219
|
|
||||
|
Preferred stock dividends
|
|
(2,040
|
)
|
|
(2,040
|
)
|
|
(2,040
|
)
|
|
(2,040
|
)
|
||||
|
Net income available to common stock and participating securities
|
|
$
|
82,673
|
|
|
$
|
72,726
|
|
|
$
|
76,101
|
|
|
$
|
67,179
|
|
|
Earnings per Common Share - Basic and Diluted
|
|
$
|
0.23
|
|
|
$
|
0.20
|
|
|
$
|
0.21
|
|
|
$
|
0.19
|
|
|
|
MFA Financial, Inc.
|
||
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/ Stephen D. Yarad
|
|
|
|
|
Stephen D. Yarad
|
|
|
|
|
Chief Financial Officer
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
William S. Gorin
|
|
|
|
William S. Gorin
|
|
|
|
|
Chief Executive Officer and Director
|
|
|
|
|
(Principal Executive Officer)
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/ Stephen D. Yarad
|
|
|
|
|
Stephen D. Yarad
|
|
|
|
|
Chief Financial Officer
|
|
|
|
|
(Principal Financial Officer)
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/ Kathleen A. Hanrahan
|
|
|
|
|
Kathleen A. Hanrahan
|
|
|
|
|
Senior Vice President and
|
|
|
|
|
Chief Accounting Officer
|
|
|
|
|
(Principal Accounting Officer)
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
George H. Krauss
|
|
|
|
George H. Krauss
|
|
|
|
|
Chairman and Director
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
Stephen R. Blank
|
|
|
|
Stephen R. Blank
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
James A. Brodsky
|
|
|
|
James A. Brodsky
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
Michael L. Dahir
|
|
|
|
Michael L. Dahir
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
Alan L. Gosule
|
|
|
|
Alan L. Gosule
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
Date: February 13, 2014
|
By
|
/s/
|
Robin Josephs
|
|
|
|
Robin Josephs
|
|
|
|
|
Director
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
No information found
* THE VALUE IS THE MARKET VALUE AS OF THE LAST DAY OF THE QUARTER FOR WHICH THE 13F WAS FILED.
| FUND | NUMBER OF SHARES | VALUE ($) | PUT OR CALL |
|---|
| DIRECTORS | AGE | BIO | OTHER DIRECTOR MEMBERSHIPS |
|---|
No information found
No Customers Found
No Suppliers Found
Price
Yield
| Owner | Position | Direct Shares | Indirect Shares |
|---|