x
|
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Virginia
|
|
54-1873198
|
(State or Other Jurisdiction of Incorporation or Organization)
|
|
(I.R.S. Employer Identification No.)
|
|
|
|
1001 Nineteenth Street North
|
|
|
Arlington, VA |
22209
|
|
(Address of Principal Executive Offices)
|
|
(Zip Code)
|
Large accelerated filer o
|
Accelerated filer x
|
Non-accelerated filer o
|
Smaller reporting company o
|
Title
|
|
Outstanding
|
Class A Common Stock
|
|
12,600,454 shares
|
Class B Common Stock
|
|
556,361 shares
|
|
|
Page
|
PART I—FINANCIAL INFORMATION
|
|
|
|
|
|
Item 1.
|
3
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|
|
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3
|
|
|
|
|
|
4
|
|
|
|
|
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5
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6
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|
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|
7
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Item 2.
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21
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Item 3.
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34
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Item 4.
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37
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|
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PART II—OTHER INFORMATION
|
|
|
|
|
|
Item 1.
|
39
|
|
|
|
|
Item 1A.
|
39
|
|
|
|
|
Item 2.
|
41
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|
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Item 4.
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41
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|
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Item 6.
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42
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|
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|
43
|
Item 1.
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||
ASSETS
|
|
|
|
|
|
|
||
Cash and cash equivalents
|
|
$
|
85,738
|
|
|
$
|
20,018
|
|
Receivables
|
|
|
|
|
|
|
|
|
Interest
|
|
|
2,977
|
|
|
|
2,366
|
|
Sold securities receivable
|
|
|
12,212
|
|
|
|
41,321
|
|
Other
|
|
|
501
|
|
|
|
11
|
|
Mortgage-backed securities, at fair value
|
|
|
|
|
|
|
|
|
Available-for-sale
|
|
|
196,049
|
|
|
|
179,566
|
|
Trading
|
|
|
1,198,697
|
|
|
|
636,872
|
|
Other investments
|
|
|
2,792
|
|
|
|
2,946
|
|
Derivative assets, at fair value
|
|
|
673
|
|
|
|
504
|
|
Deposits
|
|
|
95,900
|
|
|
|
71,079
|
|
Prepaid expenses and other assets
|
|
|
247
|
|
|
|
377
|
|
Total assets
|
|
$
|
1,595,786
|
|
|
$
|
955,060
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
867,056
|
|
|
$
|
647,977
|
|
Interest payable
|
|
|
402
|
|
|
|
504
|
|
Accrued compensation and benefits
|
|
|
4,953
|
|
|
|
6,177
|
|
Dividend payable
|
|
|
11,611
|
|
|
|
6,785
|
|
Derivative liabilities, at fair value
|
|
|
89,027
|
|
|
|
63,024
|
|
Purchased securities payable
|
|
|
291,495
|
|
|
|
15,820
|
|
Accounts payable, accrued expenses and other liabilities
|
|
|
17,124
|
|
|
|
16,401
|
|
Long-term debt
|
|
|
15,000
|
|
|
|
15,000
|
|
Total liabilities
|
|
|
1,296,668
|
|
|
|
771,688
|
|
|
|
|
|
|
|
|
|
|
Commitments and contingencies
|
|
|
—
|
|
|
|
—
|
|
Equity:
|
|
|
|
|
|
|
|
|
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding
|
|
|
—
|
|
|
|
—
|
|
Class A common stock, $0.01 par value, 450,000,000 shares authorized, 12,600,454 and 7,099,336 shares issued and outstanding, respectively
|
|
|
126
|
|
|
|
71
|
|
Class B common stock, $0.01 par value, 100,000,000 shares authorized, 556,361 and 566,112 shares issued and outstanding, respectively
|
|
|
6
|
|
|
|
6
|
|
Additional paid-in capital
|
|
|
1,638,430
|
|
|
|
1,508,713
|
|
Accumulated other comprehensive income, net of taxes
|
|
|
36,804
|
|
|
|
38,367
|
|
Accumulated deficit
|
|
|
(1,376,248
|
)
|
|
|
(1,363,785
|
)
|
Total equity
|
|
|
299,118
|
|
|
|
183,372
|
|
Total liabilities and equity
|
|
$
|
1,595,786
|
|
|
$
|
955,060
|
|
|
Three Months Ended
September 30,
|
|
|
Nine Months Ended
September 30,
|
|
|||||||||||
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
|||||
Interest income
|
|
$
|
15,519
|
|
|
$
|
13,061
|
|
|
$
|
44,913
|
|
|
$
|
38,818
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest on short-term debt
|
|
|
1,125
|
|
|
|
542
|
|
|
|
2,811
|
|
|
|
1,336
|
|
Interest on long-term debt
|
|
|
123
|
|
|
|
115
|
|
|
|
371
|
|
|
|
345
|
|
Total interest expense
|
|
|
1,248
|
|
|
|
657
|
|
|
|
3,182
|
|
|
|
1,681
|
|
Net interest income
|
|
|
14,271
|
|
|
|
12,404
|
|
|
|
41,731
|
|
|
|
37,137
|
|
Other loss, net
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment loss, net
|
|
|
(5,663
|
)
|
|
|
(20,195
|
)
|
|
|
(11,532
|
)
|
|
|
(17,455
|
)
|
Other loss
|
|
|
(3
|
)
|
|
|
(4
|
)
|
|
|
(11
|
)
|
|
|
(11
|
)
|
Total other loss, net
|
|
|
(5,666
|
)
|
|
|
(20,199
|
)
|
|
|
(11,543
|
)
|
|
|
(17,466
|
)
|
Operating income (loss) before other expenses
|
|
|
8,605
|
|
|
|
(7,795
|
)
|
|
|
30,188
|
|
|
|
19,671
|
|
Other expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and benefits
|
|
|
3,519
|
|
|
|
2,537
|
|
|
|
7,580
|
|
|
|
7,543
|
|
Professional services
|
|
|
862
|
|
|
|
441
|
|
|
|
3,337
|
|
|
|
1,125
|
|
Business development
|
|
|
39
|
|
|
|
19
|
|
|
|
111
|
|
|
|
98
|
|
Occupancy and equipment
|
|
|
110
|
|
|
|
93
|
|
|
|
355
|
|
|
|
281
|
|
Communications
|
|
|
49
|
|
|
|
51
|
|
|
|
154
|
|
|
|
147
|
|
Other operating expenses
|
|
|
453
|
|
|
|
448
|
|
|
|
1,351
|
|
|
|
1,168
|
|
Total other expenses
|
|
|
5,032
|
|
|
|
3,589
|
|
|
|
12,888
|
|
|
|
10,362
|
|
Income (loss) before income taxes
|
|
|
3,573
|
|
|
|
(11,384
|
)
|
|
|
17,300
|
|
|
|
9,309
|
|
Income tax provision
|
|
|
450
|
|
|
|
259
|
|
|
|
1,271
|
|
|
|
1,076
|
|
Net income (loss)
|
|
$
|
3,123
|
|
|
$
|
(11,643
|
)
|
|
$
|
16,029
|
|
|
$
|
8,233
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic earnings (loss) per share
|
|
$
|
0.31
|
|
|
$
|
(1.50
|
)
|
|
$
|
1.74
|
|
|
$
|
1.07
|
|
Diluted earnings (loss) per share
|
|
$
|
0.31
|
|
|
$
|
(1.50
|
)
|
|
$
|
1.74
|
|
|
$
|
1.06
|
|
Dividends declared per share
|
|
$
|
0.875
|
|
|
$
|
0.875
|
|
|
$
|
2.625
|
|
|
$
|
2.50
|
|
Weighted-average shares outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
9,977
|
|
|
|
7,748
|
|
|
|
9,192
|
|
|
|
7,711
|
|
Diluted
|
|
|
10,041
|
|
|
|
7,748
|
|
|
|
9,219
|
|
|
|
7,737
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income (loss), net of taxes
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized gains (losses) for the period on available-for-sale securities (net of taxes of $-0-)
|
|
$
|
2,997
|
|
|
$
|
(5,234
|
)
|
|
$
|
(1,563
|
)
|
|
$
|
(5,231
|
)
|
Reclassification adjustment for gains included in net income on available-for-sale securities (net of taxes of $-0-)
|
|
|
—
|
|
|
|
(1,079
|
)
|
|
|
—
|
|
|
|
(15,012
|
)
|
Comprehensive income (loss)
|
|
$
|
6,120
|
|
|
$
|
(17,956
|
)
|
|
$
|
14,466
|
|
|
$
|
(12,010
|
)
|
|
Class A
Common
Stock (#)
|
|
|
Class A
Amount
($)
|
|
|
Class B
Common
Stock (#)
|
|
|
Class B
Amount
($)
|
|
|
Additional
Paid-In
Capital
|
|
|
Accumulated
Other
Comprehensive
Income
|
|
|
Accumulated
Deficit
|
|
|
Total
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Balances, December 31, 2010
|
|
|
7,106,330
|
|
|
$
|
71
|
|
|
|
566,112
|
|
|
$
|
6
|
|
|
$
|
1,505,971
|
|
|
$
|
63,495
|
|
|
$
|
(1,352,799
|
)
|
|
$
|
216,744
|
|
Net income
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
15,173
|
|
|
|
15,173
|
|
Issuance of Class A common stock
|
|
|
29,147
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
545
|
|
|
|
—
|
|
|
|
—
|
|
|
|
545
|
|
Repurchase of Class A common stock
|
|
|
(8,910
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(229
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(229
|
)
|
Forfeitures of Class A common stock
|
|
|
(27,231
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(770
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(770
|
)
|
Amortization of Class A common shares issued as stock-based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
601
|
|
|
|
—
|
|
|
|
—
|
|
|
|
601
|
|
Reclassification of restricted stock units issued as stock based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,595
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,595
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized gain on available-for-sale investment securities, (net of taxes of $-0-)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(25,128
|
)
|
|
|
—
|
|
|
|
(25,128
|
)
|
Dividends declared
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(26,159
|
)
|
|
|
(26,159
|
)
|
Balances, December 31, 2011
|
|
|
7,099,336
|
|
|
|
71
|
|
|
|
566,112
|
|
|
|
6
|
|
|
|
1,508,713
|
|
|
|
38,367
|
|
|
|
(1,363,785
|
)
|
|
|
183,372
|
|
Net income
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
16,029
|
|
|
|
16,029
|
|
Conversion of Class B shares to Class A shares
|
9,751
|
—
|
(9,751
|
)
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||||||||||
Issuance of Class A common stock
|
|
|
5,493,750
|
|
|
|
55
|
|
|
|
—
|
|
|
|
—
|
|
|
|
129,194
|
|
|
|
—
|
|
|
|
—
|
|
|
|
129,249
|
|
Forfeitures of Class A common stock
|
|
|
(2,383
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(55
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(55
|
)
|
Amortization of Class A common shares issued as stock-based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
578
|
|
|
|
—
|
|
|
|
—
|
|
|
|
578
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized gain on available-for-sale investment securities, (net of taxes of $-0-)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(1,563
|
)
|
|
|
—
|
|
|
|
(1,563
|
)
|
Dividends declared
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(28,492
|
)
|
|
|
(28,492
|
)
|
Balances, September 30, 2012
|
|
|
12,600,454
|
|
|
$
|
126
|
|
|
|
556,361
|
|
|
$
|
6
|
|
|
$
|
1,638,430
|
|
|
$
|
36,804
|
|
|
$
|
(1,376,248
|
)
|
|
$
|
299,118
|
|
|
Nine Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Cash flows from operating activities:
|
|
|
|
|
|
|
||
Net income
|
|
$
|
16,029
|
|
|
$
|
8,233
|
|
Adjustments to reconcile net income to net cash provided by operating activities
|
|
|
|
|
|
|
|
|
Net investment loss
|
|
|
11,532
|
|
|
|
17,455
|
|
Net (discount)/premium (accretion)/amortization on mortgage-backed securities
|
|
|
(7,912
|
)
|
|
|
(7,976
|
)
|
Depreciation and amortization
|
|
|
35
|
|
|
|
36
|
|
Other
|
|
|
579
|
|
|
|
533
|
|
Changes in operating assets
|
|
|
|
|
|
|
|
|
Interest receivable
|
|
|
(611
|
)
|
|
|
(1,304
|
)
|
Other receivables
|
|
|
(491
|
)
|
|
|
(182
|
)
|
Prepaid expenses and other assets
|
|
|
(160
|
)
|
|
|
926
|
|
Changes in operating liabilities
|
|
|
|
|
|
|
|
|
Accounts payable and accrued expenses
|
|
|
451
|
|
|
|
519
|
|
Accrued compensation and benefits
|
|
|
(1,224
|
)
|
|
|
85
|
|
Net cash provided by operating activities
|
|
|
18,228
|
|
|
|
18,325
|
|
|
|
|
|
|
|
|
|
|
Cash flows from investing activities:
|
|
|
|
|
|
|
|
|
Purchases of available-for-sale mortgage-backed securities
|
|
|
(22,681
|
)
|
|
|
(17,190
|
)
|
Purchases of trading mortgage-backed securities
|
|
|
(602,264
|
)
|
|
|
(663,542
|
)
|
Proceeds from sales of available-for-sale mortgage-backed securities
|
|
|
985
|
|
|
|
79,211
|
|
Proceeds from sales of trading mortgage-backed securities
|
|
|
288,950
|
|
|
|
176,278
|
|
Receipt of principal payments on available-for-sale mortgage-backed securities
|
|
|
12,155
|
|
|
|
11,175
|
|
Receipt of principal payments on trading mortgage-backed securities
|
|
|
52,702
|
|
|
|
24,760
|
|
Payments for purchased securities payable
|
|
|
(15,820
|
)
|
|
|
(2,555
|
)
|
Proceeds from sold securities receivable
|
|
|
41,321
|
|
|
|
—
|
|
Payments for derivatives and deposits, net
|
|
|
(26,926
|
)
|
|
|
(69,851
|
)
|
Other
|
|
|
(5,706
|
)
|
|
|
3,949
|
|
Net cash used in investing activities
|
|
|
(277,284
|
)
|
|
|
(457,765
|
)
|
|
|
|
|
|
|
|
|
|
Cash flows from financing activities:
|
|
|
|
|
|
|
|
|
Proceeds from repurchase agreements, net
|
|
|
219,079
|
|
|
|
465,766
|
|
Proceeds from stock issuance
|
|
|
129,367
|
|
|
|
—
|
|
Dividends paid
|
|
|
(23,670
|
)
|
|
|
(17,244
|
)
|
Repayments of short-term debt
|
|
|
—
|
|
|
|
(970
|
)
|
Repurchase of common stock
|
|
|
—
|
|
|
|
(229
|
)
|
Net cash provided by financing activities
|
|
|
324,776
|
|
|
|
447,323
|
|
|
|
|
|
|
|
|
|
|
Net increase in cash and cash equivalents
|
|
|
65,720
|
|
|
|
7,883
|
|
Cash and cash equivalents, beginning of period
|
|
|
20,018
|
|
|
|
12,412
|
|
Cash and cash equivalents, end of period
|
|
$
|
85,738
|
|
|
$
|
20,295
|
|
|
|
|
|
|
|
|
|
|
Supplemental cash flow information
|
|
|
|
|
|
|
|
|
Cash payments for interest
|
|
$
|
3,284
|
|
|
$
|
1,585
|
|
Cash payments for taxes
|
|
$
|
545
|
|
|
$
|
538
|
|
1.
|
Basis of Presentation:
|
2.
|
Financial Instruments:
|
Level 1 Inputs—
|
Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company;
|
Level 2 Inputs—
|
Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
|
Level 3 Inputs—
|
Unobservable inputs for the asset or liability, including significant assumptions of the Company and other market participants.
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Carrying
Amount
|
|
|
Estimated
Fair Value
|
|
|
Carrying
Amount
|
|
|
Estimated
Fair Value
|
|
|||||
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash and cash equivalents
|
|
$
|
85,738
|
|
|
$
|
85,738
|
|
|
$
|
20,018
|
|
|
$
|
20,018
|
|
Interest receivable
|
|
|
2,977
|
|
|
|
2,977
|
|
|
|
2,366
|
|
|
|
2,366
|
|
Sold securities receivable
|
|
|
12,212
|
|
|
|
12,212
|
|
|
|
41,321
|
|
|
|
41,321
|
|
Other receivables
|
|
|
501
|
|
|
|
501
|
|
|
|
11
|
|
|
|
11
|
|
MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
1,198,789
|
|
|
|
1,198,789
|
|
|
|
637,011
|
|
|
|
637,011
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,017
|
|
|
|
8,017
|
|
|
|
9,311
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
187,940
|
|
|
|
187,940
|
|
|
|
170,116
|
|
|
|
170,116
|
|
Derivative assets
|
|
|
673
|
|
|
|
673
|
|
|
|
504
|
|
|
|
504
|
|
Other investments
|
|
|
2,792
|
|
|
|
2,792
|
|
|
|
2,946
|
|
|
|
2,946
|
|
Deposits
|
|
|
95,900
|
|
|
|
95,900
|
|
|
|
71,079
|
|
|
|
71,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
867,056
|
|
|
|
867,056
|
|
|
|
647,977
|
|
|
|
647,977
|
|
Purchased securities payable
|
|
|
291,495
|
|
|
|
291,495
|
|
|
|
15,820
|
|
|
|
15,820
|
|
Interest payable
|
|
|
402
|
|
|
|
402
|
|
|
|
504
|
|
|
|
504
|
|
Long-term debt
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
15,000
|
|
Derivative liabilities
|
|
|
89,027
|
|
|
|
89,027
|
|
|
|
63,024
|
|
|
|
63,024
|
|
Accounts payable, accrued expenses and other liabilities
|
|
|
17,124
|
|
|
|
17,124
|
|
|
|
16,401
|
|
|
|
16,401
|
|
|
September 30, 2012
|
|
||||||||||||||
|
Total
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|||||
MBS, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency-backed MBS
|
|
$
|
1,198,697
|
|
|
$
|
—
|
|
|
$
|
1,198,697
|
|
|
$
|
—
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
92
|
|
|
|
—
|
|
|
|
92
|
|
|
|
—
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,017
|
|
|
|
—
|
|
|
|
—
|
|
|
|
8,017
|
|
Re-REMIC securities
|
|
|
187,940
|
|
|
|
—
|
|
|
|
—
|
|
|
|
187,940
|
|
Total available-for-sale
|
|
|
196,049
|
|
|
|
—
|
|
|
|
92
|
|
|
|
195,957
|
|
Total MBS
|
|
|
1,394,746
|
|
|
|
—
|
|
|
|
1,198,789
|
|
|
|
195,957
|
|
Derivative assets, at fair value
|
|
|
673
|
|
|
|
—
|
|
|
|
673
|
|
|
|
—
|
|
Derivative liabilities, at fair value
|
|
|
(89,027
|
)
|
|
|
(88,855
|
)
|
|
|
(172
|
)
|
|
|
—
|
|
Interest-only MBS, at fair value
|
|
|
859
|
|
|
|
—
|
|
|
|
—
|
|
|
|
859
|
|
Total
|
|
$
|
1,307,251
|
|
|
$
|
(88,855
|
)
|
|
$
|
1,199,290
|
|
|
$
|
196,816
|
|
|
|
December 31, 2011
|
|
|||||||||||||
|
|
Total
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
||||
MBS, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency-backed MBS
|
|
$
|
636,872
|
|
|
$
|
—
|
|
|
$
|
636,872
|
|
|
$
|
—
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
139
|
|
|
|
—
|
|
|
|
139
|
|
|
|
—
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
9,311
|
|
|
|
—
|
|
|
|
—
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
170,116
|
|
|
|
—
|
|
|
|
—
|
|
|
|
170,116
|
|
Total available-for-sale
|
|
|
179,566
|
|
|
|
—
|
|
|
|
139
|
|
|
|
179,427
|
|
Total MBS
|
|
|
816,438
|
|
|
|
—
|
|
|
|
637,011
|
|
|
|
179,427
|
|
Derivative assets, at fair value
|
|
|
504
|
|
|
|
—
|
|
|
|
504
|
|
|
|
—
|
|
Derivative liabilities, at fair value
|
|
|
(63,024
|
)
|
|
|
(63,024
|
)
|
|
|
—
|
|
|
|
—
|
|
Interest-only MBS, at fair value
|
|
|
1,060
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,060
|
|
Total
|
|
$
|
754,978
|
|
|
$
|
(63,024
|
)
|
|
$
|
637,515
|
|
|
$
|
180,487
|
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|||||
Discount rate
|
|
|
6.80
|
%
|
|
|
8.59
|
%
|
|
|
7.00
|
%
|
|
|
8.75
|
%
|
Default rate
|
|
|
9.30
|
%
|
|
|
5.16
|
%
|
|
|
10.30
|
%
|
|
|
5.55
|
%
|
Loss severity rate
|
|
|
57.50
|
%
|
|
|
44.66
|
%
|
|
|
60.00
|
%
|
|
|
43.06
|
%
|
Prepayment rate
|
|
|
16.30
|
%
|
|
|
14.62
|
%
|
|
|
17.30
|
%
|
|
|
15.20
|
%
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|||||
Discount rate
|
|
|
6.80
|
%
|
|
|
7.15 – 13.73
|
%
|
|
|
7.00
|
%
|
|
|
7.45 – 13.73
|
%
|
Default rate
|
|
|
9.30
|
%
|
|
|
1.75 – 11.00
|
%
|
|
|
10.30
|
%
|
|
|
2.10 – 13.00
|
%
|
Loss severity rate
|
|
|
57.50
|
%
|
|
|
28.21 – 57.50
|
%
|
|
|
60.00
|
%
|
|
|
28.18 – 57.50
|
%
|
Prepayment rate
|
|
|
16.30
|
%
|
|
|
7.75 – 21.05
|
%
|
|
|
17.30
|
%
|
|
|
9.60 – 21.00
|
%
|
|
Three Months Ended September 30, 2012
|
|
||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
||||
Beginning balance, July 1, 2012
|
|
$
|
8,498
|
|
|
$
|
164,450
|
|
|
$
|
172,948
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
(1,914
|
)
|
|
|
(4,937
|
)
|
|
|
(6,851
|
)
|
Included in other comprehensive income
|
|
|
1,423
|
|
|
1,628
|
|
|
|
3,051
|
|
|
Purchases
|
|
|
—
|
|
|
|
26,686
|
|
|
|
26,686
|
|
Sales
|
|
|
—
|
|
|
|
(985
|
)
|
|
|
(985
|
)
|
Payments, net
|
|
|
(342
|
)
|
|
|
(4,476
|
)
|
|
|
(4,818
|
)
|
Accretion of discount
|
|
|
352
|
|
|
|
5,574
|
|
|
|
5,926
|
|
Ending balance, September 30, 2012
|
|
$
|
8,017
|
|
|
$
|
187,940
|
|
|
$
|
195,957
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
(1,914
|
)
|
|
$
|
(4,986
|
)
|
|
$
|
(6,900
|
)
|
|
|
Three Months Ended September 30, 2011
|
|
|||||||||
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
|||
Beginning balance, July 1, 2011
|
|
$
|
10,573
|
|
|
$
|
183,780
|
|
|
$
|
194,353
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
—
|
|
|
|
987
|
|
|
|
987
|
|
Included in other comprehensive income
|
|
|
(421
|
)
|
|
|
(5,895
|
)
|
|
|
(6,316
|
)
|
Purchases
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Sales
|
|
|
—
|
|
|
(5,917
|
)
|
|
|
(5,917
|
)
|
|
Payments, net
|
|
|
(333
|
)
|
|
|
(2,745
|
)
|
|
|
(3,078
|
)
|
Accretion of discount
|
|
|
134
|
|
|
|
3,203
|
|
|
|
3,337
|
|
Ending balance, September 30, 2011
|
|
$
|
9,953
|
|
|
$
|
173,413
|
|
|
$
|
183,366
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Nine Months Ended September 30, 2012
|
|
||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
||||
Beginning balance, January 1, 2012
|
|
$
|
9,311
|
|
|
$
|
170,116
|
|
|
$
|
179,427
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
(1,914
|
)
|
|
|
(9,468
|
)
|
|
|
(11,382
|
)
|
Included in other comprehensive income
|
|
|
742
|
|
|
(2,145
|
)
|
|
|
(1,403
|
)
|
|
Purchases
|
|
|
—
|
|
|
|
27,156
|
|
|
|
27,156
|
|
Sales
|
|
|
—
|
|
|
|
(985
|
)
|
|
|
(985
|
)
|
Payments, net
|
|
|
(1,181
|
)
|
|
|
(14,291
|
)
|
|
|
(15,472
|
)
|
Accretion of discount
|
|
|
1,059
|
|
|
|
17,557
|
|
|
|
18,616
|
|
Ending balance, September 30, 2012
|
|
$
|
8,017
|
|
|
$
|
187,940
|
|
|
$
|
195,957
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
(1,914
|
)
|
|
$
|
(9,517
|
)
|
|
$
|
(11,431
|
)
|
|
Nine Months Ended September 30, 2011
|
|
||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
||||
Beginning balance, January 1, 2011
|
|
$
|
51,038
|
|
|
$
|
201,697
|
|
|
$
|
252,735
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
3,525
|
|
|
|
9,615
|
|
|
|
13,140
|
|
Included in other comprehensive income
|
|
|
(6,503
|
)
|
|
|
(12,953
|
)
|
|
|
(19,456
|
)
|
Purchases
|
|
|
330
|
|
|
|
16,860
|
|
|
|
17,190
|
|
Sales
|
|
|
(37,229
|
)
|
|
|
(41,983
|
)
|
|
|
(79,212
|
)
|
Payments, net
|
|
|
(2,128
|
)
|
|
|
(9,047
|
)
|
|
|
(11,175
|
)
|
Accretion of discount
|
|
|
920
|
|
|
|
9,224
|
|
|
|
10,144
|
|
Ending balance, September 30, 2011
|
|
$
|
9,953
|
|
|
$
|
173,413
|
|
|
$
|
183,366
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Other Loss, Investment Loss, net
|
|
||||||||||||||
|
Three Months Ended September 30,
|
|
|
Nine Months Ended September 30,
|
|
|||||||||||
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
|||||
Total gains included in earnings for the period
|
|
$
|
(6,851
|
)
|
|
$
|
987
|
|
|
$
|
(11,382
|
)
|
|
$
|
13,140
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains relating to assets still held at reporting date
|
|
$
|
(6,900
|
)
|
|
$
|
—
|
|
|
$
|
(11,431
|
)
|
|
$
|
—
|
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|||||||||||||||||||||||||||||||||
|
Fair
Value
|
|
|
Net
Unamortized
Premium
(Discount)
|
|
|
Percent
of
Total
Fair
Value
|
|
|
Weighted
Average
Life
|
|
|
Weighted
Average
Rating(3)
|
|
|
Fair
Value
|
|
|
Net
Unamortized
Premium
(Discount)
|
|
|
Percent
of
Total
Fair
Value
|
|
|
Weighted
Average
Life
|
|
Weighted
Average
Rating(3)
|
||||||||||
Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fannie Mae
|
|
$
|
856,290
|
|
|
$
|
—
|
|
|
|
61.40
|
%
|
|
|
7.8
|
|
|
AAA
|
|
|
$
|
432,039
|
|
|
$
|
—
|
|
|
|
52.92
|
%
|
|
|
5.7
|
|
AAA
|
|
Freddie Mac
|
|
|
342,407
|
|
|
|
—
|
|
|
|
24.55
|
%
|
|
|
8.0
|
|
|
AAA
|
|
|
|
204,833
|
|
|
|
—
|
|
|
|
25.09
|
%
|
|
|
6.0
|
|
AAA
|
|
Available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
92
|
|
|
|
—
|
|
|
|
0.01
|
%
|
|
|
4.2
|
|
|
AAA
|
|
|
|
139
|
|
|
|
—
|
|
|
|
0.01
|
%
|
|
|
5.2
|
|
AAA
|
|
Private-label
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,017
|
|
|
|
(6,443
|
)
|
|
|
0.57
|
%
|
|
|
6.6
|
|
|
|
CC+
|
|
|
|
9,311
|
|
|
|
(5,196
|
)
|
|
|
1.14
|
%
|
|
|
5.0
|
|
CC+
|
Re-REMIC securities
|
|
|
187,940
|
|
|
|
(163,971
|
)
|
|
|
13.47
|
%
|
|
|
9.6
|
|
|
NR
|
|
|
|
170,116
|
|
|
|
(131,541
|
)
|
|
|
20.84
|
%
|
|
|
9.1
|
|
NR
|
|
|
$
|
1,394,746
|
|
|
$
|
(170,414
|
)
|
|
|
100.00
|
%
|
|
|
|
|
|
|
|
|
|
$
|
816,438
|
|
|
$
|
(136,737
|
)
|
|
|
100.00
|
%
|
|
|
|
|
|
(1)
|
The Company’s MBS portfolio was primarily comprised of fixed-rate MBS at September 30, 2012 and December 31, 2011. The weighted-average coupon of the MBS portfolio at September 30, 2012 and December 31, 2011 was 4.35% and 4.85%, respectively.
|
(2)
|
As of September 30, 2012 and December 31, 2011, the Company’s MBS investments with a fair value of $963,285 and $731,432, respectively, were pledged as collateral for repurchase agreements.
|
(3)
|
The securities issued by Fannie Mae and Freddie Mac are not rated by any rating agency; however, they are commonly thought of as having an implied rating of “AAA.” There is no assurance, particularly given the downgrade of the U.S.’s credit rating to “AA” by Standard & Poors during the quarter ended September 30, 2011, that these securities would receive such a rating if they were ever rated by a rating agency. The weighted-average rating of the Company’s private-label senior securities is calculated based on face value of the securities.
|
|
|
Three Months Ended September 30,
|
|
|
Nine Months Ended September 30,
|
|
||||||||||
|
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
||||
Beginning balance
|
|
$
|
180,201
|
|
|
$
|
235,467
|
|
|
$
|
194,619
|
|
|
$
|
316,029
|
|
Accretion of discount
|
|
|
(5,926
|
)
|
|
|
(6,263
|
)
|
|
|
(18,617
|
)
|
|
|
(20,927
|
)
|
Reclassifications, net
|
|
|
1,746
|
|
|
|
(20,288
|
)
|
|
|
(1,731
|
)
|
|
|
(43,635
|
)
|
Acquisitions
|
|
|
38,721
|
|
|
|
—
|
|
|
|
40,471
|
|
|
|
24,163
|
|
Sales
|
|
|
(92
|
)
|
|
|
(5,086
|
)
|
|
|
(92
|
)
|
|
|
(71,800
|
)
|
Ending balance
|
|
$
|
214,650
|
|
|
$
|
203,830
|
|
|
$
|
214,650
|
|
|
$
|
203,830
|
|
|
Three Months Ended September 30,
|
|
|
Nine Months Ended September 30,
|
|
|||||||||||
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
|||||
Contractually required payments receivable
|
|
$
|
95,073
|
|
|
$
|
—
|
|
|
$
|
97,292
|
|
|
$
|
47,228
|
|
Cash flows expected to be collected
|
|
|
65,341
|
|
|
|
—
|
|
|
|
67,560
|
|
|
|
43,909
|
|
Basis in acquired securities
|
|
|
26,620
|
|
|
|
—
|
|
|
|
27,089
|
|
|
|
19,745
|
|
|
September 30, 2012
|
|
||||||||||||||
|
Amortized
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Cost/
|
|
|
Unrealized
|
|
|
|
|
||||||||
|
Cost Basis(1)
|
|
|
Gains
|
|
|
Losses
|
|
|
Fair Value
|
|
|||||
Agency-backed MBS
|
|
$
|
84
|
|
|
$
|
8
|
|
|
$
|
—
|
|
|
$
|
92
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
6,361
|
|
|
|
1,656
|
|
|
|
—
|
|
|
|
8,017
|
|
Re-REMIC securities
|
|
|
152,629
|
|
|
|
35,311
|
|
|
|
—
|
|
|
|
187,940
|
|
Total
|
|
$
|
159,074
|
|
|
$
|
36,975
|
|
|
$
|
—
|
|
|
$
|
196,049
|
|
(1)
|
The amortized cost of MBS includes unamortized net discounts of $170,414 at September 30, 2012.
|
|
December 31, 2011
|
|
||||||||||||||
|
Amortized
|
|
|
|
|
|
|
|
|
|
|
|||||
|
Cost/
|
|
|
Unrealized
|
|
|
|
|
||||||||
|
Cost Basis(1)
|
|
|
Gains
|
|
|
Losses
|
|
|
Fair Value
|
|
|||||
Agency-backed MBS
|
|
$
|
128
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
139
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,397
|
|
|
|
914
|
|
|
|
—
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
132,661
|
|
|
|
37,455
|
|
|
|
—
|
|
|
|
170,116
|
|
Total
|
|
$
|
141,186
|
|
|
$
|
38,380
|
|
|
$
|
—
|
|
|
$
|
179,566
|
|
(1)
|
The amortized cost of MBS includes unamortized net discounts of $136,737 at December 31, 2011.
|
|
|
Three Months Ended September 30,
|
|
|
Nine Months Ended September 30,
|
|
||||||||||||||||||||||||||
|
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
||||||||||||||||||||
|
|
Agency-
Backed
MBS
|
|
|
Private-
Label
MBS
|
|
|
Agency-
Backed
MBS
|
|
|
Private-
Label
MBS
|
|
|
Agency-
Backed
MBS
|
|
|
Private-
Label
MBS
|
|
|
Agency-
Backed
MBS
|
|
|
Private-
Label
MBS
|
|
||||||||
Proceeds from sales
|
|
$
|
189,095
|
|
|
$
|
985
|
|
|
$
|
—
|
|
|
$
|
5,917
|
|
|
$
|
301,223
|
|
|
$
|
985
|
|
|
$
|
176,278
|
|
|
$
|
79,211
|
|
Gross gains
|
|
|
1,624
|
|
|
|
49
|
|
|
|
—
|
|
|
|
987
|
|
|
|
4,041
|
|
|
|
49
|
|
|
|
828
|
|
|
|
13,140
|
|
Gross losses
|
|
|
106
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
251
|
|
|
|
—
|
|
|
|
389
|
|
|
|
—
|
|
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
||
Interest-only MBS
|
|
$
|
859
|
|
|
$
|
1,060
|
|
Non-public equity securities
|
|
|
975
|
|
|
|
975
|
|
Investment funds
|
|
|
958
|
|
|
|
911
|
|
Total other investments
|
|
$
|
2,792
|
|
|
$
|
2,946
|
|
3.
|
Borrowings:
|
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
||
Outstanding balance
|
|
$
|
867,056
|
|
|
$
|
647,977
|
|
Value of assets pledged as collateral
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
886,903
|
|
|
|
653,322
|
|
Private-label MBS
|
|
|
76,382
|
|
|
|
78,110
|
|
Weighted-average rate
|
|
|
0.49
|
%
|
|
|
0.49
|
%
|
Weighted-average term to maturity
|
|
11.8 days
|
|
|
13.1 days
|
|
|
|
September 30, 2012
|
|
|
September 30, 2011
|
|
||
Weighted-average outstanding balance during the three months ended
|
|
$
|
926,746
|
|
|
$
|
649,755
|
|
Weighted-average rate during the three months ended
|
|
|
0.48
|
%
|
|
|
0.33
|
%
|
Weighted-average outstanding balance during the nine months ended
|
|
$
|
821,625
|
|
|
$
|
529,810
|
|
Weighted-average rate during the nine months ended
|
|
|
0.45
|
%
|
|
|
0.33
|
%
|
4.
|
Derivative Financial Instruments and Hedging Activities:
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Notional Amount
|
|
|
Fair Value
|
|
|
Notional Amount
|
|
|
Fair Value
|
|
|||||
No hedge designation
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Eurodollar futures(1)
|
|
$
|
14,967,000
|
|
|
$
|
(88,855
|
)
|
|
$
|
12,157,000
|
|
|
$
|
(62,556
|
)
|
10-year U.S. Treasury note futures
|
|
|
—
|
|
|
|
—
|
|
|
|
39,700
|
|
|
|
(468
|
)
|
Commitment to purchase MBS(2)
|
|
|
80,000
|
|
|
|
673
|
|
|
|
75,000
|
|
|
|
504
|
|
Commitment to sell MBS(3)
|
|
|
50,000
|
|
|
|
(172
|
)
|
|
|
—
|
|
|
|
—
|
|
|
(1)
|
The $14,967,000 total notional amount of Eurodollar futures contracts as of September 30, 2012 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between 2012 and 2017 and have a lifetime weighted-average rate of 3.18% as compared to a lifetime weighted-average market rate of 0.80%. As of September 30, 2012, the Company maintained $95,900 as a deposit and margin against the open Eurodollar futures contracts.
|
|
(2)
|
The $80,000 total notional amount of commitment to purchase MBS as of September 30, 2012 represents forward commitments to purchase fixed-rate MBS securities with settlement dates in the three months ending December 31, 2012.
|
|
(3)
|
The $50,000 total notional amount of commitment to sell MBS as of September 30, 2012 represents forward commitments to sell fixed-rate MBS securities with settlement dates in the three months ending December 31, 2012.
|
5.
|
Income Taxes:
|
6.
|
Earnings Per Share:
|
|
Three Months Ended September 30,
|
|
||||||||||||||
(Shares in thousands)
|
|
2012
|
|
|
2011
|
|
||||||||||
|
Basic
|
|
|
Diluted
|
|
|
Basic
|
|
|
Diluted
|
|
|||||
Weighted-average shares outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Common stock
|
|
|
9,977
|
|
|
|
9,977
|
|
|
|
7,748
|
|
|
|
7,748
|
|
Stock options, performance share units, and unvested restricted stock
|
|
|
—
|
|
|
|
64
|
|
|
|
—
|
|
|
|
—
|
|
Weighted-average common and common equivalent shares outstanding
|
|
|
9,977
|
|
|
|
10,041
|
|
|
|
7,748
|
|
|
|
7,748
|
|
Net income (loss) applicable to common stock
|
|
$
|
3,123
|
|
|
$
|
3,123
|
|
|
$
|
(11,643
|
)
|
|
$
|
(11,643
|
)
|
Earnings per common share
|
|
$
|
0.31
|
|
|
$
|
0.31
|
|
|
$
|
(1.50
|
)
|
|
$
|
(1.50
|
)
|
|
Nine Months Ended September 30,
|
|
||||||||||||||
(Shares in thousands)
|
|
2012
|
|
|
2011
|
|
||||||||||
|
Basic
|
|
|
Diluted
|
|
|
Basic
|
|
|
Diluted
|
|
|||||
Weighted-average shares outstanding
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Common stock
|
|
|
9,192
|
|
|
|
9,192
|
|
|
|
7,711
|
|
|
|
7,711
|
|
Stock options, performance share units, and unvested restricted stock
|
|
|
—
|
|
|
|
27
|
|
|
|
—
|
|
|
|
26
|
|
Weighted-average common and common equivalent shares outstanding
|
|
|
9,192
|
|
|
|
9,219
|
|
|
|
7,711
|
|
|
|
7,737
|
|
Net income applicable to common stock
|
|
$
|
16,029
|
|
|
$
|
16,029
|
|
|
$
|
8,233
|
|
|
$
|
8,233
|
|
Earnings per common share
|
|
$
|
1.74
|
|
|
$
|
1.74
|
|
|
$
|
1.07
|
|
|
$
|
1.06
|
|
7.
|
Equity:
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
September 30
|
|
$
|
0.875
|
|
September 13
|
September 28
|
October 31
|
|||
June 30
|
0.875
|
June 15
|
June 29
|
July 31
|
||||||
March 31
|
|
|
0.875
|
|
March 16
|
March 26
|
April 30
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.875
|
|
December 21
|
December 31
|
January 31, 2012
|
|||
September 30
|
|
|
0.875
|
|
September 19
|
September 30
|
October 31
|
|||
June 30
|
|
|
0.875
|
|
June 23
|
July 5
|
July 29
|
|||
March 31
|
|
|
0.750
|
|
March 24
|
April 4
|
April 29
|
|
Three Months Ended September 30,
|
|
|
Nine Months Ended September 30,
|
|
|||||||||||
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
|||||
Shares granted
|
|
|
25,500
|
|
|
|
—
|
|
|
|
25,500
|
|
|
|
14,000
|
|
Weight-average share price
|
|
$
|
22.99
|
|
|
$
|
—
|
|
|
$
|
22.99
|
|
|
$
|
27.66
|
|
Compensation expense recognized during the period
|
|
$
|
75
|
|
|
$
|
67
|
|
|
$
|
161
|
|
|
$
|
509
|
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||
Restricted Class A shares outstanding, unvested
|
|
|
34,835
|
|
|
|
15,206
|
|
Unrecognized compensation cost related to unvested shares
|
|
$
|
624
|
|
|
$
|
200
|
|
Weighted-average vesting period remaining
|
|
2.48 years
|
|
|
2.02 years
|
|
|
Three Months Ended
September 30,
|
|
|
Nine Months Ended
September 30,
|
|
|||||||||||
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
|||||
Shares repurchased
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
8,910
|
|
Total cost
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
229
|
|
Average price
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
25.70
|
|
|
●
|
conditions in the global financial markets and economic conditions;
|
|
●
|
changes in interest rates and prepayment rates;
|
|
●
|
actions taken by the U.S. Federal Reserve and the U.S. Treasury;
|
|
●
|
changes in laws and regulations and industry practices;
|
|
●
|
actions taken by ratings agencies with respect to the U.S.’s credit rating; and
|
|
●
|
other market developments.
|
|
September 30, 2012
|
|
||||||
|
Three
Months
Ended
|
|
|
Nine
Months
Ended
|
|
|||
GAAP net income
|
|
$
|
3,123
|
|
|
$
|
16,029
|
|
Adjustments
|
|
|
|
|
|
|
|
|
Adjusted expenses(1)
|
|
|
(898
|
)
|
|
|
1,425
|
|
Stock compensation
|
|
|
279
|
|
|
|
580
|
|
Net unrealized mark-to-market loss on trading MBS and hedge instruments
|
|
|
5,843
|
|
|
|
9,602
|
|
Other-than-temporary impairment charges
|
|
|
6,900
|
|
|
|
11,431
|
|
Adjusted interest related to purchase discount accretion(2)
|
|
|
(1,797
|
)
|
|
|
(5,379
|
)
|
Non-GAAP core operating income
|
|
$
|
13,450
|
|
|
$
|
33,688
|
|
(1)
|
Adjusted expenses reflect certain professional fees, litigation recovery and income taxes that are not considered representative of routine or core operating-related activities of our company.
|
(2)
|
Adjusted interest related to purchase discount accretion represents purchase discount accretion in excess of principal repayment in excess of proportional share of invested capital.
|
|
Three Months Ended
September 30,
|
|
|
Nine Months Ended
September 30,
|
|
|||||||||||
(Dollars in thousands)
|
|
2012
|
|
|
2011
|
|
|
2012
|
|
|
2011
|
|
||||
Net interest income
|
|
$
|
14,271
|
|
|
$
|
12,404
|
|
|
$
|
41,731
|
|
|
$
|
37,137
|
|
Other loss, net
|
|
|
(5,666
|
)
|
|
|
(20,199
|
)
|
|
|
(11,543
|
)
|
|
|
(17,466
|
)
|
Other expenses
|
|
|
5,032
|
|
|
|
3,589
|
|
|
|
12,888
|
|
|
|
10,362
|
|
Income (loss) before income taxes
|
|
|
3,573
|
|
|
|
(11,384
|
)
|
|
|
17,300
|
|
|
|
9,309
|
|
Income tax provision
|
|
|
450
|
|
|
|
259
|
|
|
|
1,271
|
|
|
|
1,076
|
|
Net income (loss)
|
|
$
|
3,123
|
|
|
$
|
(11,643
|
)
|
|
$
|
16,029
|
|
|
$
|
8,233
|
|
|
Face Amount
|
|
|
Fair Value
|
|
|||
Trading
|
|
|
|
|
|
|
||
Agency-backed MBS
|
|
|
|
|
|
|
||
Fannie Mae
|
|
$
|
775,851
|
|
|
$
|
856,290
|
|
Freddie Mac
|
|
|
310,661
|
|
|
|
342,407
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
84
|
|
|
|
92
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
12,804
|
|
|
|
8,017
|
|
Re-REMIC securities
|
|
|
316,601
|
|
|
|
187,940
|
|
Other mortgage related assets
|
|
|
102,985
|
|
|
|
859
|
|
Total
|
|
$
|
1,518,986
|
|
|
$
|
1,395,605
|
|
|
Three Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Interest income
|
|
$
|
15,519
|
|
|
$
|
13,061
|
|
Interest expense
|
|
|
1,248
|
|
|
|
657
|
|
Net interest income
|
|
|
14,271
|
|
|
|
12,404
|
|
Other loss, net
|
|
|
|
|
|
|
|
|
Investment loss, net
|
|
|
(5,663
|
)
|
|
|
(20,195
|
)
|
Other loss
|
|
|
(3
|
)
|
|
|
(4
|
)
|
Total other loss, net
|
|
|
(5,666
|
)
|
|
|
(20,199
|
)
|
Other expenses
|
|
|
5,032
|
|
|
|
3,589
|
|
Income (loss) before income taxes
|
|
|
3,573
|
|
|
|
(11,384
|
)
|
Income tax provision
|
|
|
450
|
|
|
|
259
|
|
Net income (loss)
|
|
$
|
3,123
|
|
|
$
|
(11,643
|
)
|
|
●
|
Net interest income increased $1.9 million (15.3%) from $12.4 million for the three months ended September 30, 2011 to $14.3 million for the three months ended September 30, 2012. The increase is the result of the increase in our investable capital on a leveraged basis to our MBS portfolio, primarily from the deployment of capital raised from our public offering of 2,018,250 shares of Class A common stock, including 263,250 shares of Class A common stock granted to the underwriters to cover the over-allotments, during the three months ended March 31, 2012, the net proceeds of which were $40.2 million after deducting underwriters’ discounts and commissions and expenses..
|
|
●
|
Investment loss, net, decreased $14.5 million (71.8%) from a loss of $20.2 million for the three months ended September 30, 2011 to a loss of $5.7 million for the three months ended September 30, 2012. See below for additional discussion on the results of our principal investing portfolio.
|
|
Three Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Net interest income
|
|
$
|
14,394
|
|
|
$
|
12,519
|
|
Investment loss, net
|
|
|
(5,663
|
)
|
|
|
(20,195
|
)
|
|
Three Months Ended September 30,
|
|
||||||||||||||||||||||
|
2012
|
|
|
2011
|
|
|||||||||||||||||||
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|||||||
Agency-backed MBS
|
|
$
|
932,103
|
|
|
$
|
9,564
|
|
|
|
4.10
|
%
|
|
$
|
640,932
|
|
|
$
|
7,199
|
|
|
|
4.49
|
%
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,243
|
|
|
|
352
|
|
|
|
17.08
|
%
|
|
|
8,604
|
|
|
|
310
|
|
|
|
14.44
|
%
|
Re-REMIC securities
|
|
|
139,150
|
|
|
|
5,574
|
|
|
|
16.02
|
%
|
|
|
132,829
|
|
|
|
5,516
|
|
|
|
16.61
|
%
|
Other investments
|
|
|
1,040
|
|
|
|
29
|
|
|
|
11.06
|
%
|
|
|
1,155
|
|
|
|
36
|
|
|
|
12.31
|
%
|
|
$
|
1,080,536
|
|
|
|
15,519
|
|
|
|
5.74
|
%
|
|
$
|
783,520
|
|
|
|
13,061
|
|
|
|
6.69
|
%
|
|
Repurchase agreements
|
|
$
|
926,746
|
|
|
|
(1,125
|
)
|
|
|
(0.48
|
)%
|
|
$
|
649,755
|
|
|
|
(542
|
)
|
|
|
(0.33
|
)%
|
Net interest income/spread
|
|
|
|
|
|
$
|
14,394
|
|
|
|
5.26
|
%
|
|
|
|
|
|
$
|
12,519
|
|
|
|
6.36
|
%
|
|
Three Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Realized gains on sale of available-for-sale investments, net
|
|
$
|
49
|
|
|
$
|
987
|
|
Available-for-sale and cost method securities – other-than-temporary impairment charges
|
|
|
(6,900
|
)
|
|
|
—
|
|
Gains on trading investments, net
|
|
|
10,627
|
|
|
|
15,855
|
|
Losses from derivative instruments, net
|
|
|
(10,972
|
)
|
|
|
(37,037
|
)
|
Other, net
|
|
|
1,533
|
|
|
—
|
|
|
Investment loss, net
|
|
$
|
(5,663
|
)
|
|
$
|
(20,195
|
)
|
|
Nine Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Interest income
|
|
$
|
44,913
|
|
|
$
|
38,818
|
|
Interest expense
|
|
|
3,182
|
|
|
|
1,681
|
|
Net interest income
|
|
|
41,731
|
|
|
|
37,137
|
|
Other loss, net
|
|
|
|
|
|
|
|
|
Investment loss, net
|
|
|
(11,532
|
)
|
|
|
(17,455
|
)
|
Other loss
|
|
|
(11
|
)
|
|
|
(11
|
)
|
Total other loss, net
|
|
|
(11,543
|
)
|
|
|
(17,466
|
)
|
Other expenses
|
|
|
12,888
|
|
|
|
10,362
|
|
Income before income taxes
|
|
|
17,300
|
|
|
|
9,309
|
|
Income tax provision
|
|
|
1,271
|
|
|
|
1,076
|
|
Net income
|
|
$
|
16,029
|
|
|
$
|
8,233
|
|
|
●
|
Net interest income increased $4.6 million (12.4%) from $37.1 million for the nine months ended September 30, 2011 to $41.7 million for the nine months ended September 30, 2012. The increase is the result of the increase in our investable capital on a leveraged basis to our MBS portfolio, primarily from the deployment of capital raised from our public offering during the three months ended March 31, 2012.
|
|
●
|
Investment loss, net, decreased $6.0 million from net investment loss of $17.5 million for the nine months ended September 30, 2011 to a net investment loss of $11.5 million for the nine months ended September 30, 2012. See below for additional discussion on the results of our principal investing portfolio.
|
|
Nine Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Net interest income
|
|
$
|
42,102
|
|
|
$
|
37,482
|
|
Investment loss, net
|
|
|
(11,532
|
)
|
|
|
(17,455
|
)
|
|
Nine Months Ended September 30,
|
|
||||||||||||||||||||||
|
2012
|
|
|
2011
|
|
|||||||||||||||||||
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|||||||
Agency-backed MBS
|
|
$
|
825,659
|
|
|
$
|
26,201
|
|
|
|
4.23
|
%
|
|
$
|
531,184
|
|
|
$
|
17,849
|
|
|
|
4.48
|
%
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,307
|
|
|
|
1,059
|
|
|
|
17.00
|
%
|
|
|
15,391
|
|
|
|
1,756
|
|
|
|
15.21
|
%
|
Re-REMIC securities
|
|
|
135,579
|
|
|
|
17,557
|
|
|
|
17.27
|
%
|
|
|
138,073
|
|
|
|
18,806
|
|
|
|
18.16
|
%
|
Other investments
|
|
|
1,065
|
|
|
|
95
|
|
|
|
11.85
|
%
|
|
|
2,190
|
|
|
|
242
|
|
|
|
14.76
|
%
|
|
$
|
970,610
|
|
|
|
44,912
|
|
|
|
6.17
|
%
|
|
$
|
686,838
|
|
|
|
38,653
|
|
|
|
7.54
|
%
|
|
Other(1)
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
|
|
|
165
|
|
|
|
|
|
|
|
|
|
|
|
44,913
|
|
|
|
|
|
|
|
|
|
|
|
38,818
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
821,625
|
|
|
|
(2,811
|
)
|
|
|
(0.45
|
)%
|
|
$
|
529,810
|
|
|
|
(1,336
|
)
|
|
|
(0.33
|
)%
|
Net interest income/spread
|
|
|
|
|
|
$
|
42,102
|
|
|
|
5.72
|
%
|
|
|
|
|
|
$
|
37,482
|
|
|
|
7.21
|
%
|
(1)
|
Includes interest income on cash and other miscellaneous interest-earning assets.
|
|
Nine Months Ended
September 30,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Realized gains on sale of available-for-sale investments, net
|
|
$
|
49
|
|
|
$
|
15,005
|
|
Available-for-sale and cost method securities – other-than-temporary impairment charges
|
|
|
(11,431
|
)
|
|
|
—
|
|
Gains on trading investments, net
|
|
|
26,414
|
|
|
|
28,778
|
|
Losses from derivative instruments, net
|
|
|
(27,966
|
)
|
|
|
(61,153
|
)
|
Other, net
|
|
|
1,402
|
|
|
(85
|
)
|
|
Investment loss, net
|
|
$
|
(11,532
|
)
|
|
$
|
(17,455
|
)
|
|
September 30, 2012
|
|
|
December 31, 2011
|
|
|||
Outstanding balance
|
|
$
|
867,056
|
|
|
$
|
647,977
|
|
Weighted-average rate
|
|
|
0.49
|
%
|
|
|
0.49
|
%
|
Weighted-average term to maturity
|
|
11.8 days
|
|
|
13.1 days
|
|
||
Maximum amount outstanding at any month-end during the period
|
|
$
|
974,901
|
|
|
$
|
659,459
|
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
|||
September 30
|
|
$
|
0.875
|
|
September 13
|
September 28
|
October 31
|
||
June 30
|
0.875
|
June 15
|
June 29
|
July 31
|
|||||
March 31
|
|
|
0.875
|
|
March 16
|
March 26
|
April 30
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
|||
December 31
|
|
$
|
0.875
|
|
December 21
|
December 31
|
January 31, 2012
|
||
September 30
|
|
|
0.875
|
|
September 19
|
September 30
|
October 31
|
||
June 30
|
|
|
0.875
|
|
June 23
|
July 5
|
July 29
|
||
March 31
|
|
|
0.750
|
|
March 24
|
April 4
|
April 29
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
Private-
Label
Securities
|
|
||||
Yield (% of amortized cost)
|
|
|
17.1
|
%
|
|
|
16.0
|
%
|
|
|
16.1
|
%
|
Average cost (% of face value)
|
|
|
61.7
|
%
|
|
|
47.2
|
%
|
|
|
47.8
|
%
|
Weighted-average coupon
|
|
|
2.9
|
%
|
|
|
4.9
|
%
|
|
|
4.9
|
%
|
Delinquencies greater than 60 plus days
|
|
|
35.6
|
%
|
|
|
18.2
|
%
|
|
|
18.8
|
%
|
Credit enhancement
|
|
|
0.6
|
%
|
|
|
4.2
|
%
|
|
|
4.1
|
%
|
Severity (three months average)
|
|
|
47.3
|
%
|
|
|
42.9
|
%
|
|
|
43.0
|
%
|
Constant prepayment rate (three months average)
|
|
|
16.2
|
%
|
|
|
19.9
|
%
|
|
|
19.7
|
%
|
September 30, 2012
|
||||||||||||||||||||||||||||||||||||
Value
|
Value
with
10%
Increase
in
Default
Rate
|
Percent
Change
|
Value
with 10%
Decrease
in
Default
Rate
|
Percent
Change
|
Value
with
10%
Increase
in
Loss
Severity
Rate
|
Percent
Change
|
Value
with 10%
Decrease
in
Loss
Severity
Rate
|
Percent
Change
|
||||||||||||||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
MBS
|
$ | 1,394,746 | $ | 1,390,145 | (0.33 | )% | $ | 1,399,499 | 0.34 | % | $ | 1,387,599 | (0.51 | )% | $ | 1,401,812 | 0.51 | % | ||||||||||||||||||
Other
|
201,040 | 201,040 | — | 201,040 | — | 201,040 | — | 201,040 | — | |||||||||||||||||||||||||||
Total assets
|
$ | 1,595,786 | $ | 1,591,185 | (0.29 | )% | $ | 1,600,539 | 0.30 | % | $ | 1,588,639 | (0.45 | )% | $ | 1,602,852 | 0.44 | % | ||||||||||||||||||
Liabilities
|
$ | 1,296,668 | $ | 1,296,668 | — | $ | 1,296,668 | — | $ | 1,296,668 | — | $ | 1,296,668 | — | ||||||||||||||||||||||
Equity
|
299,118 | 294,517 | (1.54 | )% | 303,871 | 1.59 | % | 291,971 | (2.39 | )% | 306,184 | 2.36 | % | |||||||||||||||||||||||
Total liabilities and equity
|
$ | 1,595,786 | $ | 1,591,185 | (0.29 | )% | $ | 1,600,539 | 0.30 | % | $ | 1,588,639 | (0.45 | )% | $ | 1,602,852 | 0.44 | % | ||||||||||||||||||
Book value per share
|
$ | 22.59 | $ | 22.24 | (1.54 | )% | $ | 22.95 | 1.59 | % | $ | 22.05 | (2.39 | )% | $ | 23.13 | 2.36 | % |
|
September 30, 2012
|
|
||||||||||||||||||
|
Value
|
|
|
Value
with 100
Basis Point
Increase in
Interest
Rates
|
|
|
Percent
Change
|
|
|
Value
with 100
Basis Point
Decrease in
Interest
Rates
|
|
|
Percent
Change
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
MBS
|
|
$
|
1,394,746
|
|
|
$
|
1,333,020
|
|
|
|
(4.43
|
)%
|
|
$
|
1,428,182
|
|
|
|
2.40
|
%
|
Derivative asset
|
|
|
673
|
|
|
|
(3,008
|
)
|
|
|
(546.95
|
)%
|
|
|
1,667
|
|
|
|
147.70
|
%
|
Other
|
|
|
200,367
|
|
|
|
200,367
|
|
|
|
—
|
|
|
|
200,367
|
|
|
|
—
|
|
Total assets
|
|
$
|
1,595,786
|
|
|
$
|
1,530,379
|
|
|
|
(4.10
|
)%
|
|
$
|
1,630,216
|
|
|
|
2.16
|
%
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
867,056
|
|
|
$
|
867,056
|
|
|
|
—
|
|
|
$
|
867,056
|
|
|
|
—
|
|
Derivative liability
|
|
|
89,027
|
|
|
|
49,563
|
|
|
|
(44.33
|
)%
|
|
|
126,864
|
|
|
|
42.50
|
%
|
Other
|
|
|
340,585
|
|
|
|
340,585
|
|
|
|
—
|
|
|
|
340,585
|
|
|
|
—
|
|
Total liabilities
|
|
|
1,296,668
|
|
|
|
1,257,204
|
|
|
|
(3.04
|
)%
|
|
|
1,334,505
|
|
|
|
2.92
|
%
|
Equity
|
|
|
299,118
|
|
|
|
273,175
|
|
|
|
(8.67
|
)%
|
|
|
295,711
|
|
|
|
(1.14
|
)%
|
Total liabilities and equity
|
|
$
|
1,595,786
|
|
|
$
|
1,530,379
|
|
|
|
(4.10
|
)%
|
|
$
|
1,630,216
|
|
|
|
2.16
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value per share
|
|
$
|
22.59
|
|
|
$
|
20.63
|
|
|
|
(8.67
|
)%
|
|
$
|
22.33
|
|
|
|
(1.14
|
)%
|
|
September 30, 2012
|
|
||||||||||||||||||
|
Value
|
|
|
Value with
10%
Increase
in Price
|
|
|
Percent
Change
|
|
|
Value with
10%
Decrease
in Price
|
|
|
Percent
Change
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Equity and cost method investments
|
|
$
|
1,933
|
|
|
$
|
2,126
|
|
|
|
10.00
|
%
|
|
$
|
1,740
|
|
|
|
(10.00
|
)%
|
Other
|
|
|
1,593,853
|
|
|
|
1,593,853
|
|
|
|
—
|
|
|
|
1,593,853
|
|
|
|
—
|
|
Total assets
|
|
$
|
1,595,786
|
|
|
$
|
1,595,979
|
|
|
|
0.01
|
%
|
|
$
|
1,595,593
|
|
|
|
(0.01
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
$
|
1,296,668
|
|
|
$
|
1,296,668
|
|
|
|
—
|
|
|
$
|
1,296,668
|
|
|
|
—
|
|
Equity
|
|
|
299,118
|
|
|
|
299,311
|
|
|
|
0.06
|
%
|
|
|
298,925
|
|
|
|
(0.06
|
)%
|
Total liabilities and equity
|
|
$
|
1,595,786
|
|
|
$
|
1,595,979
|
|
|
|
0.01
|
%
|
|
$
|
1,595,593
|
|
|
|
(0.01
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value per share
|
|
$
|
22.59
|
|
|
$
|
22.61
|
|
|
|
0.06
|
%
|
|
$
|
22.58
|
|
|
|
(0.06
|
)%
|
Item 4.
|
|
●
|
the availability and terms of, and our ability to deploy, capital and our ability to grow our business through a strategy focused on acquiring primarily residential mortgage-backed securities (MBS) that are either issued by U.S. government agencies or guaranteed as to principal and interest by U.S. government agencies or U.S. government sponsored agencies (agency-backed MBS), and MBS issued by private organizations (private-label MBS);
|
|
●
|
our ability to forecast our tax attributes, which are based upon various facts and assumptions, and our ability to protect and use our net operating losses (NOLs), and net capital losses (NCLs), to offset future taxable income and gains;
|
|
●
|
our investment, hedging and financing strategies and the success of these strategies;
|
|
●
|
the effect of changes in prepayment rates, interest rates and default rates on our portfolio;
|
|
●
|
the effect of governmental regulation and actions;
|
|
●
|
the outcome of contingencies, including pending legal and regulatory proceedings;
|
|
●
|
our ability to quantify and manage risk;
|
|
●
|
our ability to realize any reflation of our assets;
|
|
●
|
our liquidity;
|
|
●
|
our asset valuation policies;
|
|
●
|
our decisions with respect to, and ability to make, future dividends;
|
|
●
|
our ability to maintain our exclusion from the definition of “investment company” under the Investment Company Act of 1940, as amended (1940 Act); and
|
|
●
|
the effect of general economic conditions on our business.
|
|
●
|
effects of regulatory proceedings, litigation and contractual claims against us, our officers and our directors;
|
|
●
|
the overall environment for interest rates, changes in interest rates, interest rate spreads, the yield curve and prepayment rates;
|
|
●
|
current conditions and further adverse developments in the residential mortgage market and the overall economy;
|
|
●
|
potential risk attributable to our mortgage-related portfolios, including changes in fair value;
|
|
●
|
our use of leverage and our dependence on repurchase agreements and other short-term borrowings to finance our mortgage-related holdings;
|
|
●
|
the availability of certain short-term liquidity sources;
|
|
●
|
the federal conservatorship of the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) and related efforts, along with any changes in laws and regulations affecting the relationship between Fannie Mae and Freddie Mac and the federal government;
|
|
●
|
mortgage loan prepayment activity, modification programs and future legislative action;
|
|
●
|
changes in our acquisition, hedging and leverage strategies, changes in our asset allocation and changes in our operational policies, all of which may be changed by us without shareholder approval;
|
|
●
|
competition for investment opportunities, including competition from the U.S. Department of Treasury (U.S. Treasury) and the Federal Reserve, for investments in agency-backed MBS;
|
|
●
|
failure of sovereign or municipal entities to meet their debt obligations or a downgrade in the credit rating of such debt obligations;
|
|
●
|
fluctuating quarterly operating results;
|
|
●
|
changes in laws and regulations and industry practices that may adversely affect our business; and
|
|
●
|
volatility of the securities markets and activity in the secondary securities markets.
|
Item 1.
|
Item 1A.
|
Item 4.
|
Item 6.
|
Exhibit Number
|
|
Exhibit Title
|
3.1
|
|
Amended and Restated Articles of Incorporation of the Company, as amended (incorporated by reference to Exhibit 3.1 to the Company’s Quarterly Report on Form 10-Q filed on November 9, 2009).
|
|
|
|
3.2
|
|
Amended and Restated Bylaws of the Company, as amended (incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on July 28, 2011).
|
|
|
|
12.01
|
|
Computation of Ratio of Earnings to Fixed Charges.*
|
|
|
|
31.01
|
|
Certification of Chief Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended, adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
|
|
|
|
31.02
|
|
Certification of Chief Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended, adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
|
|
|
|
32.01
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
|
|
|
|
32.02
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
|
|
|
|
101.INS
|
|
INSTANCE DOCUMENT***
|
101.SCH
|
|
SCHEMA DOCUMENT***
|
101.CAL
|
|
CALCULATION LINKBASE DOCUMENT***
|
101.LAB
|
|
LABELS LINKBASE DOCUMENT***
|
101.PRE
|
|
PRESENTATION LINKBASE DOCUMENT***
|
101.DEF
|
|
DEFINITION LINKBASE DOCUMENT***
|
*
|
Filed herewith.
|
**
|
Furnished herewith.
|
***
|
Submitted electronically herewith. Attached as Exhibit 101 are the following materials from the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2012, formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Balance Sheets at September 30, 2012 and December 31, 2011; (ii) Consolidated Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2012 and 2011; (iii) Consolidated Statements of Changes in Equity for the Nine Months Ended September 30, 2012 and the Year Ended December 31, 2011; and (iv) Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2012 and 2011. Pursuant to Rule 406T of Regulation S-T this data is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections.
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ARLINGTON ASSET INVESTMENT CORP.
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By:
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/s/ KURT R. HARRINGTON
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Kurt R. Harrington
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Executive Vice President, Chief Financial Officer, and
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Chief Accounting Officer
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(Principal Financial Officer)
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Date: November 2, 2012
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Exhibit Number
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Exhibit Title
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3.1
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Amended and Restated Articles of Incorporation of the Company, as amended (incorporated by reference to Exhibit 3.1 to the Company’s Quarterly Report on Form 10-Q filed on November 9, 2009).
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3.2
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Amended and Restated Bylaws of the Company, as amended (incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K filed on July 28, 2011).
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Computation of Ratio of Earnings to Fixed Charges.*
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Certification of Chief Executive Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended, adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
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Certification of Chief Financial Officer pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934, as amended, adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.*
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Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
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Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.**
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101.INS
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INSTANCE DOCUMENT***
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101.SCH
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SCHEMA DOCUMENT***
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101.CAL
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CALCULATION LINKBASE DOCUMENT***
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101.LAB
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LABELS LINKBASE DOCUMENT***
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101.PRE
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PRESENTATION LINKBASE DOCUMENT***
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101.DEF
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DEFINITION LINKBASE DOCUMENT***
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*
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Filed herewith.
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**
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Furnished herewith.
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***
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Submitted electronically herewith. Attached as Exhibit 101 are the following materials from the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 2012, formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Balance Sheets at September 30, 2012 and December 31, 2011; (ii) Consolidated Statements of Comprehensive Income for the Three and Nine Months Ended September 30, 2012 and 2011; (iii) Consolidated Statements of Changes in Equity for the Nine Months Ended September 30, 2012 and the Year Ended December 31, 2011; and (iv) Consolidated Statements of Cash Flows for the Nine Months Ended September 30, 2012 and 2011. Pursuant to Rule 406T of Regulation S-T this data is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections.
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