[ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
[ ] | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland | |||
(State or other jurisdiction of incorporation or organization) | |||
350 Park Avenue, 21st Floor, New York, New York | |||
(Address of principal executive offices) | 13-3974868 (I.R.S. Employer Identification No.) 10022 (Zip Code) |
Page | |||||||||||
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PART I Financial Information | |||||||||||
Item 1. | Financial Statements | ||||||||||
Consolidated Balance Sheets as of | 1 | ||||||||||
Consolidated Statements of | 2 | ||||||||||
Consolidated | 3 | ||||||||||
Consolidated Statements of Cash Flows (Unaudited) for the | 4 | ||||||||||
Consolidated Statements of Comprehensive Income (Unaudited) for the Three and Six Months Ended | 5 | ||||||||||
Notes to the Consolidated Financial Statements (Unaudited) | 6 | ||||||||||
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | ||||||||||
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | 32 | |||||||||
Item 4. | Controls and Procedures | ||||||||||
PART II Other Information | |||||||||||
Item 1. | Legal Proceedings | ||||||||||
Item 1A. | Risk Factors | ||||||||||
Item 4. | Submission of Matters to a Vote of Security Holders | 36 | |||||||||
Item 6. | Exhibits | 37 | |||||||||
Signatures | 39 |
(In Thousands, Except Per Share Amounts) | March 31, 2007 | December 31, 2006 | June 30, 2007 | December 31, 2006 | ||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||
Mortgage-backed securities (“MBS”), at fair value (including pledged MBS of $6,094,399 and $6,065,021 at March 31, 2007 and December 31, 2006, respectively) (Notes 3 and 6) | $ | 6,385,605 | $ | 6,340,668 | ||||||||||||||||
Mortgage-backed securities (“MBS”), at fair value (including pledged MBS of $6,713,606 and $6,065,021 at June 30, 2007 and December 31, 2006, respectively) (Notes 3 and 6) | $ | 6,994,244 | $ | 6,340,668 | ||||||||||||||||
Income notes (Note 3) | 1,980 | — | 1,890 | — | ||||||||||||||||
Cash and cash equivalents | 53,697 | 47,200 | 54,329 | 47,200 | ||||||||||||||||
Accrued interest receivable | 33,437 | 33,182 | 36,352 | 33,182 | ||||||||||||||||
Interest rate cap agreements (“Caps”), at fair value (Note 4) | 129 | 361 | — | 361 | ||||||||||||||||
Swap agreements (“Swaps”), at fair value (Note 4) | 526 | 2,412 | 15,759 | 2,412 | ||||||||||||||||
Real estate (Note 5) | 11,724 | 11,789 | 11,693 | 11,789 | ||||||||||||||||
Goodwill | 7,189 | 7,189 | 7,189 | 7,189 | ||||||||||||||||
Prepaid and other assets | 1,607 | 1,166 | 1,370 | 1,166 | ||||||||||||||||
Total Assets | $ | 6,495,894 | $ | 6,443,967 | $ | 7,122,826 | $ | 6,443,967 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Repurchase agreements (Note 6) | $ | 5,763,357 | $ | 5,722,711 | $ | 6,379,485 | $ | 5,722,711 | ||||||||||||
Accrued interest payable | 21,415 | 23,164 | 26,311 | 23,164 | ||||||||||||||||
Mortgages payable on real estate | 9,573 | 9,606 | 9,532 | 9,606 | ||||||||||||||||
Swaps, at fair value (Note 4) | 4,707 | 1,893 | 735 | 1,893 | ||||||||||||||||
Dividends payable | — | 4,899 | — | 4,899 | ||||||||||||||||
Accrued expenses and other liabilities | 2,187 | 3,136 | 2,460 | 3,136 | ||||||||||||||||
Total Liabilities | 5,801,239 | 5,765,409 | 6,418,523 | 5,765,409 | ||||||||||||||||
Commitments and contingencies (Note 7) | ||||||||||||||||||||
Stockholders’ Equity: | ||||||||||||||||||||
Preferred stock, $.01 par value; series A 8.50% cumulative redeemable; 5,000 shares authorized; 3,840 shares issued and outstanding at March 31, 2007 and December 31, 2006 ($96,000 aggregate liquidation preference) (Note 8) | 38 | 38 | ||||||||||||||||||
Common stock, $.01 par value; 370,000 shares authorized; 80,764 and 80,695 issued and outstanding at March 31, 2007 and December 31, 2006, respectively (Note 8) | 808 | 807 | ||||||||||||||||||
Preferred stock, $.01 par value; series A 8.50% cumulative redeemable; 5,000 shares authorized; 3,840 shares issued and outstanding at June 30, 2007 and December 31, 2006 ($96,000 aggregate liquidation preference) (Note 8) | 38 | 38 | ||||||||||||||||||
Common stock, $.01 par value; 370,000 shares authorized; 82,937 and 80,695 issued and outstanding at June 30, 2007 and December 31, 2006, respectively (Note 8) | 829 | 807 | ||||||||||||||||||
Additional paid-in capital, in excess of par | 777,280 | 776,743 | 793,308 | 776,743 | ||||||||||||||||
Accumulated deficit | (60,827 | ) | (68,637 | ) | (59,249 | ) | (68,637 | ) | ||||||||||||
Accumulated other comprehensive loss (Note 10) | (22,644 | ) | (30,393 | ) | (30,623 | ) | (30,393 | ) | ||||||||||||
Total Stockholders’ Equity | 694,655 | 678,558 | 704,303 | 678,558 | ||||||||||||||||
Total Liabilities and Stockholders’ Equity | $ | 6,495,894 | $ | 6,443,967 | $ | 7,122,826 | $ | 6,443,967 |
For the Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | 2006 | 2007 | 2006 | 2007 | 2006 | |||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | (Unaudited) | (Unaudited) | ||||||||||||||||||||||||||||
Interest Income: | ||||||||||||||||||||||||||||||
MBS income (Note 3) | $ | 84,341 | $ | 53,329 | $ | 90,341 | $ | 45,645 | $ | 174,682 | $ | 98,974 | ||||||||||||||||||
Interest income on short-term cash investments | 448 | 666 | 634 | 540 | 1,082 | 1,206 | ||||||||||||||||||||||||
Interest income on income notes | 6 | — | 51 | — | 57 | — | ||||||||||||||||||||||||
Interest Income | 84,795 | 53,995 | 91,026 | 46,185 | 175,821 | 100,180 | ||||||||||||||||||||||||
Interest Expense | 72,260 | 42,785 | 78,348 | 38,818 | 150,608 | 81,603 | ||||||||||||||||||||||||
Net Interest Income | 12,535 | 11,210 | 12,678 | 7,367 | 25,213 | 18,577 | ||||||||||||||||||||||||
Other Income: | ||||||||||||||||||||||||||||||
Net gain on sale of MBS (Note 3) | 3 | 1,597 | ||||||||||||||||||||||||||||
Revenue from operations of real estate | 413 | 382 | ||||||||||||||||||||||||||||
Net loss on sale of MBS (Note 3) | (116 | ) | (24,746 | ) | (113 | ) | (23,149 | ) | ||||||||||||||||||||||
Revenue from operations of real estate (Note 5) | 413 | 388 | 826 | 770 | ||||||||||||||||||||||||||
Gain on termination of Swap | 176 | — | 176 | — | ||||||||||||||||||||||||||
Miscellaneous other income, net | 115 | 239 | 109 | 205 | 224 | 444 | ||||||||||||||||||||||||
Other Income | 531 | 2,218 | ||||||||||||||||||||||||||||
Other Income (Loss) | 582 | (24,153 | ) | 1,113 | (21,935 | ) | ||||||||||||||||||||||||
Operating and Other Expense: | ||||||||||||||||||||||||||||||
Compensation and benefits | 1,612 | 1,558 | 1,409 | 1,530 | 3,021 | 3,088 | ||||||||||||||||||||||||
Real estate operating expense | 253 | 245 | ||||||||||||||||||||||||||||
Mortgage interest on real estate | 167 | 173 | ||||||||||||||||||||||||||||
Mortgage interest and real estate operating expense | 429 | 400 | 849 | 818 | ||||||||||||||||||||||||||
Other general and administrative expense | 1,184 | 1,117 | 1,244 | 961 | 2,428 | 2,078 | ||||||||||||||||||||||||
Operating and Other Expense | 3,216 | 3,093 | 3,082 | 2,891 | 6,298 | 5,984 | ||||||||||||||||||||||||
Income from Continuing Operations | 9,850 | 10,335 | ||||||||||||||||||||||||||||
Income (Loss) from Continuing Operations | 10,178 | (19,677 | ) | 20,028 | (9,342 | ) | ||||||||||||||||||||||||
Discontinued Operations: (Note 5) | ||||||||||||||||||||||||||||||
Loss from discontinued operations, net | — | (77 | ) | — | (56 | ) | — | (133 | ) | |||||||||||||||||||||
Mortgage prepayment penalty | — | (135 | ) | — | — | — | (135 | ) | ||||||||||||||||||||||
Gain on sale of real estate, net of tax | — | 4,840 | — | — | — | 4,840 | ||||||||||||||||||||||||
Income from Discontinued Operations | — | 4,628 | ||||||||||||||||||||||||||||
Income (Loss) from Discontinued Operations | — | (56 | ) | — | 4,572 | |||||||||||||||||||||||||
Net Income Before Preferred Stock Dividends | 9,850 | 14,963 | ||||||||||||||||||||||||||||
Income (Loss) Before Preferred Stock Dividends | 10,178 | (19,733 | ) | 20,028 | (4,770 | ) | ||||||||||||||||||||||||
Less: Preferred Stock Dividends | 2,040 | 2,040 | 2,040 | 2,040 | 4,080 | 4,080 | ||||||||||||||||||||||||
Net Income Available to Common Stockholders | $ | 7,810 | $ | 12,923 | ||||||||||||||||||||||||||
Net Income (Loss) Available to Common Stockholders | $ | 8,138 | $ | (21,773 | ) | $ | 15,948 | $ | (8,850 | ) | ||||||||||||||||||||
Earnings Per Share of Common Stock: (Note 9) | ||||||||||||||||||||||||||||||
Income from continuing operations — basic and diluted | $ | 0.10 | $ | 0.10 | ||||||||||||||||||||||||||
Earnings (Loss) Per Share of Common Stock: (Note 9) | ||||||||||||||||||||||||||||||
Income (loss) from continuing operations — basic and diluted | $ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.17 | ) | ||||||||||||||||||||
Income from discontinued operations — basic and diluted | — | 0.06 | — | — | — | 0.06 | ||||||||||||||||||||||||
Earnings per share of common stock — basic and diluted | $ | 0.10 | $ | 0.16 | ||||||||||||||||||||||||||
Earnings (loss) per share — basic and diluted | $ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.11 | ) | ||||||||||||||||||||
Dividends declared per share of common stock (Note 8c) | $ | 0.08 | $ | 0.05 | $ | 0.08 | $ | 0.05 |
For the Ended | ||||||
---|---|---|---|---|---|---|
(In Thousands, Except Per Share Amounts) | (Unaudited) | |||||
Preference $25.00 per | ||||||
Balance at June 30, 2007 and December 31, 2006 | $ | 38 | ||||
Common Stock, Par Value $0.01: | ||||||
Balance at December 31, 2006 (80,695 shares) | 807 | |||||
Issuance of common stock | ||||||
Balance at | ||||||
Additional Paid-in Capital, in Excess of Par: | ||||||
Balance at December 31, 2006 | 776,743 | |||||
Issuance of common stock, net of expenses | ||||||
Share-based compensation expense | ||||||
Balance at | ||||||
Accumulated Deficit: | ||||||
Balance at December 31, 2006 | (68,637 | ) | ||||
Net income | ||||||
Dividends | (6,484 | ) | ||||
Dividends on preferred stock | ( | ) | ||||
Payments on dividend equivalent rights (“DERs”) | (76 | ) | ||||
Balance at | ( | ) | ||||
Accumulated Other Comprehensive Loss: | ||||||
Balance at December 31, 2006 | (30,393 | ) | ||||
Unrealized | ) | |||||
Unrealized losses on Caps, net | ( | ) | ||||
Unrealized | ||||||
Balance at | ( | ) | ||||
Total Stockholders’ Equity at | $ |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | 2007 | 2006 | 2007 | 2006 | ||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||
Cash Flows From Operating Activities: | ||||||||||||||||||||||
Net income | $ | 9,850 | $ | 14,963 | ||||||||||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||||||||
Gain on sales of MBS | (3 | ) | (2,094 | ) | ||||||||||||||||||
Loss on sale of MBS | — | 497 | ||||||||||||||||||||
Net income/(loss) | $ | 20,028 | $ | (4,770 | ) | |||||||||||||||||
Adjustments to reconcile net income/(loss) to net cash provided by operating activities: | ||||||||||||||||||||||
Losses on sale of MBS | 116 | 25,245 | ||||||||||||||||||||
Gains on sales of MBS | (3 | ) | (2,096 | ) | ||||||||||||||||||
Gain on termination of Swap | (176 | ) | — | |||||||||||||||||||
Amortization of purchase premiums on MBS, net of accretion of discounts | 8,343 | 8,123 | 16,504 | 15,992 | ||||||||||||||||||
Amortization of premium cost for Caps | 181 | 383 | 278 | 837 | ||||||||||||||||||
(Increase)/decrease in interest receivable | (255 | ) | 4,042 | (3,170 | ) | 7,774 | ||||||||||||||||
Depreciation and amortization on real estate, including discontinued operations | 102 | 198 | 205 | 358 | ||||||||||||||||||
Increase in other assets and other | (478 | ) | (1,196 | ) | (313 | ) | (1,207 | ) | ||||||||||||||
(Decrease)/increase in accrued expenses and other liabilities | (949 | ) | 1,066 | |||||||||||||||||||
Decrease in accrued interest payable | (1,749 | ) | (22,512 | ) | ||||||||||||||||||
Decrease in accrued expenses and other liabilities | (676 | ) | (1,544 | ) | ||||||||||||||||||
Increase/(decrease) in accrued interest payable | 3,147 | (30,836 | ) | |||||||||||||||||||
Gain on sale of real estate from discontinued operations | — | (6,660 | ) | — | (6,660 | ) | ||||||||||||||||
Share-based compensation expense | 174 | 120 | 226 | 340 | ||||||||||||||||||
Negative amortization and principal accretion on investment securities | (87 | ) | (868 | ) | ||||||||||||||||||
Net cash provided/(used) by operating activities | 15,129 | (3,938 | ) | |||||||||||||||||||
Negative amortization on investment securities | (176 | ) | (1,480 | ) | ||||||||||||||||||
Net cash provided by operating activities | 35,990 | 1,953 | ||||||||||||||||||||
Cash Flows From Investing Activities: | ||||||||||||||||||||||
Principal payments on MBS | 492,381 | 443,109 | ||||||||||||||||||||
Principal payments on MBS and other investment securities | 976,331 | 832,260 | ||||||||||||||||||||
Proceeds from sale of MBS | 6,830 | 788,490 | 55,296 | 1,823,361 | ||||||||||||||||||
Purchases of MBS | (539,901 | ) | (71,412 | ) | ||||||||||||||||||
Purchases of income notes | (1,980 | ) | — | |||||||||||||||||||
Purchases of MBS and other investment securities | (1,718,186 | ) | (394,700 | ) | ||||||||||||||||||
Proceeds from termination of Swap | 176 | — | ||||||||||||||||||||
Proceeds from sale of real estate | — | 15,978 | — | 15,958 | ||||||||||||||||||
Net cash (used)/provided by investing activities | (42,670 | ) | 1,176,165 | (686,383 | ) | 2,276,879 | ||||||||||||||||
Cash Flows From Financing Activities: | ||||||||||||||||||||||
Principal payments on repurchase agreements | (8,604,712 | ) | (9,139,598 | ) | ||||||||||||||||||
Proceeds from borrowings on repurchase agreements | 8,645,358 | 7,993,066 | ||||||||||||||||||||
Proceeds from issuances of common stock | 364 | — | ||||||||||||||||||||
Principal payments made on repurchase agreements | (18,275,825 | ) | (11,878,087 | ) | ||||||||||||||||||
Proceeds from borrowings under repurchase agreements | 18,932,599 | 9,613,755 | ||||||||||||||||||||
Proceeds from issuance of common stock | 16,361 | — | ||||||||||||||||||||
Dividends paid on preferred stock | (2,040 | ) | (2,040 | ) | (4,080 | ) | (4,080 | ) | ||||||||||||||
Common stock repurchased | — | (2,879 | ) | — | (5,697 | ) | ||||||||||||||||
Dividends paid on common stock and DERs | (4,899 | ) | (4,058 | ) | (11,459 | ) | (8,070 | ) | ||||||||||||||
Principal payments on and satisfaction of mortgages, including discontinued operations | (33 | ) | (6,075 | ) | (74 | ) | (6,075 | ) | ||||||||||||||
Net cash provided/(used) by financing activities | 34,038 | (1,161,584 | ) | 657,522 | (2,288,254 | ) | ||||||||||||||||
Net increase in cash and cash equivalents | 6,497 | 10,643 | ||||||||||||||||||||
Net increase/(decrease) in cash and cash equivalents | 7,129 | (9,422 | ) | |||||||||||||||||||
Cash and cash equivalents at beginning of period | 47,200 | 64,301 | 47,200 | 64,301 | ||||||||||||||||||
Cash and cash equivalents at end of period | $ | 53,697 | $ | 74,944 | $ | 54,329 | $ | 54,879 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | 2007 | 2006 | ||||||||||||||||||||||||||||||||
(Dollars In Thousands) | 2007 | 2006 | 2007 | 2006 | ||||||||||||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||||||||||||
Net income before preferred stock dividends | $ | 9,850 | $ | 14,963 | ||||||||||||||||||||||||||||||
Net income/(loss) before preferred stock dividends | $ | 10,178 | $ | (19,733 | ) | $ | 20,028 | $ | (4,770 | ) | ||||||||||||||||||||||||
Other Comprehensive Income: | ||||||||||||||||||||||||||||||||||
Unrealized gain/(loss) on MBS, net | 12,500 | (8,464 | ) | |||||||||||||||||||||||||||||||
Unrealized loss on investment securities, net | (27,152 | ) | (1,594 | ) | (14,652 | ) | (10,058 | ) | ||||||||||||||||||||||||||
Reclassification adjustment for net loss included in net income | — | 24,568 | — | 24,568 | ||||||||||||||||||||||||||||||
Unrealized (loss)/gain on Caps, net | (51 | ) | 345 | (32 | ) | 12 | (83 | ) | 357 | |||||||||||||||||||||||||
Unrealized loss on Swaps, net | (4,700 | ) | (3 | ) | ||||||||||||||||||||||||||||||
Unrealized gain/(loss) on Swaps, net | 19,205 | (766 | ) | 14,505 | (769 | ) | ||||||||||||||||||||||||||||
Comprehensive income before preferred stock dividends | 17,599 | 6,841 | $ | 2,199 | $ | 2,487 | $ | 19,798 | $ | 9,328 | ||||||||||||||||||||||||
Dividends on preferred stock | (2,040 | ) | (2,040 | ) | (2,040 | ) | (2,040 | ) | (4,080 | ) | (4,080 | ) | ||||||||||||||||||||||
Comprehensive Income | $ | 15,559 | $ | 4,801 | $ | 159 | $ | 447 | $ | 15,718 | $ | 5,248 |
Amortized Cost(1) | Carrying Value/ Estimated Fair Value | Net Unrealized (Loss)/Gain | |||||||||||||
(In Thousands) | March 31, 2007 | ||||||||||||||
Agency MBS: | |||||||||||||||
Fannie Mae Certificates | $ | 5,655,290 | $ | 5,642,855 | $ | (12,435 | ) | ||||||||
Ginnie Mae Certificates | 264,581 | 261,949 | (2,632 | ) | |||||||||||
Freddie Mac Certificates | 264,777 | 263,266 | (1,511 | ) | |||||||||||
Non-Agency MBS(2): | |||||||||||||||
AAA | 208,295 | 205,245 | (3,050 | ) | |||||||||||
AA | 2,187 | 2,165 | (22 | ) | |||||||||||
Single A and A- | 2,167 | 2,161 | (6 | ) | |||||||||||
BBB and BBB- | 1,870 | �� | 1,872 | 2 | |||||||||||
BB and below | 2,120 | 2,258 | 138 | ||||||||||||
Non-rated | 2,813 | 3,834 | 1,021 | ||||||||||||
Total MBS | $ | 6,404,100 | $ | 6,385,605 | $ | (18,495 | ) | ||||||||
Income Notes: | |||||||||||||||
Non-rated | 1,980 | 1,980 | — | ||||||||||||
Total Investment securities | $ | 6,406,080 | $ | 6,387,585 | $ | (18,495 | ) |
June 30, 2007 | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | Amortized Cost(1) | Carrying Value/ Estimated Fair Value | Net Unrealized (Loss)/Gain | ||||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||||||
Fannie Mae Certificates | $ | 5,667,528 | $ | 5,631,068 | $ | (36,460 | ) | ||||||||||||||||||||||
Ginnie Mae Certificates | 225,474 | 223,605 | (1,869 | ) | |||||||||||||||||||||||||
Freddie Mac Certificates | 230,882 | 229,425 | (1,457 | ) | |||||||||||||||||||||||||
Non-Agency MBS(2): | |||||||||||||||||||||||||||||
AAA | 905,751 | 898,495 | (7,256 | ) | |||||||||||||||||||||||||
AA | 2,014 | 2,053 | 39 | ||||||||||||||||||||||||||
Single A and A- | 1,398 | 1,436 | 38 | ||||||||||||||||||||||||||
BBB and BBB- | 1,704 | 1,736 | 32 | ||||||||||||||||||||||||||
BB and below | 2,112 | 2,223 | 111 | ||||||||||||||||||||||||||
Non-rated | 3,004 | 4,203 | 1,199 | ||||||||||||||||||||||||||
Total MBS | $ | 7,039,867 | $ | 6,994,244 | $ | (45,623 | ) | ||||||||||||||||||||||
Other investments: | |||||||||||||||||||||||||||||
Non-rated securities | 1,914 | 1,890 | (24 | ) | |||||||||||||||||||||||||
Total Investment Securities | |||||||||||||||||||||||||||||
Amortized Cost(1) | Carrying Value/ Estimated Fair Value | Net Unrealized (Loss)/Gain | December 31, 2006 | ||||||||||||||||||||||||||
December 31, 2006 | Amortized Cost(1) | Carrying Value/ Estimated Fair Value | Net Unrealized (Loss)/Gain | ||||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||||||
Fannie Mae Certificates | $ | 5,506,188 | $ | 5,482,112 | $ | (24,076 | ) | $ | 5,506,188 | $ | 5,482,112 | $ | (24,076 | ) | |||||||||||||||
Ginnie Mae Certificates | 307,472 | 304,826 | (2,646 | ) | 307,472 | 304,826 | (2,646 | ) | |||||||||||||||||||||
Freddie Mac Certificates | 301,016 | 299,505 | (1,511 | ) | 301,016 | 299,505 | (1,511 | ) | |||||||||||||||||||||
Non-Agency MBS(2): | |||||||||||||||||||||||||||||
AAA | 237,805 | 234,275 | (3,530 | ) | 237,805 | 234,275 | (3,530 | ) | |||||||||||||||||||||
AA | 2,253 | 2,218 | (35 | ) | 2,253 | 2,218 | (35 | ) | |||||||||||||||||||||
Single A and A- | 3,029 | 3,014 | (15 | ) | 3,029 | 3,014 | (15 | ) | |||||||||||||||||||||
BBB and BBB- | 9,007 | 8,972 | (35 | ) | 9,007 | 8,972 | (35 | ) | |||||||||||||||||||||
BB and below | 2,140 | 2,255 | 115 | 2,140 | 2,255 | 115 | |||||||||||||||||||||||
Non-rated | 2,753 | 3,491 | 738 | 2,753 | 3,491 | 738 | |||||||||||||||||||||||
Total MBS | $ | 6,371,663 | $ | 6,340,668 | $ | (30,995 | ) | $ | 6,371,663 | $ | 6,340,668 | $ | (30,995 | ) |
(In Thousands) | March 31, 2007 | December 31, 2006 | June 30, 2007 | December 31, 2006 | ||||||||||||||||
Principal/notional balance | $ | 6,297,430 | $ | 6,257,047 | $ | 6,938,720 | $ | 6,257,047 | ||||||||||||
Principal payment receivable | 9,173 | 15,819 | 13,726 | 15,819 | ||||||||||||||||
6,306,603 | 6,272,866 | |||||||||||||||||||
Unamortized premium | 97,528 | 98,838 | 92,310 | 98,838 | ||||||||||||||||
Unaccreted discount | (31 | ) | (41 | ) | (2,975 | ) | (41 | ) | ||||||||||||
Gross unrealized gains | 7,829 | 3,193 | 2,693 | 3,193 | ||||||||||||||||
Gross unrealized (losses) | (26,324 | ) | (34,188 | ) | (48,340 | ) | (34,188 | ) | ||||||||||||
Carrying value/estimated fair value | $ | 6,385,605 | $ | 6,340,668 | $ | 6,996,134 | $ | 6,340,668 |
Unrealized Loss Position for: | Unrealized Loss Position for: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Less than 12 Months | 12 Months or more | Total | Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | Estimated Fair Value | Unrealized losses | Estimated Fair Value | Unrealized losses | Estimated Fair Value | Unrealized losses | Estimated Fair Value | Unrealized losses | Estimated Fair Value | Unrealized losses | Estimated Fair Value | Unrealized losses | ||||||||||||||||||||||||||||||||||||||||||
Agency MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,751,491 | $ | 3,873 | $ | 1,026,053 | $ | 15,014 | $ | 2,777,544 | $ | 18,887 | $ | 4,239,192 | $ | 22,110 | $ | 871,495 | $ | 15,314 | $ | 5,110,687 | $ | 37,424 | ||||||||||||||||||||||||||||||
Ginnie Mae | 53,403 | 184 | 185,216 | 2,555 | 238,619 | 2,739 | 20,845 | 56 | 158,961 | 1,942 | 179,806 | 1,998 | ||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | 140,621 | 647 | 90,135 | 972 | 230,756 | 1,619 | 131,732 | 700 | 73,414 | 819 | 205,146 | 1,519 | ||||||||||||||||||||||||||||||||||||||||||
AAA rated MBS | — | — | 205,245 | 3,050 | 205,245 | 3,050 | 457,060 | 3,786 | 184,361 | 3,470 | 641,421 | 7,256 | ||||||||||||||||||||||||||||||||||||||||||
AA rated MBS | — | — | 2,165 | 22 | 2,165 | 22 | ||||||||||||||||||||||||||||||||||||||||||||||||
A rated MBS | — | — | 1,512 | 7 | 1,512 | 7 | ||||||||||||||||||||||||||||||||||||||||||||||||
A- rated MBS | 649 | — | — | — | 649 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
BBB and BBB- rated MBS | — | — | 862 | — | 862 | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Non-rated MBS | 77 | 118 | — | — | 77 | 118 | ||||||||||||||||||||||||||||||||||||||||||||||||
Non-rated other securities | 1,890 | 25 | — | — | 1,890 | 25 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total temporarily impaired securities | $ | 1,946,164 | $ | 4,704 | $ | 1,511,188 | $ | 21,620 | $ | 3,457,352 | $ | 26,324 | $ | 4,850,796 | $ | 26,795 | $ | 1,288,231 | $ | 21,545 | $ | 6,139,027 | $ | 48,340 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | 2007 | 2006 | 2007 | 2006 | 2007 | 2006 | ||||||||||||||||||||||||
Coupon interest on MBS | $ | 92,684 | $ | 61,452 | $ | 98,501 | $ | 53,514 | $ | 191,186 | $ | 114,966 | ||||||||||||||||||
Premium amortization | (8,344 | ) | (8,233 | ) | (8,215 | ) | (7,869 | ) | (16,560 | ) | (16,111 | ) | ||||||||||||||||||
Discount accretion | 1 | 110 | 55 | — | 56 | 119 | ||||||||||||||||||||||||
Interest income on MBS, net | $ | 84,341 | $ | 53,329 | $ | 90,341 | $ | 45,645 | $ | 174,682 | $ | 98,974 |
March 31, 2007 | December 31, 2006 | June 30, 2007 | December 31, 2006 | |||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) Months to Coupon Reset or Contractual Payment | Fair Value(1) | % of Total | WAC(2) | Fair Value(1) | % of Total | WAC(2) | Fair Value(1) | % of Total | WAC(2) | Fair Value(1) | % of Total | WAC(2) | ||||||||||||||||||||||||||||||||||||||||||
Within 30 Days | $ | 708,311 | 11.1 | % | 6.74 | % | $ | 972,867 | 15.4 | % | 6.32 | % | $ | 672,585 | 9.6 | % | 6.67 | % | $ | 972,867 | 15.4 | % | 6.32 | % | ||||||||||||||||||||||||||||||
30 to 90 Days | 192,215 | 3.0 | 5.78 | 71,657 | 1.1 | 6.03 | 212,349 | 3.0 | 6.04 | 71,657 | 1.1 | 6.03 | ||||||||||||||||||||||||||||||||||||||||||
Three to 12 Months | 683,106 | 10.7 | 6.12 | 759,762 | 12.0 | 5.91 | 556,029 | 8.0 | 6.12 | 759,762 | 12.0 | 5.91 | ||||||||||||||||||||||||||||||||||||||||||
12 to 24 Months | 122,659 | 1.9 | 5.07 | 142,191 | 2.3 | 4.86 | 99,678 | 1.4 | 5.09 | 142,191 | 2.3 | 4.86 | ||||||||||||||||||||||||||||||||||||||||||
24 to 36 Months | 427,786 | 6.7 | 5.04 | 318,940 | 5.0 | 4.93 | 429,570 | 6.2 | 5.05 | 318,940 | 5.0 | 4.93 | ||||||||||||||||||||||||||||||||||||||||||
36 to 60 Months | 3,067,946 | 48.2 | 6.18 | 3,220,190 | 50.9 | 6.16 | 2,847,017 | 40.8 | 6.19 | 3,220,190 | 50.9 | 6.16 | ||||||||||||||||||||||||||||||||||||||||||
Over 60 Months | 1,174,409 | 18.4 | 6.11 | 839,242 | 13.3 | 6.16 | 2,163,290 | 31.0 | 5.98 | 839,242 | 13.3 | 6.16 | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 6,376,432 | 100.0 | % | 6.11 | % | $ | 6,324,849 | 100.0 | % | 6.06 | % | $ | 6,980,518 | 100.0 | % | 6.08 | % | $ | 6,324,849 | 100.0 | % | 6.06 | % |
MBS Pledged Under Repurchase Agreements | MBS Pledged Under Swaps | MBS Pledged Under Repurchase Agreements | MBS Pledged Under Swaps | |||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBS Pledged | Estimated Fair Value/ Carrying Value | Amortized Cost | Estimated Fair Value/ Carrying Value | Amortized Cost | Total Fair Value of MBS Pledged | Estimated Fair Value/ Carrying Value | Amortized Cost | Estimated Fair Value/ Carrying Value | Amortized Cost | Total Fair Value of MBS Pledged | ||||||||||||||||||||||||||||||||||
(In Thousands) | (In Thousands) | |||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 5,477,696 | $ | 5,488,340 | $ | 13,888 | $ | 13,922 | $ | 5,491,584 | $ | 5,426,775 | $ | 5,461,430 | $ | 2,941 | $ | 2,932 | $ | 5,429,716 | ||||||||||||||||||||||||
Freddie Mac | 219,541 | 220,709 | — | — | 219,541 | 210,709 | 212,138 | — | — | 210,709 | ||||||||||||||||||||||||||||||||||
Ginnie Mae | 184,326 | 186,042 | — | — | 184,326 | 186,405 | 188,052 | — | — | 186,405 | ||||||||||||||||||||||||||||||||||
AAA Rated | 198,948 | 201,867 | — | — | 198,948 | 886,776 | 893,955 | — | — | 886,776 | ||||||||||||||||||||||||||||||||||
$ | 6,080,511 | $ | 6,096,958 | $ | 13,888 | $ | 13,922 | $ | 6,094,399 | $ | 6,710,665 | $ | 6,755,575 | $ | 2,941 | $ | 2,932 | $ | 6,713,606 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
For the Three Months Ended March 31, | 2007 | 2006 | 2007 | 2006 | ||||||||||||||||||||||||||
(In Thousands) | 2007 | 2006 | ||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income/(Loss) from Hedging Instruments: | ||||||||||||||||||||||||||||||
Balance at beginning of year | $ | 602 | $ | 3,517 | ||||||||||||||||||||||||||
Balance at beginning of period | $ | (4,149 | ) | $ | 3,859 | $ | 602 | $ | 3,517 | |||||||||||||||||||||
Unrealized (losses)/gains on Hedging Instruments, net | (4,751 | ) | 342 | 19,173 | (754 | ) | 14,422 | (412 | ) | |||||||||||||||||||||
Balance at the end of period | $ | (4,149 | ) | $ | 3,859 | $ | 15,024 | $ | 3,105 | $ | 15,024 | $ | 3,105 |
Notional Amount | Weighted Average Swap Rate | Estimated Fair Value/ Carrying Value | Gross Unrealized Gains | Gross Unrealized (Losses) | Notional Amount | Weighted Average Swap Rate | Estimated Fair Value/Carrying Value | Gross Unrealized Gains | Gross Unrealized (Losses) | |||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Currently Active | $ | 2,084,524 | 4.98 | % | $ | (4,181 | ) | $ | 526 | $ | (4,707 | ) | $ | 2,954,102 | 5.02 | % | $ | 15,024 | $ | 15,760 | $ | (736 | ) |
For the Three Months Ended March 31, | For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | 2006 | 2007 | 2006 | 2007 | 2006 | |||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||
Premium amortization on Caps | $ | 181 | $ | 383 | $ | 97 | $ | 453 | $ | 278 | $ | 837 | ||||||||||||||||||
Payments earned on Caps | (196 | ) | (576 | ) | (131 | ) | (812 | ) | (327 | ) | (1,388 | ) | ||||||||||||||||||
Net decrease to interest expense related to Caps | $ | (15 | ) | $ | (193 | ) | $ | (34 | ) | $ | (359 | ) | $ | (49 | ) | $ | (551 | ) |
Weighted Average Remaining Active Period | Weighted Average LIBOR Strike Rate(1) | Notional Amount | Unamortized Premium | Estimated Fair Value/ Carrying Value | Gross Unrealized Gain | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) | ||||||||||||||||||||||||||
Currently active | 2 Months | 3.75 | % | $ | 50,000 | $ | 97 | $ | 129 | $ | 32 |
March 31, 2007 | December 31, 2006 | June 30, 2007 | December 31, 2006 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | ||||||||||||||||||||
Real Estate Assets and Liabilities: | ||||||||||||||||||||
Land and buildings | $ | 11,724 | $ | 11,789 | $ | 11,693 | $ | 11,789 | ||||||||||||
Cash | 428 | 126 | 397 | 126 | ||||||||||||||||
Prepaid and other assets | 126 | 146 | 158 | 146 | ||||||||||||||||
Mortgage payable (1) | (9,573 | ) | (9,606 | ) | (9,532 | ) | (9,606 | ) | ||||||||||||
Accrued interest and other payables | (155 | ) | (122 | ) | (191 | ) | (122 | ) | ||||||||||||
Real estate assets, net | $ | 2,550 | $ | 2,333 | $ | 2,525 | $ | 2,333 |
(1) | The mortgage collateralized by Lealand Place is non-recourse, subject to customary non-recourse exceptions, which generally means that the lender’s final source of repayment in the event of default is foreclosure of the property securing such loan. At |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | 2006 | 2007 | 2006 | 2007 | 2006 | |||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||
Revenue from operations of real estate | $ | 413 | $ | 382 | $ | 413 | $ | 388 | $ | 826 | $ | 770 | ||||||||||||||||||
Interest expense for mortgages on real estate | (167 | ) | (173 | ) | (164 | ) | (163 | ) | (331 | ) | (336 | ) | ||||||||||||||||||
Other real estate operations expense | (253 | ) | (245 | ) | (265 | ) | (237 | ) | (518 | ) | (482 | ) | ||||||||||||||||||
Loss from Real Estate Operations, net | $ | (7 | ) | $ | (36 | ) | $ | (16 | ) | $ | (12 | ) | $ | (23 | ) | $ | (48 | ) |
March 31, 2007 | December 31, 2006 | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June 30, 2007 | December 31, 2006 | |||||||||||||||||||||||||||||||||||||
Balance | Weighted Average Contractual Rate | Balance | Weighted Average Contractual Rate | Balance | Weighted Average Contractual Rate | Balance | Weighted Average Contractual Rate | |||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||
Within 30 days | $ | 2,998,900 | 5.27 | % | $ | 2,848,300 | 5.30 | % | $ | 3,644,300 | 5.30 | % | $ | 2,848,300 | 5.30 | % | ||||||||||||||||||||||
30 days to 3 months | 597,200 | 5.31 | 1,017,900 | 5.10 | 907,300 | 5.32 | 1,017,900 | 5.10 | ||||||||||||||||||||||||||||||
Over 3 months to 6 months | 425,500 | 5.32 | 37,200 | 3.98 | 117,400 | 5.29 | 37,200 | 3.98 | ||||||||||||||||||||||||||||||
Over 6 months to 12 months | 28,800 | 5.35 | — | — | 364,900 | 5.26 | — | — | ||||||||||||||||||||||||||||||
Over 12 months to 24 months | 269,800 | 5.27 | 1,505,311 | 5.16 | 1,077,585 | 5.12 | 1,505,311 | 5.16 | ||||||||||||||||||||||||||||||
Over 24 months to 36 months | 1,401,157 | 5.19 | 314,000 | 5.33 | 268,000 | 5.44 | 314,000 | 5.33 | ||||||||||||||||||||||||||||||
Over 36 months | 42,000 | 4.69 | — | — | ||||||||||||||||||||||||||||||||||
$ | 5,763,357 | 5.26 | % | $ | 5,722,711 | 5.22 | % | $ | 6,379,485 | 5.28 | % | $ | 5,722,711 | 5.22 | % |
Collateral Pledged | Collateral Pledged | Term to Maturity of Repurchase Agreement | Collateral Pledged | Term to Maturity of Repurchase Agreement | ||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBS Pledged | Fair Value of MBS Pledged as Collateral | Up to 30 Days | �� | 30 to 90 Days | Over 90 Days | Total | Fair Value of MBS Pledged as Collateral | Up to 30 Days | 30 to 90 Days | Over 90 Days | Total | |||||||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 5,477,696 | $ | 2,789,029 | $ | 494,100 | $ | 1,921,257 | $ | 5,204,386 | $ | 5,426,775 | $ | 2,820,900 | $ | 638,400 | $ | 1,718,555 | $ | 5,177,855 | ||||||||||||||||||||||||||||
Freddie Mac | 219,541 | 56,290 | 7,400 | 116,900 | 180,590 | 210,709 | 41,400 | — | 109,330 | 150,730 | ||||||||||||||||||||||||||||||||||||||
Ginnie Mae | 184,326 | 114,281 | 57,300 | 16,800 | 188,381 | 186,405 | 83,900 | 107,900 | — | 191,800 | ||||||||||||||||||||||||||||||||||||||
AAA Rated | 198,948 | 39,300 | 38,400 | 112,300 | 190,000 | 886,776 | 698,100 | 161,000 | — | 859,100 | ||||||||||||||||||||||||||||||||||||||
$ | 6,080,511 | $ | 2,998,900 | $ | 597,200 | $ | 2,167,257 | $ | 5,763,357 | $ | 6,710,665 | $ | 3,644,300 | $ | 907,300 | $ | 1,827,885 | $ | 6,379,485 |
Year Ended December 31, | At March 31, 2007 | |||||
---|---|---|---|---|---|---|
(In Thousands) | ||||||
2007 | $ | 459 | (1) | |||
2008 | 1,042 | |||||
2009 | 1,051 | |||||
2010 | 1,071 | |||||
2011 | 1,085 | |||||
Thereafter | 7,341 | |||||
$ | 12,049 |
Declaration Date | Record Date | Payment Date | Dividend Per share | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | ||||||||||||||
May 21, 2007 | June 1, 2007 | June 29, 2007 | $ | 0.53125 | ||||||||||
February 16, 2007 | March 1, 2007 | March 30, 2007 | | 0.53125 | ||||||||||
2006 | ||||||||||||||
February 17, 2006 | March 1, 2006 | March 31, 2006 | $ | 0.53125 | ||||||||||
May 19, 2006 | June 1, 2006 | June 30, 2006 | 0.53125 | |||||||||||
August 21, 2006 | September 1, 2006 | September 29, 2006 | 0.53125 | |||||||||||
November 20, 2006 | December 1, 2006 | December 29, 2006 | 0.53125 |
Declaration Date | Record Date | Payment Date | Dividend Per | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | ||||||||||||||
April 3, 2007 | April 13, 2007 | April 30, 2007 | $ | 0.080 | ||||||||||
2006 | ||||||||||||||
April 3, 2006 | April 17, 2006 | April 28, 2006 | $ | 0.050 | ||||||||||
July 5, 2006 | July 17, 2006 | July 31, 2006 | 0.050 | |||||||||||
October 2, 2006 | October 13, 2006 | October 31, 2006 | 0.050 | |||||||||||
December 14, 2006 | December 29, 2006 | January 31, 2007 | 0.060 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 | 2006 | 2007 | 2006 | 2007 | 2006 | |||||||||||||||||||||||||
(In Thousands, except per share amounts) | ||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | ||||||||||||||||||||||||||||||
Numerator: | ||||||||||||||||||||||||||||||
Net income allocable to common stockholders: | ||||||||||||||||||||||||||||||
Net income | $ | 9,850 | $ | 14,963 | ||||||||||||||||||||||||||
Net income from discontinued operations | — | 4,628 | ||||||||||||||||||||||||||||
Net income from continuing operations | 9,850 | 10,335 | ||||||||||||||||||||||||||||
Net income/(loss) allocable to common stockholders: | ||||||||||||||||||||||||||||||
Net income/(loss) | $ | 10,178 | $ | (19,733 | ) | $ | 20,028 | $ | (4,770 | ) | ||||||||||||||||||||
Net income/(loss) from discontinued operations | — | (56 | ) | — | 4,572 | |||||||||||||||||||||||||
Net income/(loss) from continuing operations | 10,178 | (19,677 | ) | 20,028 | (9,342 | ) | ||||||||||||||||||||||||
Dividends declared on preferred stock | (2,040 | ) | (2,040 | ) | (2,040 | ) | (2,040 | ) | (4,080 | ) | (4,080 | ) | ||||||||||||||||||
Net income available to common stockholders from continuing operations for basic and diluted earnings per share | 7,810 | 8,295 | ||||||||||||||||||||||||||||
Net income from discontinued operations | — | 4,628 | ||||||||||||||||||||||||||||
Net income available to common stockholders from continuing operations | $ | 7,810 | $ | 12,923 | ||||||||||||||||||||||||||
Net income/(loss) available to common stockholders from continuing operations for basic and diluted earnings per share | 8,138 | (21,717 | ) | 15,948 | (13,422 | ) | ||||||||||||||||||||||||
Net income/(loss) from discontinued operations | — | (56 | ) | — | 4,572 | |||||||||||||||||||||||||
Net income/(loss) available to common stockholders from continuing operations | $ | 8,138 | $ | (21,773 | ) | $ | 15,948 | $ | (8,850 | ) | ||||||||||||||||||||
Denominator: | ||||||||||||||||||||||||||||||
Weighted average common shares for basic earnings per share | 80,762 | 79,950 | 81,874 | 79,254 | 81,321 | 79,600 | ||||||||||||||||||||||||
Weighted average effect of dilutive employee stock options | 33 | 23 | 34 | 26 | 35 | 24 | ||||||||||||||||||||||||
Denominator for diluted earnings per share | 80,795 | 79,973 | 81,908 | 79,280 | 81,356 | 79,624 | ||||||||||||||||||||||||
Basic and diluted net earnings per share: | ||||||||||||||||||||||||||||||
Basic and diluted net earnings (loss) per share: | ||||||||||||||||||||||||||||||
Continuing operations | $ | 0.10 | $ | 0.10 | $ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.17 | ) | ||||||||||||||||
Discontinued operations | — | 0.06 | — | — | — | 0.06 | ||||||||||||||||||||||||
Total Basic and Diluted earnings per share | $ | 0.10 | $ | 0.16 | $ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.11 | ) |
June 30, 2007 | December 31, 2006 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | ||||||||||
Available-for-sale Investment Securities: | ||||||||||
Unrealized gains | $ | 2,693 | $ | 3,193 | ||||||
Unrealized (losses) | (48,340 | ) | (34,188 | ) | ||||||
(45,647 | ) | (30,995 | ) | |||||||
Hedging Instruments: | ||||||||||
Unrealized (losses) gains on Swaps, net | 15,024 | 519 | ||||||||
Unrealized gains on Caps | — | 83 | ||||||||
15,024 | 602 | |||||||||
Accumulated other comprehensive (loss) | $ | (30,623 | ) | $ | (30,393 | ) |
March 31, 2007 | December 31, 2006 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | ||||||||||
Available-for-sale MBS: | ||||||||||
Unrealized gains | ��$ | 7,829 | $ | 3,193 | ||||||
Unrealized (losses) | (26,324 | ) | (34,188 | ) | ||||||
(18,495 | ) | (30,995 | ) | |||||||
Hedging Instruments: | ||||||||||
Unrealized (losses) gains on Swaps | (4,181 | ) | 519 | |||||||
Unrealized gains on Caps | 32 | 83 | ||||||||
(4,149 | ) | 602 | ||||||||
Accumulated other comprehensive (loss) | $ | (22,644 | ) | $ | (30,393 | ) |
(In Thousands) | March 31, 2007 | December 31, 2006 | June 30, 2007 | December 31, 2006 | ||||||||||||||||
Directors’ deferred | $ | 599 | $ | 594 | $ | 573 | $ | 594 | ||||||||||||
Officers’ deferred | 280 | 277 | 267 | 277 | ||||||||||||||||
$ | 879 | $ | 871 | $ | 840 | $ | 871 |
Quarter Ended | Stated Coupon | Net Premium Amortization | Cost of Delay for Principal Receivable | Net Yield | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
March 31, 2007 | 6.11 | % | (0.55 | )% | (0.21 | )% | 5.35 | % | ||||||||||
December 31, 2006 | 6.04 | (0.64 | ) | (0.22 | ) | 5.18 | ||||||||||||
September 30, 2006 | 5.74 | (0.70 | ) | (0.21 | ) | 4.83 | ||||||||||||
June 30, 2006 | 5.16 | (0.76 | ) | (0.19 | ) | 4.21 | ||||||||||||
March 31, 2006 | 4.86 | (0.64 | )(1) | (0.18 | ) | 4.04 |
Quarter Ended | Stated Coupon | Net Premium Amortization | Cost of Delay for Principal Receivable | Net Yield | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June 30, 2007 | 6.09 | % | (0.50 | )% | (0.19 | )% | 5.40 | % | ||||||||||
March 31, 2007 | 6.11 | (0.55 | ) | (0.21 | ) | 5.35 | ||||||||||||
December 31, 2006 | 6.04 | (0.64 | ) | (0.22 | ) | 5.18 | ||||||||||||
September 30, 2006 | 5.74 | (0.70 | ) | (0.21 | ) | 4.83 | ||||||||||||
June 30, 2006 | 5.16 | (0.76 | ) | (0.19 | ) | 4.21 |
For the Quarter Ended | Average Amortized Cost of MBS(1) | Interest Income on MBS | Average Cash and Cash Equivalents | Total Interest Income | Yield on Average Interest- Earning Assets | Average Balance of Repurchase Agreements | Interest Expense | Average Cost of Funds | Net Interest Income | | Average Amortized Cost of MBS(1) | | Interest Income on MBS | | Average Cash and Cash Equivalents | | Total Interest Income | | Yield on Average Interest- Earning Assets | | Average Balance of Repurchase Agreements | | Interest Expense | | Average Cost of Funds | | Net Interest Income | |||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2007 | $ | 6,696,979 | $ | 90,341 | $ | 51,160 | $ | 91,026 | 5.39 | % | $ | 6,051,209 | $ | 78,348 | 5.19 | % | $ | 12,678 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2007 | $ | 6,300,491 | $ | 84,341 | $ | 34,443 | $ | 84,795 | 5.35 | % | $ | 5,647,700 | $ | 72,260 | 5.19 | % | $ | 12,535 | 6,300,491 | 84,341 | 34,443 | 84,795 | 5.35 | 5,647,700 | 72,260 | 5.19 | 12,535 | |||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2006 | 5,469,461 | 70,836 | 52,412 | 71,480 | 5.18 | 4,833,897 | 62,114 | 5.10 | 9,366 | 5,469,461 | 70,836 | 52,412 | 71,480 | 5.18 | 4,833,897 | 62,114 | 5.10 | 9,366 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2006 | 3,899,728 | 47,061 | 39,240 | 47,532 | 4.83 | 3,245,774 | 38,205 | 4.67 | 9,327 | 3,899,728 | 47,061 | 39,240 | 47,532 | 4.83 | 3,245,774 | 38,205 | 4.67 | 9,327 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2006 | 4,337,887 | 45,645 | 47,266 | 46,185 | 4.21 | 3,672,905 | 38,818 | 4.24 | 7,367 | 4,337,887 | 45,645 | 47,266 | 46,185 | 4.21 | 3,672,905 | 38,818 | 4.24 | 7,367 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2006 | 5,276,973 | 53,329 | 61,126 | 53,995 | 4.05 | 4,605,790 | 42,785 | 3.77 | 11,210 |
For the Quarter Ended | Net Interest Spread | Net Interest Margin | Net Interest Spread | Net Interest Margin | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June 30, 2007 | 0.20 | % | 0.74 | % | ||||||||||||||||
March 31, 2007 | 0.16 | % | 0.73 | % | 0.16 | 0.73 | ||||||||||||||
December 31, 2006 | 0.08 | 0.72 | 0.08 | 0.72 | ||||||||||||||||
September 30, 2006 | 0.16 | 0.98 | 0.16 | 0.98 | ||||||||||||||||
June 30, 2006 | (0.03 | ) | 0.66 | (0.03 | ) | 0.66 | ||||||||||||||
March 31, 2006 | 0.28 | 0.79 |
CPR | Estimated Months to Asset Reset | Estimated Months to Liabilities Reset (1) | Repricing Gap | Estimated Months to Asset Reset | Estimated Months to Liabilities Reset(1) | Repricing Gap in Months | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0%(2) | 42 | 16 | 26 | 49 | 18 | 31 | ||||||||||||||||||||
15% | 30 | 16 | 14 | 33 | 18 | 15 | ||||||||||||||||||||
25% | 24 | 16 | 8 | 25 | 18 | 7 |
At March 31, 2007 | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) | Less than 3 Months | Three Months to One Year | One Year to Two Years | Two Years to Year Three | Beyond Three Years | Total | |||||||||||||||||||||
Interest-Earning Assets: | |||||||||||||||||||||||||||
ARM-MBS | $ | 1,289,245 | $ | 1,500,125 | $ | 966,421 | $ | 836,292 | $ | 1,793,522 | $ | 6,385,605 | |||||||||||||||
Income notes | — | — | — | — | 1,980 | 1,980 | |||||||||||||||||||||
Cash | 53,697 | — | — | — | — | 53,697 | |||||||||||||||||||||
Total interest-earning assets | $ | 1,342,942 | $ | 1,500,125 | $ | 966,421 | $ | 836,292 | $ | 1,795,502 | $ | 6,441,282 | |||||||||||||||
Interest-Bearing Liabilities: | |||||||||||||||||||||||||||
Repurchase agreements | $ | 3,596,100 | $ | 454,300 | $ | 1,402,957 | $ | 310,000 | $ | — | $ | 5,763,357 | |||||||||||||||
Mortgage loans | — | — | — | — | 9,573 | 9,573 | |||||||||||||||||||||
Total interest-bearing liabilities | $ | 3,596,100 | $ | 454,300 | $ | 1,402,957 | $ | 310,000 | $ | 9,573 | $ | 5,772,930 | |||||||||||||||
Gap before Hedging Instruments | $ | (2,253,158 | ) | $ | 1,045,825 | $ | (436,536 | ) | $ | 526,292 | $ | 1,785,929 | $ | 668,352 | |||||||||||||
Notional Amounts of Swaps | 2,084,524 | — | — | — | — | $ | 2,084,524 | ||||||||||||||||||||
Cumulative Difference Between Interest-Earnings Assets and Interest Bearing Liabilities after Hedging Instruments | $ | (168,634 | ) | $ | 877,191 | $ | 440,655 | $ | 966,947 | $ | 2,752,876 |
Gap Table | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
At June 30, 2007 | |||||||||||||||||||||||||||
(In Thousands) | Less than 3 Months | Three Months to One Year | One Year to Two Years | Two Years to Year Three | Beyond Three Years | Total | |||||||||||||||||||||
Interest-Earning Assets: | |||||||||||||||||||||||||||
ARM-MBS | $ | 1,321,234 | $ | 1,516,794 | $ | 1,093,573 | $ | 945,336 | $ | 2,117,307 | $ | 6,994,244 | |||||||||||||||
Income notes | — | — | — | — | 1,890 | 1,890 | |||||||||||||||||||||
Cash | 54,329 | — | — | — | — | 54,329 | |||||||||||||||||||||
Total interest-earning assets | $ | 1,375,563 | $ | 1,516,794 | $ | 1,093,573 | $ | 945,336 | $ | 2,119,197 | $ | 7,050,463 | |||||||||||||||
Interest-Bearing Liabilities: | |||||||||||||||||||||||||||
Repurchase agreements | $ | 4,551,600 | $ | 482,300 | $ | 1,077,585 | $ | 268,000 | $ | — | $ | 6,379,485 | |||||||||||||||
Mortgage loans | — | — | — | — | 9,532 | 9,532 | |||||||||||||||||||||
Total interest-bearing liabilities | $ | 4,551,600 | $ | 482,300 | $ | 1,077,585 | $ | 268,000 | $ | 9,532 | $ | 6,389,017 | |||||||||||||||
Gap before Hedging Instruments | $ | (3,176,037 | ) | $ | 1,034,494 | $ | 15,988 | $ | 677,336 | $ | 2,109,665 | $ | 661,446 | ||||||||||||||
Swaps, notional amount | 2,954,102 | (50,000 | ) | — | (662,480 | ) | (2,241,622 | ) | — | ||||||||||||||||||
Cumulative Difference Between Interest-Earnings Assets and Interest Bearing Liabilities after Hedging Instruments | $ | (221,935 | ) | $ | 762,559 | $ | 778,547 | $ | 793,403 | $ | 661,446 | $ | — |
Change in Interest Rates | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
+ 1.00% | (22.29%) | (0.90%) | ||||||||
+ 0.50% | (5.83%) | (0.35%) | ||||||||
– 0.50% | 19.63% | 0.14% | ||||||||
– 1.00% | 30.01% | 0.09% |
Change in Interest Rates | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
+1.00% | (18.17%) | (1.34%) | ||||||||
+0.50% | (8.22%) | (0.56%) | ||||||||
–0.50% | 5.27% | 0.35% | ||||||||
–1.00% | 8.51% | 0.48% |
Name of Class III Nominees | For | Withheld | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Stewart Zimmerman | 69,338,223 | 4,130,176 | ||||||||||||||||
James A. Brodsky | 72,558,988 | 909,411 | ||||||||||||||||
Alan L. Gosule | 69,969,151 | 3,499,248 |
MFA MORTGAGE INVESTMENTS, INC. | ||
By:/s/Stewart Zimmerman Stewart Zimmerman President and Chief Executive Officer |
By:/s/William S. Gorin William S. Gorin Executive Vice President Chief Financial Officer (Principal Financial Officer) |
By:/s/Teresa D. Covello Teresa D. Covello Senior Vice President Chief Accounting Officer and Treasurer (Principal Accounting Officer) |