|
FORM 10-Q
|
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
|
Maryland
|
001-34766
|
26-1908763
|
(State or other jurisdiction of incorporation or organization)
|
(Commission File Number)
|
(I.R.S. Employer Identification No.)
|
|
|
|
September 30, 2014
|
|
December 31, 2013
|
||||
Assets
|
|
|
|
|
||||
Cash
|
|
$
|
542,789
|
|
|
$
|
496,478
|
|
Cash collateral posted to counterparties
|
|
32,896
|
|
|
35,917
|
|
||
Agency Securities, available for sale, at fair value (including pledged securities of $13,253,117 and $13,832,482)
|
|
13,669,810
|
|
|
14,648,178
|
|
||
Receivable for unsettled sales (including pledged securities of $2,992,703 in 2014)
|
|
3,002,570
|
|
|
—
|
|
||
Derivatives, at fair value
|
|
223,479
|
|
|
508,988
|
|
||
Principal payments receivable
|
|
487
|
|
|
70
|
|
||
Accrued interest receivable
|
|
44,436
|
|
|
42,034
|
|
||
Prepaid and other assets
|
|
1,345
|
|
|
852
|
|
||
Total Assets
|
|
$
|
17,517,812
|
|
|
$
|
15,732,517
|
|
Liabilities and Stockholders’ Equity
|
|
|
|
|
||||
Liabilities:
|
|
|
|
|
||||
Repurchase agreements
|
|
$
|
15,455,085
|
|
|
$
|
13,151,504
|
|
Cash collateral posted by counterparties
|
|
137,321
|
|
|
387,845
|
|
||
Payable for unsettled purchases
|
|
—
|
|
|
159,159
|
|
||
Derivatives, at fair value
|
|
76,429
|
|
|
102,795
|
|
||
Accrued interest payable- repurchase agreements
|
|
9,564
|
|
|
6,629
|
|
||
Accounts payable and other accrued expenses
|
|
3,413
|
|
|
23,357
|
|
||
Total Liabilities
|
|
$
|
15,681,812
|
|
|
$
|
13,831,289
|
|
|
|
|
|
|
||||
Commitments and contingencies (Note 9)
|
|
|
|
|
||||
|
|
|
|
|
||||
Stockholders’ Equity:
|
|
|
|
|
||||
Preferred stock, $0.001 par value, 50,000 shares authorized;
|
|
|
|
|
||||
8.250% Series A Cumulative Preferred Stock; 2,181 issued and outstanding ($54,514 aggregate liquidation preference) at September 30, 2014 and December 31, 2013
|
|
2
|
|
|
2
|
|
||
7.875% Series B Cumulative Preferred Stock; 5,650 issued and outstanding ($141,250 aggregate liquidation preference) at September 30, 2014 and December 31, 2013
|
|
6
|
|
|
6
|
|
||
Common stock, $0.001 par value, 1,000,000 shares authorized, 357,275 and 357,613 shares issued and outstanding at September 30, 2014 and December 31, 2013
|
|
357
|
|
|
358
|
|
||
Additional paid-in capital
|
|
2,732,989
|
|
|
2,734,480
|
|
||
Accumulated deficit
|
|
(852,126
|
)
|
|
(643,138
|
)
|
||
Accumulated other comprehensive loss
|
|
(45,228
|
)
|
|
(190,480
|
)
|
||
Total Stockholders’ Equity
|
|
$
|
1,836,000
|
|
|
$
|
1,901,228
|
|
Total Liabilities and Stockholders’ Equity
|
|
$
|
17,517,812
|
|
|
$
|
15,732,517
|
|
|
|
For the Quarter
Ended |
|
For the Nine Months Ended
|
||||||||||||
|
|
September 30, 2014
|
|
September 30, 2013
|
|
September 30, 2014
|
|
September 30, 2013
|
||||||||
Interest income, net of amortization of premium on Agency Securities
|
|
$
|
107,481
|
|
|
$
|
112,418
|
|
|
$
|
344,455
|
|
|
$
|
384,215
|
|
Interest expense- repurchase agreements
|
|
(15,006
|
)
|
|
(17,899
|
)
|
|
(44,732
|
)
|
|
(66,969
|
)
|
||||
Interest expense- U.S. Treasury Securities sold short
|
|
(160
|
)
|
|
—
|
|
|
(4,423
|
)
|
|
—
|
|
||||
Net interest income
|
|
$
|
92,315
|
|
|
$
|
94,519
|
|
|
$
|
295,300
|
|
|
$
|
317,246
|
|
Other Income (Loss):
|
|
|
|
|
|
|
|
|
||||||||
Realized gain (loss) on sale of Agency Securities (reclassified from Other comprehensive income (loss))
|
|
(12,390
|
)
|
|
(300,960
|
)
|
|
68,646
|
|
|
(261,569
|
)
|
||||
Gain (loss) on short sale of U.S. Treasury Securities
|
|
3,086
|
|
|
35,255
|
|
|
(12,695
|
)
|
|
14,176
|
|
||||
Subtotal
|
|
$
|
(9,304
|
)
|
|
$
|
(265,705
|
)
|
|
$
|
55,951
|
|
|
$
|
(247,393
|
)
|
Realized loss on derivatives (1)
|
|
(34,655
|
)
|
|
(37,262
|
)
|
|
(80,891
|
)
|
|
(105,173
|
)
|
||||
Unrealized gain (loss) on derivatives
|
|
14,708
|
|
|
(11,821
|
)
|
|
(277,920
|
)
|
|
416,662
|
|
||||
Subtotal
|
|
$
|
(19,947
|
)
|
|
$
|
(49,083
|
)
|
|
$
|
(358,811
|
)
|
|
$
|
311,489
|
|
Total Other Income (Loss)
|
|
$
|
(29,251
|
)
|
|
$
|
(314,788
|
)
|
|
$
|
(302,860
|
)
|
|
$
|
64,096
|
|
Expenses:
|
|
|
|
|
|
|
|
|
||||||||
Management fee
|
|
6,963
|
|
|
6,483
|
|
|
20,893
|
|
|
20,985
|
|
||||
Professional fees
|
|
616
|
|
|
773
|
|
|
2,791
|
|
|
2,299
|
|
||||
Insurance
|
|
182
|
|
|
188
|
|
|
551
|
|
|
355
|
|
||||
Compensation
|
|
684
|
|
|
1,859
|
|
|
2,130
|
|
|
2,373
|
|
||||
Other
|
|
527
|
|
|
381
|
|
|
1,950
|
|
|
1,608
|
|
||||
Total expenses
|
|
$
|
8,972
|
|
|
$
|
9,684
|
|
|
$
|
28,315
|
|
|
$
|
27,620
|
|
Income (loss) before taxes
|
|
54,092
|
|
|
(229,953
|
)
|
|
(35,875
|
)
|
|
353,722
|
|
||||
Income tax benefit
|
|
—
|
|
|
10
|
|
|
—
|
|
|
10
|
|
||||
Net Income (Loss)
|
|
$
|
54,092
|
|
|
$
|
(229,943
|
)
|
|
$
|
(35,875
|
)
|
|
$
|
353,732
|
|
Dividends declared on preferred stock
|
|
(3,905
|
)
|
|
(3,905
|
)
|
|
(11,718
|
)
|
|
(10,308
|
)
|
||||
Net Income (Loss) available (related) to common stockholders
|
|
$
|
50,187
|
|
|
$
|
(233,848
|
)
|
|
$
|
(47,593
|
)
|
|
$
|
343,424
|
|
Net income (loss) available (related) per share to common stockholders (Note 12):
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
$
|
0.14
|
|
|
$
|
(0.63
|
)
|
|
$
|
(0.13
|
)
|
|
$
|
1.28
|
|
Diluted
|
|
$
|
0.14
|
|
|
$
|
(0.63
|
)
|
|
$
|
(0.13
|
)
|
|
$
|
1.27
|
|
Dividends declared per common share
|
|
$
|
0.15
|
|
|
$
|
0.21
|
|
|
$
|
0.45
|
|
|
$
|
0.66
|
|
Weighted average common shares outstanding:
|
|
|
|
|
|
|
|
|
||||||||
Basic
|
|
357,196
|
|
|
370,818
|
|
|
357,266
|
|
|
268,202
|
|
||||
Diluted
|
|
358,357
|
|
|
372,256
|
|
|
357,266
|
|
|
269,636
|
|
|
|
For the Quarter
Ended |
|
For the Nine Months Ended
|
||||||||||||
|
|
September 30, 2014
|
|
September 30, 2013
|
|
September 30, 2014
|
|
September 30, 2013
|
||||||||
Net Income (Loss)
|
|
$
|
54,092
|
|
|
$
|
(229,943
|
)
|
|
$
|
(35,875
|
)
|
|
$
|
353,732
|
|
Other comprehensive income (loss):
|
|
|
|
|
|
|
|
|
||||||||
Reclassification adjustment for realized (gain) loss on sale of available for sale Agency Securities
|
|
12,390
|
|
|
300,960
|
|
|
(68,646
|
)
|
|
261,569
|
|
||||
Net unrealized gain (loss) on available for sale Agency Securities
|
|
(124,033
|
)
|
|
(51,778
|
)
|
|
213,898
|
|
|
(1,082,987
|
)
|
||||
Other comprehensive income (loss)
|
|
$
|
(111,643
|
)
|
|
$
|
249,182
|
|
|
$
|
145,252
|
|
|
$
|
(821,418
|
)
|
Comprehensive Income (Loss)
|
|
$
|
(57,551
|
)
|
|
$
|
19,239
|
|
|
$
|
109,377
|
|
|
$
|
(467,686
|
)
|
|
Preferred Stock
|
|
Common Stock
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
|
8.250% Series A
|
|
7.875% Series B
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
|
Shares
|
|
Par Amount
|
|
Additional Paid-in Capital
|
|
Shares
|
|
Par Amount
|
|
Additional Paid-in Capital
|
|
Shares
|
|
Par Amount
|
|
Additional Paid-in Capital
|
|
Total
Additional Paid-in
Capital
|
|
Accumulated
Deficit
|
|
Accumulated
Other
Comprehensive Loss
|
|
Total
|
|||||||||||||||||||||||
Balance, January 1, 2014
|
2,181
|
|
|
$
|
2
|
|
|
$
|
53,172
|
|
|
5,650
|
|
|
$
|
6
|
|
|
$
|
136,547
|
|
|
357,613
|
|
|
$
|
358
|
|
|
$
|
2,544,761
|
|
|
$
|
2,734,480
|
|
|
$
|
(643,138
|
)
|
|
$
|
(190,480
|
)
|
|
$
|
1,901,228
|
|
Series A Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3,375
|
)
|
|
—
|
|
|
(3,375
|
)
|
||||||||||
Series B Preferred dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(8,343
|
)
|
|
—
|
|
|
(8,343
|
)
|
||||||||||
Common stock dividends declared
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(161,395
|
)
|
|
—
|
|
|
(161,395
|
)
|
||||||||||
Issuance of common stock, net
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
51
|
|
|
—
|
|
|
214
|
|
|
214
|
|
|
—
|
|
|
—
|
|
|
214
|
|
||||||||||
Stock based compensation, net of withholding requirements
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
211
|
|
|
—
|
|
|
879
|
|
|
879
|
|
|
—
|
|
|
—
|
|
|
879
|
|
||||||||||
Common stock repurchased
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(600
|
)
|
|
(1
|
)
|
|
(2,584
|
)
|
|
(2,584
|
)
|
|
—
|
|
|
—
|
|
|
(2,585
|
)
|
||||||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(35,875
|
)
|
|
—
|
|
|
(35,875
|
)
|
||||||||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
145,252
|
|
|
145,252
|
|
||||||||||
Balance, September 30, 2014
|
2,181
|
|
|
$
|
2
|
|
|
$
|
53,172
|
|
|
5,650
|
|
|
$
|
6
|
|
|
$
|
136,547
|
|
|
357,275
|
|
|
$
|
357
|
|
|
$
|
2,543,270
|
|
|
$
|
2,732,989
|
|
|
$
|
(852,126
|
)
|
|
$
|
(45,228
|
)
|
|
$
|
1,836,000
|
|
|
|
For the Nine Months Ended
|
||||||
|
|
September 30, 2014
|
|
September 30, 2013
|
||||
Cash Flows From Operating Activities:
|
|
|
|
|
||||
Net income (loss)
|
|
$
|
(35,875
|
)
|
|
$
|
353,732
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
|
||||
Net amortization of premium on Agency Securities
|
|
56,895
|
|
|
140,091
|
|
||
Realized (gain) loss on sale of Agency Securities
|
|
(68,646
|
)
|
|
261,569
|
|
||
(Gain) Loss on short sale of U.S. Treasury Securities
|
|
12,695
|
|
|
(14,176
|
)
|
||
Stock based compensation
|
|
879
|
|
|
1,221
|
|
||
Changes in operating assets and liabilities:
|
|
|
|
|
||||
(Increase) decrease in accrued interest receivable
|
|
(2,417
|
)
|
|
9,445
|
|
||
Increase in prepaid and other assets
|
|
(486
|
)
|
|
(773
|
)
|
||
(Increase) decrease in derivatives, at fair value
|
|
259,143
|
|
|
(447,943
|
)
|
||
Increase (decrease) in accrued interest payable- repurchase agreements
|
|
2,935
|
|
|
(2,248
|
)
|
||
Decrease in accounts payable and other accrued expenses
|
|
(19,944
|
)
|
|
(698
|
)
|
||
Net cash provided by operating activities
|
|
$
|
205,179
|
|
|
$
|
300,220
|
|
Cash Flows From Investing Activities:
|
|
|
|
|
||||
Purchases of Agency Securities
|
|
(10,738,277
|
)
|
|
(12,392,749
|
)
|
||
Principal repayments of Agency Securities
|
|
1,288,023
|
|
|
2,795,559
|
|
||
Proceeds from sales of Agency Securities
|
|
7,423,494
|
|
|
11,615,779
|
|
||
Disbursements on reverse repurchase agreements
|
|
(4,105,908
|
)
|
|
(11,239,305
|
)
|
||
Receipts from reverse repurchase agreements
|
|
4,105,908
|
|
|
11,239,305
|
|
||
(Increase) decrease in cash collateral
|
|
(247,503
|
)
|
|
528,661
|
|
||
Net cash (used in) provided by investing activities
|
|
$
|
(2,274,263
|
)
|
|
$
|
2,547,250
|
|
Cash Flows From Financing Activities:
|
|
|
|
|
||||
Issuance of Series A Preferred stock, net of expenses
|
|
—
|
|
|
4,380
|
|
||
Issuance of Series B Preferred stock, net of expenses
|
|
—
|
|
|
136,553
|
|
||
Issuance of common stock, net of expenses
|
|
207
|
|
|
438,528
|
|
||
Proceeds from repurchase agreements
|
|
60,158,249
|
|
|
99,907,622
|
|
||
Principal repayments on repurchase agreements
|
|
(57,854,668
|
)
|
|
(103,356,193
|
)
|
||
Proceeds from short sales of U.S. Treasury Securities
|
|
1,011,705
|
|
|
2,789,560
|
|
||
Purchases of U.S. Treasury Securities
|
|
(1,024,400
|
)
|
|
(2,775,384
|
)
|
||
Series A Preferred stock dividends paid
|
|
(3,375
|
)
|
|
(3,356
|
)
|
||
Series B Preferred stock dividends paid
|
|
(8,343
|
)
|
|
(6,952
|
)
|
||
Common stock dividends paid
|
|
(161,395
|
)
|
|
(236,770
|
)
|
||
Common stock repurchased
|
|
(2,585
|
)
|
|
(20,260
|
)
|
||
Net cash provided by (used in) financing activities
|
|
$
|
2,115,395
|
|
|
$
|
(3,122,272
|
)
|
Net increase (decrease) in cash
|
|
46,311
|
|
|
(274,802
|
)
|
||
Cash - beginning of period
|
|
496,478
|
|
|
771,282
|
|
||
Cash - end of period
|
|
$
|
542,789
|
|
|
$
|
496,480
|
|
Supplemental Disclosure:
|
|
|
|
|
||||
Cash paid during the period for interest
|
|
$
|
197,100
|
|
|
$
|
198,131
|
|
Non-Cash Investing and Financing Activities:
|
|
|
|
|
||||
Receivable for unsettled sales
|
|
$
|
3,002,570
|
|
|
$
|
—
|
|
Payable for unsettled purchases
|
|
$
|
—
|
|
|
$
|
143,894
|
|
Net unrealized gain (loss) on available for sale Agency Securities
|
|
$
|
213,898
|
|
|
$
|
(1,082,987
|
)
|
Amounts receivable for issuance of common stock
|
|
$
|
7
|
|
|
$
|
7
|
|
|
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Balance at September 30, 2014
|
||||||||
Assets at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Agency Securities, available for sale
|
|
$
|
—
|
|
|
$
|
13,669,810
|
|
|
$
|
—
|
|
|
$
|
13,669,810
|
|
Derivatives
|
|
$
|
—
|
|
|
$
|
223,479
|
|
|
$
|
—
|
|
|
$
|
223,479
|
|
Liabilities at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Derivatives
|
|
$
|
414
|
|
|
$
|
76,015
|
|
|
$
|
—
|
|
|
$
|
76,429
|
|
|
|
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Balance at December 31, 2013
|
||||||||
Assets at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Agency Securities, available for sale
|
|
$
|
—
|
|
|
$
|
14,648,178
|
|
|
$
|
—
|
|
|
$
|
14,648,178
|
|
Derivatives
|
|
$
|
—
|
|
|
$
|
508,988
|
|
|
$
|
—
|
|
|
$
|
508,988
|
|
Liabilities at Fair Value:
|
|
|
|
|
|
|
|
|
||||||||
Derivatives
|
|
$
|
1,503
|
|
|
$
|
101,292
|
|
|
$
|
—
|
|
|
$
|
102,795
|
|
September 30, 2014
|
|
|
|
|
|
Fair Value Measurements using:
|
||||||||||||||
|
|
Carrying Value
|
|
Fair
Value
|
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
|
Significant
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
||||||||||
Financial Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cash
|
|
$
|
542,789
|
|
|
$
|
542,789
|
|
|
$
|
542,789
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Cash collateral posted to counterparties
|
|
$
|
32,896
|
|
|
$
|
32,896
|
|
|
$
|
—
|
|
|
$
|
32,896
|
|
|
$
|
—
|
|
Receivable for unsettled sales
|
|
$
|
3,002,570
|
|
|
$
|
3,002,570
|
|
|
$
|
—
|
|
|
$
|
3,002,570
|
|
|
$
|
—
|
|
Principal payments receivable
|
|
$
|
487
|
|
|
$
|
487
|
|
|
$
|
—
|
|
|
$
|
487
|
|
|
$
|
—
|
|
Accrued interest receivable
|
|
$
|
44,436
|
|
|
$
|
44,436
|
|
|
$
|
—
|
|
|
$
|
44,436
|
|
|
$
|
—
|
|
Financial Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
|
$
|
15,455,085
|
|
|
$
|
15,455,085
|
|
|
$
|
—
|
|
|
$
|
15,455,085
|
|
|
$
|
—
|
|
Cash collateral posted by counterparties
|
|
$
|
137,321
|
|
|
$
|
137,321
|
|
|
$
|
—
|
|
|
$
|
137,321
|
|
|
$
|
—
|
|
Accrued interest payable- repurchase agreements
|
|
$
|
9,564
|
|
|
$
|
9,564
|
|
|
$
|
—
|
|
|
$
|
9,564
|
|
|
$
|
—
|
|
December 31, 2013
|
|
|
|
|
|
Fair Value Measurements using:
|
||||||||||||||
|
|
Carrying Value
|
|
Fair
Value
|
|
Quoted Prices
in Active
Markets for
Identical
Assets
(Level 1)
|
|
Significant
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
||||||||||
Financial Assets:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Cash
|
|
$
|
496,478
|
|
|
$
|
496,478
|
|
|
$
|
496,478
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Cash collateral posted to counterparties
|
|
$
|
35,917
|
|
|
$
|
35,917
|
|
|
$
|
—
|
|
|
$
|
35,917
|
|
|
$
|
—
|
|
Principal payments receivable
|
|
$
|
70
|
|
|
$
|
70
|
|
|
$
|
—
|
|
|
$
|
70
|
|
|
$
|
—
|
|
Accrued interest receivable
|
|
$
|
42,034
|
|
|
$
|
42,034
|
|
|
$
|
—
|
|
|
$
|
42,034
|
|
|
$
|
—
|
|
Financial Liabilities:
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Repurchase agreements
|
|
$
|
13,151,504
|
|
|
$
|
13,151,504
|
|
|
$
|
—
|
|
|
$
|
13,151,504
|
|
|
$
|
—
|
|
Cash collateral posted by counterparties
|
|
$
|
387,845
|
|
|
$
|
387,845
|
|
|
$
|
—
|
|
|
$
|
387,845
|
|
|
$
|
—
|
|
Payable for unsettled purchases
|
|
$
|
159,159
|
|
|
$
|
159,159
|
|
|
$
|
—
|
|
|
$
|
159,159
|
|
|
$
|
—
|
|
Accrued interest payable- repurchase agreements
|
|
$
|
6,629
|
|
|
$
|
6,629
|
|
|
$
|
—
|
|
|
$
|
6,629
|
|
|
$
|
—
|
|
September 30, 2014
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
|
Percent of Total
|
|||||||||
Fannie Mae
|
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs & Hybrids
|
|
$
|
42,353
|
|
|
$
|
(320
|
)
|
|
$
|
650
|
|
|
$
|
42,683
|
|
|
0.31
|
%
|
Multi-Family MBS
|
|
791,986
|
|
|
(3,303
|
)
|
|
4,065
|
|
|
792,748
|
|
|
5.80
|
|
||||
10 Year Fixed
|
|
5,093
|
|
|
(6
|
)
|
|
181
|
|
|
5,268
|
|
|
0.04
|
|
||||
15 Year Fixed
|
|
7,928,108
|
|
|
(12,229
|
)
|
|
15,031
|
|
|
7,930,910
|
|
|
58.02
|
|
||||
20 Year Fixed
|
|
2,656,449
|
|
|
(33,310
|
)
|
|
6,524
|
|
|
2,629,663
|
|
|
19.24
|
|
||||
Total Fannie Mae
|
|
$
|
11,423,989
|
|
|
$
|
(49,168
|
)
|
|
$
|
26,451
|
|
|
$
|
11,401,272
|
|
|
83.41
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Freddie Mac
|
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs & Hybrids
|
|
15,029
|
|
|
(67
|
)
|
|
277
|
|
|
15,239
|
|
|
0.11
|
|
||||
10 Year Fixed
|
|
300
|
|
|
(5
|
)
|
|
4
|
|
|
299
|
|
|
0.00
|
|
||||
15 Year Fixed
|
|
251,146
|
|
|
(1,442
|
)
|
|
1,996
|
|
|
251,700
|
|
|
1.84
|
|
||||
20 Year Fixed
|
|
1,942,409
|
|
|
(28,420
|
)
|
|
4,519
|
|
|
1,918,508
|
|
|
14.04
|
|
||||
Total Freddie Mac
|
|
$
|
2,208,884
|
|
|
$
|
(29,934
|
)
|
|
$
|
6,796
|
|
|
$
|
2,185,746
|
|
|
15.99
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Ginnie Mae
|
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs & Hybrids
|
|
81,762
|
|
|
(217
|
)
|
|
816
|
|
|
82,361
|
|
|
0.60
|
|
||||
15 Year Fixed
|
|
403
|
|
|
—
|
|
|
28
|
|
|
431
|
|
|
0.00
|
|
||||
Total Ginnie Mae
|
|
$
|
82,165
|
|
|
$
|
(217
|
)
|
|
$
|
844
|
|
|
$
|
82,792
|
|
|
0.60
|
%
|
Total Agency Securities
|
|
$
|
13,715,038
|
|
|
$
|
(79,319
|
)
|
|
$
|
34,091
|
|
|
$
|
13,669,810
|
|
|
100.00
|
%
|
December 31, 2013
|
|
Amortized Cost
|
|
Gross Unrealized Loss
|
|
Gross Unrealized Gain
|
|
Fair Value
|
Percent of Total
|
|||||||||
Fannie Mae
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs&Hybrids
|
|
$
|
55,266
|
|
|
$
|
(48
|
)
|
|
$
|
1,174
|
|
|
$
|
56,392
|
|
0.40
|
%
|
10 Year Fixed
|
|
1,144
|
|
|
—
|
|
|
25
|
|
|
1,169
|
|
0.01
|
|
||||
15 Year Fixed
|
|
2,556,986
|
|
|
(20,420
|
)
|
|
2,257
|
|
|
2,538,823
|
|
17.33
|
|
||||
20 Year Fixed
|
|
2,876,743
|
|
|
(104,357
|
)
|
|
56
|
|
|
2,772,442
|
|
18.93
|
|
||||
25 Year Fixed
|
|
207,946
|
|
|
—
|
|
|
—
|
|
|
207,946
|
|
1.42
|
|
||||
30 Year Fixed
|
|
5,230,008
|
|
|
—
|
|
|
—
|
|
|
5,230,008
|
|
35.70
|
|
||||
Total Fannie Mae
|
|
$
|
10,928,093
|
|
|
$
|
(124,825
|
)
|
|
$
|
3,512
|
|
|
$
|
10,806,780
|
|
73.79
|
%
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Freddie Mac
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs&Hybrids
|
|
17,281
|
|
|
(29
|
)
|
|
428
|
|
|
17,680
|
|
0.12
|
|
||||
10 Year Fixed
|
|
406
|
|
|
(6
|
)
|
|
2
|
|
|
402
|
|
0.00
|
|
||||
15 Year Fixed
|
|
295,357
|
|
|
(3,287
|
)
|
|
1,560
|
|
|
293,630
|
|
2.00
|
|
||||
20 Year Fixed
|
|
2,093,482
|
|
|
(69,617
|
)
|
|
694
|
|
|
2,024,559
|
|
13.82
|
|
||||
25 Year Fixed
|
|
67,436
|
|
|
—
|
|
|
—
|
|
|
67,436
|
|
0.46
|
|
||||
30 Year Fixed
|
|
1,290,623
|
|
|
—
|
|
|
—
|
|
|
1,290,623
|
|
8.81
|
|
||||
Total Freddie Mac
|
|
$
|
3,764,585
|
|
|
$
|
(72,939
|
)
|
|
$
|
2,684
|
|
|
$
|
3,694,330
|
|
25.21
|
%
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Ginnie Mae
|
|
|
|
|
|
|
|
|
|
|||||||||
ARMs&Hybrids
|
|
145,558
|
|
|
(64
|
)
|
|
1,129
|
|
|
146,623
|
|
1.00
|
|
||||
15 Year Fixed
|
|
422
|
|
|
—
|
|
|
23
|
|
|
445
|
|
0.00
|
|
||||
Total Ginnie Mae
|
|
$
|
145,980
|
|
|
$
|
(64
|
)
|
|
$
|
1,152
|
|
|
$
|
147,068
|
|
1.00
|
%
|
Total Agency Securities
|
|
$
|
14,838,658
|
|
|
$
|
(197,828
|
)
|
|
$
|
7,348
|
|
|
$
|
14,648,178
|
|
100.00
|
%
|
|
|
September 30, 2014
|
|
December 31, 2013
|
||||||||||||
Weighted Average Life of all Agency Securities
|
|
Fair Value
|
|
Amortized
Cost
|
|
Fair Value
|
|
Amortized
Cost
|
||||||||
Less than one year
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2
|
|
|
$
|
2
|
|
Greater than or equal to one year and less than three years
|
|
244,448
|
|
|
244,182
|
|
|
20,289
|
|
|
20,127
|
|
||||
Greater than or equal to three years and less than five years
|
|
11,927,860
|
|
|
11,961,241
|
|
|
3,809,418
|
|
|
3,837,530
|
|
||||
Greater than or equal to five years
|
|
1,497,502
|
|
|
1,509,615
|
|
|
10,818,469
|
|
|
10,980,999
|
|
||||
Total Agency Securities
|
|
$
|
13,669,810
|
|
|
$
|
13,715,038
|
|
|
$
|
14,648,178
|
|
|
$
|
14,838,658
|
|
|
|
September 30, 2014
|
|
December 31, 2013
|
||||||||||
|
|
Repurchase Agreements
|
|
Weighted Average Contractual Rate
|
|
Repurchase Agreements
|
|
Weighted Average Contractual Rate
|
||||||
Within 30 days
|
|
$
|
6,038,884
|
|
|
0.35
|
%
|
|
$
|
3,990,434
|
|
|
0.41
|
%
|
31 days to 60 days
|
|
6,278,655
|
|
|
0.35
|
%
|
|
7,098,298
|
|
|
0.41
|
%
|
||
61 days to 90 days
|
|
1,423,371
|
|
|
0.36
|
%
|
|
1,226,694
|
|
|
0.44
|
%
|
||
Greater than 90 days
|
|
1,714,175
|
|
|
0.45
|
%
|
|
836,078
|
|
|
0.43
|
%
|
||
Total or Weighted Average
|
|
$
|
15,455,085
|
|
|
0.36
|
%
|
|
$
|
13,151,504
|
|
|
0.42
|
%
|
|
|
September 30, 2014
|
|
December 31, 2013
|
||
Number of MRAs
|
|
37
|
|
|
35
|
|
Number of counterparties with repurchase agreements outstanding
|
|
30
|
|
|
27
|
|
Weighted average maturity in days
|
|
54
|
|
|
45
|
|
Haircut for repurchase agreements (1)
|
|
4.90
|
%
|
|
4.96
|
%
|
(1)
|
The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Among other things, it is a measure of our unsecured credit risk to our lenders.
|
(1)
|
See Note 5,
“Fair Value of Financial Instruments”
for additional discussion.
|
Derivative Type
|
|
Remaining / Underlying Term
|
|
Weighted Average Remaining Swap / Option Term (Months)
|
|
Weighted Average Rate
|
|
Notional Amount
|
|
Asset Fair Value (1)
|
|
Liability Fair Value (1)
|
|||||||
Interest rate swap contracts
|
|
0-12 Months
|
|
2
|
|
1.14
|
%
|
|
$
|
200,000
|
|
|
$
|
—
|
|
|
$
|
(2,089
|
)
|
Interest rate swap contracts
|
|
13-24 Months
|
|
17
|
|
1.13
|
%
|
|
920,000
|
|
|
—
|
|
|
(18,095
|
)
|
|||
Interest rate swap contracts
|
|
25-36 Months
|
|
28
|
|
1.23
|
%
|
|
2,900,000
|
|
|
—
|
|
|
(81,108
|
)
|
|||
Interest rate swap contracts
|
|
37-48 Months
|
|
43
|
|
0.63
|
%
|
|
350,000
|
|
|
2,614
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
49-60 Months
|
|
49
|
|
1.00
|
%
|
|
300,000
|
|
|
3,817
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
61-72 Months
|
|
0
|
|
0.00
|
%
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
73-84 Months
|
|
73
|
|
1.48
|
%
|
|
300,000
|
|
|
11,112
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
85-96 Months
|
|
0
|
|
0.00
|
%
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
97-108 Months
|
|
103
|
|
1.47
|
%
|
|
2,450,000
|
|
|
195,221
|
|
|
—
|
|
|||
Interest rate swap contracts
|
|
109-120 Months
|
|
110
|
|
2.08
|
%
|
|
2,800,000
|
|
|
184,456
|
|
|
—
|
|
|||
Futures Contracts
|
|
0-21 Months
|
|
13
|
|
1.97
|
%
|
|
55,000
|
|
|
—
|
|
|
(1,503
|
)
|
|||
Interest rate swaptions
|
|
60 Months
|
|
9
|
|
2.73
|
%
|
|
4,000,000
|
|
|
35,937
|
|
|
—
|
|
|||
Interest rate swaptions
|
|
120 Months
|
|
6
|
|
3.16
|
%
|
|
1,750,000
|
|
|
75,831
|
|
|
—
|
|
|||
Total or Weighted Average
|
|
47
|
|
1.98
|
%
|
|
$
|
16,025,000
|
|
|
$
|
508,988
|
|
|
$
|
(102,795
|
)
|
(1)
|
|