MARYLAND
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22-3479661
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(State or other jurisdiction of incorporation of organization)
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(I.R.S. Employer Identification Number)
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1211 Avenue of the Americas, Suite 2902
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New York, New York
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10036
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(Address of Principal Executive Offices)
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(Zip Code)
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Title of Each Class
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Name of Each Exchange on Which Registered
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Common Stock, par value $.01 per share
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New York Stock Exchange
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Large accelerated filer X
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Accelerated filer __
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Non-accelerated filer __
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Smaller reporting company___
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PART I
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PAGE
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1
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17
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34
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34
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35
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35 | |||
PART II
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36
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39
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40
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56
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57
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57
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57
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58
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PART III
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59
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59
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59
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59
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59
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PART IV
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60
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60
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63
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II-1
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●
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changes in interest rates,
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●
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changes in the yield curve,
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changes in prepayment rates,
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the availability of mortgage-backed securities and other securities for purchase,
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the availability of financing and, if available, the terms of any financing,
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changes in the market value of our assets,
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changes in business conditions and the general economy,
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our ability to consummate any contemplated investment opportunities,
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risks associated with the investment advisory business of our wholly owned subsidiaries, including:
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o
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the removal by clients of assets managed,
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o
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their regulatory requirements, and
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o
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competition in the investment advisory business,
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●
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risks associated with the broker-dealer business of our subsidiary,
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changes in government regulations affecting our business,
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our ability to maintain our exemption from registration under the Investment Company Act of 1940, and
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our ability to maintain our qualification as a REIT for federal income tax purposes.
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Name
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Age
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Position held with the Company
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Michael A.J. Farrell
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60
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Chairman of the Board, Chief Executive Officer and President
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Wellington J. Denahan-Norris
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48
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Vice Chairman of the Board, Chief Investment Officer and Chief Operating Officer
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Kathryn F. Fagan
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45
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Chief Financial Officer and Treasurer
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R. Nicholas Singh
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52
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Chief Legal Officer, Secretary and Chief Compliance Officer
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James P. Fortescue
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38
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Managing Director, Head of Liabilities and Chief of Staff
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Kristopher Konrad
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37
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Managing Director and Head Portfolio Manager
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Rose-Marie Lyght
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38
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Managing Director and Chief Investment Officer of FIDAC
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Jeremy Diamond
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48
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Managing Director and Head of Research and Corporate Communications
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Ronald Kazel
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44
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Managing Director and Head of Asset Management Group
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Matthew Lambiase
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45
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Managing Director and Head of Business Development
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Kevin Keyes
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44
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Managing Director and Chief Strategy Officer
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§
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to acquire Investment Securities that we believe:
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-
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we have the necessary expertise to evaluate and manage;
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-
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we can readily finance;
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-
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are consistent with our balance sheet guidelines and risk management objectives; and
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-
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provide attractive investment returns in a range of scenarios;
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§
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to finance purchases of mortgage-backed securities with the proceeds of equity and debt offerings and, to the extent permitted by our capital investment policy, to utilize leverage to increase potential returns to stockholders through borrowings;
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§
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to attempt to structure our borrowings to have interest rate adjustment indices and interest rate adjustment periods that, on an aggregate basis, generally correspond to the interest rate adjustment indices and interest rate adjustment periods of our adjustable-rate mortgage-backed securities;
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§
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to seek to minimize prepayment risk by structuring a diversified portfolio with a variety of prepayment characteristics and through other means; and
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§
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to issue new equity or debt and increase the size of our balance sheet when opportunities in the market for mortgage-backed securities are likely to allow growth in earnings per share.
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§
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seeking to raise additional capital from time to time in order to increase our ability to invest in mortgage-backed securities;
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§
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striving to lower our effective borrowing costs by seeking direct funding with collateralized lenders, rather than using financial intermediaries, and investigating the possibility of using commercial paper and medium term note programs;
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§
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improving the efficiency of our balance sheet structure by investigating the issuance of uncollateralized subordinated debt, preferred stock and other forms of capital; and
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§
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utilizing information technology in our business, including improving our ability to monitor the performance of our Investment Securities and to lower our operating costs.
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·
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LIBOR or the London Interbank Offered Rate. The interest rate that banks in London offer for deposits in London of U.S. dollars.
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·
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Treasury Index. A monthly or weekly average yield of benchmark U.S. Treasury securities, as published by the Federal Reserve Board.
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§
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the amount and nature of anticipated cash flows from the asset;
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§
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our ability to pledge the asset to secure collateralized borrowings;
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§
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the increase in our capital requirement determined by our capital investment policy resulting from the purchase and financing of the asset; and
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§
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the costs of financing, hedging and managing the asset.
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·
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Differences in timing of interest rate adjustments on our Investment Securities and our borrowings may adversely affect our profitability
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·
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LIBOR. The interest rate that banks in London offer for deposits in London of U.S. dollars.
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·
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Treasury Rate. A monthly or weekly average yield of benchmark U.S. Treasury securities, as published by the Federal Reserve Board.
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·
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Interest rate caps on our Agency mortgage-backed securities and Agency debentures may adversely affect our profitability
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·
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Because we acquire fixed-rate securities, an increase in interest rates may adversely affect our profitability
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·
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Our leverage may cause substantial losses
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·
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short-term interest rates increase;
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·
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the market value of our Investment Securities decreases;
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·
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interest rate volatility increases; or
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·
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the availability of financing in the market decreases.
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·
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Our leverage may cause margin calls and defaults and force us to sell assets under adverse market conditions
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·
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Liquidation of collateral may jeopardize our REIT status
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·
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We may exceed our target leverage ratios
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·
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We may not be able to achieve our optimal leverage
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·
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we determine that the leverage would expose us to excessive risk;
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·
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our lenders do not make funding available to us at acceptable rates; or
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·
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our lenders require that we provide additional collateral to cover our borrowings.
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·
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We may incur increased borrowing costs which would adversely affect our profitability
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·
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the movement of interest rates;
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·
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the availability of financing in the market; or
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·
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the value and liquidity of our Investment Securities.
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·
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Our hedging strategies may not be successful in mitigating the risks associated with interest rates
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·
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Our use of derivatives may expose us to counterparty risks
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·
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75% of our total assets must be high quality mortgage-backed securities and short-term investments. High quality securities are securities (1) that are rated within one of the two highest rating categories by at least one of the nationally recognized rating agencies, (2) that are unrated but are guaranteed by the United States government or an agency of the United States government, or (3) that are unrated or whose ratings have not been updated but that our management determines are of comparable quality to high quality rated mortgage-backed securities;
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·
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the remaining 25% of total assets, may consist of mortgage-backed securities and other qualified REIT real estate assets which are unrated or rated less than high quality, but which are at least “investment grade” (rated “BBB” or better by Standard & Poor’s Corporation (or S&P) or the equivalent by another nationally recognized rating agency) or, if not rated, we determine them to be of comparable credit quality to an investment which is rated “BBB” or better. In addition, we may directly or indirectly invest part of this remaining 25% of our assets in other types of securities, including without limitation, unrated debt, equity or derivative securities, to the extent consistent with our REIT qualification requirements. The derivative securities in which we invest may include securities representing the right to receive interest only or a disproportionately large amount of interest, as well as inverse floaters, which may have imbedded leverage as part of their structural characteristics; and
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·
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we seek to structure our portfolio to maintain a minimum weighted average rating (including our deemed comparable ratings for unrated mortgage-backed securities) of our mortgage-backed securities of at least single “A” under the S&P rating system and at the comparable level under the other rating systems.
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·
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Our failure to qualify as a REIT would have adverse tax consequences
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·
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We have certain distribution requirements
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·
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We are also subject to other tax liabilities
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·
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Limits on ownership of our common stock could have adverse consequences to you and could limit your opportunity to receive a premium on our stock
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·
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A REIT cannot invest more than 25% of its total assets in the stock or securities of one or more taxable REIT subsidiaries; therefore, our taxable subsidiaries cannot constitute more than 25% of our total assets
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·
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Taxable REIT subsidiaries are subject to tax at the regular corporate rates, are not required to distribute dividends, and the amount of dividends a taxable REIT subsidiary can pay to its parent REIT may be limited by REIT gross income tests
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·
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If interest accrues on indebtedness owed by a taxable REIT subsidiary to its parent REIT at a rate in excess of a commercially reasonable rate, or if transactions between a REIT and a taxable REIT subsidiary are entered into on other than arm’s-length terms, the REIT may be subject to a penalty tax
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·
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80% of the votes entitled to be cast by holders of outstanding voting shares; and
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·
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two-thirds of the votes entitled to be cast by holders of outstanding voting shares other than shares held by the interested stockholder or an affiliate of the interested stockholder with whom the business combination is to be effected.
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·
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one-tenth or more but less than one third of all voting power;
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·
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one-third or more but less than a majority of all voting power; or
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·
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a majority or more of all voting power.
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·
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the last control share acquisition; or
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·
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the meeting where stockholders considered and did not approve voting rights of the control shares.
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●
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actual or anticipated variations in our quarterly operating results or business prospects;
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changes in our earnings estimates or publication of research reports about us or the real estate industry;
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an inability to meet or exceed securities analysts' estimates or expectations;
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increases in market interest rates;
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hedging or arbitrage trading activity in our shares of common stock;
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capital commitments;
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changes in market valuations of similar companies;
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adverse market reaction to any increased indebtedness we incur in the future;
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additions or departures of management personnel;
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actions by institutional shareholders;
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speculation in the press or investment community;
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changes in our distribution policy;
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general market and economic conditions; and
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●
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future sales of our shares of common stock or securities convertible into, or exchangeable or exercisable for, our shares of common stock.
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Stock Prices
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High
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Low
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Close
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|||||||||
First Quarter ended March 31, 2011
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$ | 18.16 | $ | 17.31 | $ | 17.45 | ||||||
Second Quarter ended June 30, 2011
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$ | 18.79 | $ | 17.15 | $ | 18.04 | ||||||
Third Quarter ended September 30, 2011
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$ | 18.58 | $ | 14.05 | $ | 16.63 | ||||||
Fourth Quarter ended December 31, 2011
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$ | 17.12 | $ | 14.65 | $ | 15.96 | ||||||
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High
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Low
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Close
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|||||||||
First Quarter ended March 31, 2010
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$ | 18.75 | $ | 16.96 | $ | 17.18 | ||||||
Second Quarter ended June 30, 2010
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$ | 18.10 | $ | 14.09 | $ | 17.15 | ||||||
Third Quarter ended September 30, 2010
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$ | 18.54 | $ | 16.73 | $ | 17.60 | ||||||
Fourth Quarter ended December 31, 2010
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$ | 18.37 | $ | 17.25 | $ | 17.92 |
Common Dividends
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||||
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Declared Per Share
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|||
|
||||
First Quarter ended March 31, 2011
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$ | 0.62 | ||
Second Quarter ended June 30, 2011
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$ | 0.65 | ||
Third Quarter ended September 30, 2011
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$ | 0.60 | ||
Fourth Quarter ended December 31, 2011
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$ | 0.57 | ||
First Quarter ended March 31, 2010
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$ | 0.65 | ||
Second Quarter ended June 30, 2010
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$ | 0.68 | ||
Third Quarter ended September 30, 2010
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$ | 0.68 | ||
Fourth Quarter ended December 31, 2010
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$ | 0.64 |
12/31/2006
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12/31/2007
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12/31/2008
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12/31/2009
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12/31/2010
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12/31/2011
|
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Annaly Capital Management, Inc.
|
100 | 137 | 135 | 163 | 185 | 188 | ||||||||||||||||||
S&P 500 Index
|
100 | 105 | 68 | 84 | 96 | 98 | ||||||||||||||||||
BBG Reit Index
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100 | 59 | 42 | 48 | 53 | 53 |
Plan Category
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Number of securities to be
issued upon exercise of
outstanding options,
warrants and rights
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Weighted-average exercise
price of outstanding
options, warrants and
rights
|
Number of securities
remaining available for
future issuance under the
Incentive Plans (excluding
previously issued)
|
|||||||||
Equity compensation plans approved by security holders
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6,216,805 | $ | 15.57 | 24,775,921 | ||||||||
Equity compensation plans not approved by security holders
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- | - | - | |||||||||
Total
|
6,216,805 | $ | 15.57 | 24,775,921 |
For the Years Ended December 31,
|
||||||||||||||||||||
Statement of Operations Data
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2011
|
2010
|
2009
|
2008
|
2007
|
|||||||||||||||
Interest income:
|
||||||||||||||||||||
Investments
|
$ | 3,558,015 | $ | 2,676,307 | $ | 2,922,499 | $ | 3,115,428 | $ | 2,355,447 | ||||||||||
U.S. Treasury Securities
|
14,706 | 2,830 | - | - | - | |||||||||||||||
Securities loaned
|
6,897 | 3,997 | 103 | - | - | |||||||||||||||
Total interest income
|
3,579,618 | 2,683,134 | 2,922,602 | 3,115,428 | 2,355,447 | |||||||||||||||
Interest expense:
|
||||||||||||||||||||
Repurchase agreements
|
426,769 | 397,971 | 575,867 | 1,560,976 | 1,892,372 | |||||||||||||||
Convertible Senior Notes
|
35,017 | 24,228 | - | - | - | |||||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
13,081 | 2,649 | - | - | - | |||||||||||||||
Securities borrowed
|
5,459 | 3,377 | 92 | - | - | |||||||||||||||
Total interest expense
|
480,326 | 428,225 | 575,959 | 1,560,976 | 1,892,372 | |||||||||||||||
Net interest income
|
3,099,292 | 2,254,909 | 2,346,643 | 1,554,452 | 463,075 | |||||||||||||||
Other income (loss):
|
||||||||||||||||||||
Investment advisory and other fee income
|
79,205 | 58,073 | 48,952 | 27,891 | 22,028 | |||||||||||||||
Net gains (losses) on sales of Agency mortgage-backed securities
and debentures
|
206,846 | 181,791 | 99,128 | 10,713 | 19,062 | |||||||||||||||
Dividend income
|
31,516 | 31,038 | 17,184 | 2,713 | 91 | |||||||||||||||
Net gains (losses) on trading
|
21,398 | (2,351 | ) | - | 9,695 | 19,147 | ||||||||||||||
Loss on other-than-temporarily impaired securities
|
- | - | - | (31,834 | ) | (1,189 | ) | |||||||||||||
Net unrealized gain (losses) on Agency interest-only mortgage-
backed securities
|
(106,657 | ) | - | - | - | - | ||||||||||||||
Loss on receivable from Prime Broker
|
- | - | (13,613 | ) | - | - | ||||||||||||||
Income from underwriting
|
5,618 | 2,095 | - | - | - | |||||||||||||||
Subtotal
|
237,926 | 270,646 | 151,651 | 19,178 | 59,139 | |||||||||||||||
Gain on termination of interest rate swaps
|
- | - | - | - | 2,096 | |||||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(882,395 | ) | (735,107 | ) | (719,803 | ) | (327,936 | ) | (34,093 | ) | ||||||||||
Unrealized gains (losses) on interest rate swaps
|
(1,815,107 | ) | (318,832 | ) | 349,521 | (768,268 | ) | - | ||||||||||||
Subtotal
|
(2,697,502 | ) | (1,053,939 | ) | (370,282 | ) | (1,096,204 | ) | (31,997 | ) | ||||||||||
Total other income (loss)
|
(2,459,576 | ) | (783,293 | ) | (218,631 | ) | (1,077,026 | ) | 27,142 | |||||||||||
Expenses:
|
||||||||||||||||||||
Distribution fees
|
- | 360 | 1,756 | 1,589 | 3,647 | |||||||||||||||
Compensation expense
|
206,251 | 146,958 | 111,416 | 87,412 | 50,798 | |||||||||||||||
Other general and administrative expenses
|
31,093 | 24,529 | 18,736 | 16,210 | 11,868 | |||||||||||||||
Total Expenses
|
237,344 | 171,847 | 131,908 | 105,211 | 66,313 | |||||||||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
402,372 | 1,299,769 | 1,996,104 | 372,215 | 423,904 | |||||||||||||||
Income taxes
|
(59,051 | ) | (35,434 | ) | (34,381 | ) | (25,977 | ) | ( 8,870 | ) | ||||||||||
Income (loss) on equity method investment in affiliate
|
1,140 | 2,945 | (252 | ) | - | - | ||||||||||||||
Income before noncontrolling interest
|
344,461 | 1,267,280 | 1,961,471 | 346,238 | 415,034 | |||||||||||||||
Noncontrolling interest
|
- | - | - | 58 | 650 | |||||||||||||||
Net income (loss)
|
344,461 | 1,267,280 | 1,961,471 | 346,180 | 414,384 | |||||||||||||||
Dividends on preferred stock
|
16,854 | 18,033 | 18,501 | 21,177 | 21,493 | |||||||||||||||
Net income (loss) available (related) to common shareholders
|
$ | 327,607 | $ | 1,249,247 | $ | 1,942,970 | $ | 325,003 | $ | 392,891 | ||||||||||
Basic net income per average common share
|
$ | 0.37 | $ | 2.12 | $ | 3.55 | $ | 0.64 | $ | 1.32 | ||||||||||
Diluted net income per average common share
|
$ | 0.37 | $ | 2.04 | $ | 3.52 | $ | 0.64 | $ | 1.31 | ||||||||||
Other Financial Data
|
||||||||||||||||||||
Total assets
|
$ | 109,630,002 | $ | 83,026,590 | $ | 69,376,190 | $ | 57,597,615 | $ | 53,903,514 | ||||||||||
6.00% Series B Cumulative Convertible Preferred Stock
|
$ | 32,272 | $ | 40,032 | $ | 63,114 | $ | 96,042 | $ | 111,466 | ||||||||||
Dividends declared per common share
|
$ | 2.44 | $ | 2.65 | $ | 2.54 | $ | 2.08 | $ | 1.04 |
Average
Interest-
Earning
Assets(1)
|
Total
Interest
Income
|
Yield on
Average
Interest-
Earning
Assets
|
Average
Interest-
Bearing Liabilities
|
Economic
Interest
Expense (2)
|
Average
Cost of
Interest-
Bearing Liabilities
|
Economic
Net
Interest
Income(3)
|
Net
Interest
Rate
Spread
|
|||||||||||||||||||||||||
(ratios for the quarters have been annualized, dollars in thousands)
|
||||||||||||||||||||||||||||||||
Year Ended December 31, 2011
|
$ | 96,675,016 | $ | 3,579,618 | 3.70 | % | $ | 84,595,933 | $ | 1,362,721 | 1.61 | % | $ | 2,216,897 | 2.09 | % | ||||||||||||||||
Year Ended December 31, 2010
|
$ | 66,981,887 | $ | 2,683,134 | 4.01 | % | $ | 60,242,842 | $ | 1,163,332 | 1.93 | % | $ | 1,519,802 | 2.08 | % | ||||||||||||||||
Year Ended December 31, 2009
|
$ | 58,554,200 | $ | 2,922,602 | 4.99 | % | $ | 52,361,607 | $ | 1,295,762 | 2.47 | % | $ | 1,626,840 | 2.52 | % | ||||||||||||||||
Year Ended December 31, 2008
|
$ | 55,962,519 | $ | 3,115,428 | 5.57 | % | $ | 50,270,226 | $ | 1,888,912 | 3.76 | % | $ | 1,226,516 | 1.81 | % | ||||||||||||||||
Year Ended December 31, 2007
|
$ | 40,800,148 | $ | 2,355,447 | 5.77 | % | $ | 37,967,215 | $ | 1,926,465 | 5.07 | % | $ | 428,982 | 0.70 | % | ||||||||||||||||
Quarter Ended December 31, 2011
|
$ | 102,339,797 | $ | 847,700 | 3.31 | % | $ | 89,488,111 | $ | 357,771 | 1.60 | % | $ | 489,929 | 1.71 | % | ||||||||||||||||
Quarter Ended September 30, 2011
|
$ | 100,473,505 | $ | 930,802 | 3.71 | % | $ | 86,617,908 | $ | 353,266 | 1.63 | % | $ | 577,536 | 2.08 | % | ||||||||||||||||
Quarter Ended June 30, 2011
|
$ | 94,696,473 | $ | 957,068 | 4.04 | % | $ | 83,042,390 | $ | 330,080 | 1.59 | % | $ | 626,988 | 2.45 | % | ||||||||||||||||
Quarter Ended March 31, 2011
|
$ | 89,190,290 | $ | 844,048 | 3.79 | % | $ | 79,235,324 | $ | 321,604 | 1.62 | % | $ | 522,444 | 2.17 | % |
|
(1)
|
Does not reflect unrealized gains/ (losses) or premium/ (discount).
|
|
(2)
|
Economic interest expense includes interest expense on interest rate swaps.
|
|
(3)
|
Economic net interest income includes interest expense on interest rate swaps
|
Quarter Ended
|
CPR
|
|||
December 31, 2011
|
22 | % | ||
September 30, 2011
|
18 | % | ||
June 30, 2011
|
11 | % | ||
March 31, 2011
|
17 | % |
GAAP Total Stockholders’
Equity
|
Non-GAAP
Total
Stockholders’
Equity
|
GAAP
Interest
Expense
|
Economic
Interest
Expense
|
GAAP Net
Interest
Income
|
Economic
Net interest
Income
|
|||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||
For the Year Ended December 31, 2011
|
$ | 15,760,642 | $ | 15,792,914 | $ | 480,326 | $ | 1,362,721 | $ | 3,099,292 | $ | 2,216,897 | ||||||||||||
For the Year Ended December 31, 2010
|
$ | 9,864,900 | $ | 9,904,932 | $ | 428,225 | $ | 1,163,332 | $ | 2,254,909 | $ | 1,519,802 | ||||||||||||
For the Year Ended December 31, 2009
|
$ | 9,554,426 | $ | 9,617,540 | $ | 575,959 | $ | 1,295,762 | $ | 2,346,643 | $ | 1,626,840 | ||||||||||||
For the Year Ended December 31, 2008
|
$ | 7,183,272 | $ | 7,279,314 | $ | 1,560,976 | $ | 1,888,912 | $ | 1,554,452 | $ | 1,226,516 | ||||||||||||
For the Year Ended December 31, 2007
|
$ | 5,204,938 | $ | 5,316,404 | $ | 1,892,372 | $ | 1,926,465 | $ | 463,075 | $ | 428,982 | ||||||||||||
For the Quarter Ended December 31, 2011
|
$ | 15,760,642 | $ | 15,792,914 | $ | 130,133 | $ | 357,771 | $ | 717,567 | $ | 489,929 | ||||||||||||
For the Quarter Ended September 30, 2011
|
$ | 15,910,022 | $ | 15,943,686 | $ | 121,417 | $ | 353,266 | $ | 809,385 | $ | 577,536 | ||||||||||||
For the Quarter Ended June 30, 2011
|
$ | 13,929,362 | $ | 13,969,321 | $ | 113,320 | $ | 330,080 | $ | 843,748 | $ | 626,988 | ||||||||||||
For the Quarter Ended March 31, 2011
|
$ | 12,853,017 | $ | 12,893,000 | $ | 115,456 | $ | 321,604 | $ | 728,592 | $ | 522,444 |
Country
|
Number of
Counterparties
|
Repurchase
Agreement
Financing
|
Interest Rate Swaps
at Fair Value
|
Exposure(1)
|
Exposure as a
Percentage of Total Assets
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
France
|
3 | $ | 4,055,883 | $ | (213,192 | ) | $ | 269,821 | 0.25 | % | ||||||||||
Germany
|
1 | $ | 3,337,094 | $ | (408,372 | ) | $ | 237,979 | 0.22 | % | ||||||||||
Netherlands
|
2 | $ | 5,578,511 | - | $ | 340,082 | 0.31 | % | ||||||||||||
Switzerland
|
2 | $ | 7,551,660 | $ | (416,103 | ) | $ | 553,525 | 0.50 | % | ||||||||||
United Kingdom
|
2 | $ | 4,706,534 | $ | (118,123 | ) | $ | 256,886 | 0.23 | % | ||||||||||
Total
|
10 | $ | 25,229,682 | $ | (1,155,790 | ) | $ | 1,658,293 | 1.51 | % |
|
(1)
|
Represents the amount of cash and/or securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrelated loss on swaps for each counterparty.
|
For the Years Ended December 31,
|
||||||||||||
2011
|
2010
|
2009
|
||||||||||
Interest income:
|
||||||||||||
Investments
|
$ | 3,558,015 | $ | 2,676,307 | $ | 2,922,499 | ||||||
U.S. Treasury Securities
|
14,706 | 2,830 | - | |||||||||
Securities loaned
|
6,897 | 3,997 | 103 | |||||||||
Total interest income
|
3,579,618 | 2,683,134 | 2,922,602 | |||||||||
Interest expense:
|
||||||||||||
Repurchase agreements
|
426,769 | 397,971 | 575,867 | |||||||||
Convertible Senior Notes
|
35,017 | 24,228 | - | |||||||||
U.S. Treasury Securities sold, not yet purchased
|
13,081 | 2,649 | - | |||||||||
Securities borrowed
|
5,459 | 3,377 | 92 | |||||||||
Total interest expense
|
480,326 | 428,225 | 575,959 | |||||||||
Net interest income
|
3,099,292 | 2,254,909 | 2,346,643 | |||||||||
Other income (loss):
|
||||||||||||
Investment advisory and other fee income
|
79,205 | 58,073 | 48,952 | |||||||||
Net gains (losses) on sales of Agency mortgage-backed securities and debentures
|
206,846 | 181,791 | 99,128 | |||||||||
Dividend income
|
31,516 | 31,038 | 17,184 | |||||||||
Net gains (losses) on trading
|
21,398 | (2,351 | ) | - | ||||||||
Net unrealized gain (losses) on Agency interest-only mortgage-backed securities
|
(106,657 | ) | - | - | ||||||||
Income from underwriting
|
5,618 | 2,095 | - | |||||||||
Loss on receivable from Prime Broker
|
- | - | (13,613 | ) | ||||||||
Subtotal
|
237,926 | 270,646 | 151,651 | |||||||||
Realized gains (losses) on interest rate swaps(1)
|
(882,395 | ) | (735,107 | ) | (719,803 | ) | ||||||
Unrealized gains (losses) on interest rate swaps
|
(1,815,107 | ) | (318,832 | ) | 349,521 | |||||||
Subtotal
|
(2,697,502 | ) | (1,053,939 | ) | (370,282 | ) | ||||||
Total other income (loss)
|
(2,459,576 | ) | (783,293 | ) | (218,631 | ) | ||||||
Expenses:
|
||||||||||||
Distribution fees
|
- | 360 | 1,756 | |||||||||
Compensation expense
|
206,251 | 146,958 | 111,416 | |||||||||
General and administrative expenses
|
31,093 | 24,529 | 18,736 | |||||||||
Total Expenses
|
237,344 | 171,847 | 131,908 | |||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
402,372 | 1,299,769 | 1,996,104 | |||||||||
Income taxes
|
(59,051 | ) | (35,434 | ) | (34,381 | ) | ||||||
Income (loss) from equity method investment in affiliate
|
1,140 | 2,945 | (252 | ) | ||||||||
Net income (loss)
|
344,461 | 1,267,280 | 1,961,471 | |||||||||
Dividends on preferred stock
|
16,854 | 18,033 | 18,501 | |||||||||
Net income (loss) available (related) to common shareholders
|
$ | 327,607 | $ | 1,249,247 | $ | 1,942,970 | ||||||
Weighted average number of basic common shares outstanding
|
874,212,039 | 588,192,659 | 546,973,036 | |||||||||
Weighted average number of diluted common shares outstanding
|
874,518,938 | 625,307,174 | 553,130,643 | |||||||||
Basic net income per average common share
|
$ | 0.37 | $ | 2.12 | $ | 3.55 | ||||||
Diluted net income per average common share
|
$ | 0.37 | $ | 2.04 | $ | 3.52 | ||||||
Average total assets
|
$ | 101,054,583 | $ | 76,242,938 | $ | 65,224,198 | ||||||
Average equity
|
$ | 13,700,771 | $ | 9,701,233 | $ | 8,644,228 | ||||||
Return on average total assets
|
0.34 | % | 1.66 | % | 3.01 | % | ||||||
Return on average equity
|
2.51 | % | 13.06 | % | 22.69 | % | ||||||
(1) Interest expense related to the Company’s interest rate swaps is recorded in realized gains (losses) on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss)
|
Average
Interest-Bearing Liabilities
|
Interest-Bearing Liabilities
at Period
End
|
Economic Interest Expense(1)
|
Average
Cost of Interest-Bearing Liabilities
|
Average
One-
Month
LIBOR
|
Average
Six-
Month
LIBOR
|
Average
One-Month LIBOR Relative to Average
Six-
Month
LIBOR
|
Average
Cost of Interest-Bearing Liabilities Relative to Average
One-Month LIBOR
|
Average
Cost of
Interest Bearing Liabilities
Relative to Average
Six-Month LIBOR
|
|||||||||||||||||||
For the Year Ended
December 31, 2011
|
$ | 84,595,933 | $ | 86,269,611 | $ | 1,362,721 | 1.61 | % | 0.23 | % | 0.51 | % | (0.28 | %) | 1.38 | % | 1.10 | % | |||||||||
For the Year Ended
December 31, 2010
|
$ | 60,242,842 | $ | 67,260,840 | $ | 1,163,332 | 1.93 | % | 0.27 | % | 0.52 | % | (0.25 | %) | 1.66 | % | 1.41 | % | |||||||||
For the Year Ended
December 31, 2009
|
$ | 52,361,607 | $ | 54,627,186 | $ | 1,295,762 | 2.47 | % | 0.33 | % | 1.11 | % | (0.78 | %) | 2.14 | % | 1.36 | % | |||||||||
For the Year Ended
December 31, 2008
|
$ | 50,270,226 | $ | 46,674,885 | $ | 1,888,912 | 3.76 | % | 2.68 | % | 3.06 | % | (0.38 | %) | 1.08 | % | 0.70 | % | |||||||||
For the Year Ended
December 31, 2007
|
$ | 37,967,215 | $ | 46,079,395 | $ | 1,926,465 | 5.07 | % | 5.19 | % | 5.19 | % | (0.00 | %) | (0.12 | %) | (0.12 | %) | |||||||||
For the Quarter Ended
December 31, 2011
|
$ | 89,488,111 | $ | 86,269,611 | $ | 357,771 | 1.60 | % | 0.26 | % | 0.68 | % | (0.42 | %) | 1.34 | % | 0.92 | % | |||||||||
For the Quarter Ended
September 30, 2011
|
$ | 86,671,908 | $ | 88,509,516 | $ | 353,266 | 1.63 | % | 0.21 | % | 0.47 | % | (0.26 | %) | 1.42 | % | 1.16 | % | |||||||||
For the Quarter Ended
June 30, 2011
|
$ | 83,042,390 | $ | 79,986,235 | $ | 330,080 | 1.59 | % | 0.20 | % | 0.42 | % | (0.22 | %) | 1.39 | % | 1.17 | % | |||||||||
For the Quarter Ended
March 31, 2011
|
$ | 79,235,324 | $ | 81,732,664 | $ | 321,604 | 1.62 | % | 0.26 | % | 0.46 | % | (0.20 | %) | 1.36 | % | 1.16 | % |
|
(1)
|
Economic interest expense includes interest expense on interest rate swaps.
|
Average
Interest
Earning
Assets
|
Total
Interest
Income
|
Yield on Average Interest Earning Assets
|
Average
Interest-
Bearing Liabilities
|
Economic
Interest
Expense(1)
|
Average
Cost of
Interest-
Bearing Liabilities
|
Economic
Net
Interest
Income(1)
|
Net
Interest
Rate
Spread
|
|||||||||||||||||||||||||
For the Year Ended
December 31, 2011
|
$ | 96,675,016 | $ | 3,579,618 | 3.70 | % | $ | 84,595,933 | $ | 1,362,721 | 1.61 | % | $ | 2,216,897 | 2.09 | % | ||||||||||||||||
For the Year Ended
December 31, 2010
|
$ | 66,981,887 | $ | 2,683,134 | 4.01 | % | $ | 60,242,842 | $ | 1,163,332 | 1.93 | % | $ | 1,519,802 | 2.08 | % | ||||||||||||||||
For the Year Ended
December 31, 2009
|
$ | 58,554,200 | $ | 2,922,602 | 4.99 | % | $ | 52,361,607 | $ | 1,295,762 | 2.47 | % | $ | 1,626,840 | 2.52 | % | ||||||||||||||||
For the Year Ended
December 31, 2008
|
$ | 55,962,519 | $ | 3,115,428 | 5.57 | % | $ | 50,270,226 | $ | 1,888,912 | 3.76 | % | $ | 1,226,516 | 1.81 | % | ||||||||||||||||
For the Year Ended
December 31, 2007
|
$ | 40,800,148 | $ | 2,355,447 | 5.77 | % | $ | 37,967,215 | $ | 1,926,465 | 5.07 | % | $ | 428,982 | 0.70 | % | ||||||||||||||||
For the Quarter Ended
December 31, 2011
|
$ | 102,339,797 | $ | 847,700 | 3.31 | % | $ | 89,488,111 | $ | 357,771 | 1.60 | % | $ | 489,929 | 1.71 | % | ||||||||||||||||
For the Quarter Ended
September 30, 2011
|
$ | 100,473,505 | $ | 930,802 | 3.71 | % | $ | 86,671,908 | $ | 353,266 | 1.63 | % | $ | 577,536 | 2.08 | % | ||||||||||||||||
For the Quarter Ended
June 30, 2011
|
$ | 94,696,473 | $ | 957,068 | 4.04 | % | $ | 83,042,390 | $ | 330,080 | 1.59 | % | $ | 626,988 | 2.45 | % | ||||||||||||||||
For the Quarter Ended
March 31, 2011
|
$ | 89,190,290 | $ | 844,048 | 3.79 | % | $ | 79,235,324 | $ | 321,604 | 1.62 | % | $ | 522,444 | 2.17 | % |
|
(1)
|
Economic interest expense and economic net interest income include interest expense on interest rate swaps.
|
Total G&A
Expenses
|
Total G&A
Expenses/Average Assets
|
Total G&A
Expenses/Average Equity
|
||||||||||
For the Year Ended December 31, 2011
|
$ | 237,344 | 0.23 | % | 1.73 | % | ||||||
For the Year Ended December 31, 2010
|
$ | 171,487 | 0.22 | % | 1.76 | % | ||||||
For the Year Ended December 31, 2009
|
$ | 130,152 | 0.20 | % | 1.51 | % | ||||||
For the Year Ended December 31, 2008
|
$ | 103,622 | 0.18 | % | 1.55 | % | ||||||
For the Year Ended December 31, 2007
|
$ | 62,666 | 0.15 | % | 1.69 | % | ||||||
For the Quarter Ended December 31, 2011
|
$ | 63,094 | 0.23 | % | 1.59 | % | ||||||
For the Quarter Ended September 30, 2011
|
$ | 65,194 | 0.24 | % | 1.74 | % | ||||||
For the Quarter Ended June 30, 2011
|
$ | 57,229 | 0.23 | % | 1.70 | % | ||||||
For the Quarter Ended March 31, 2011
|
$ | 51,827 | 0.23 | % | 1.82 | % |
Economic
Net Interest Income/
Average Equity(1)
|
Net Investment Advisory and Service Fees/Average Equity
|
Realized and Unrealized Gains and Losses/Average Equity
|
Dividend
Income from available-
for-sale
equity securities/
Average Equity
|
Income
from
Under-writing/
Average Equity
|
Income from Equity Investment Method/ Average Equity
|
G&A Expenses/ Average Equity
|
Income
Taxes/ Average Equity
|
Non-controlling interest/ Average Equity
|
Return on Average Equity
|
|||||||||||||||||||||
For the Year Ended
December 31, 2011
|
16.18 | % | 0.58 | % | (12.36 | %) | 0.23 | % | 0.04 | % | 0.00 | % | (1.73 | %) | (0.43 | %) | - | 2.51 | % | |||||||||||
For the Year Ended
December 31, 2010
|
15.67 | % | 0.59 | % | (1.44 | %) | 0.32 | % | 0.02 | % | 0.03 | % | (1.76 | %) | (0.37 | %) | - | 13.06 | % | |||||||||||
For the Year Ended
December 31, 2009
|
18.82 | % | 0.55 | % | 5.03 | % | 0.20 | % | - | - | (1.51 | %) | (0.40 | %) | - | 22.69 | % | |||||||||||||
For the Year Ended
December 31, 2008
|
18.36 | % | 0.39 | % | (11.67 | %) | 0.04 | % | - | - | (1.55 | %) | (0.39 | %) | - | 5.18 | % | |||||||||||||
For the Year Ended
December 31, 2007
|
11.56 | % | 0.50 | % | 1.06 | % | 0.00 | % | - | - | (1.69 | %) | (0.24 | %) | (0.02 | %) | 11.17 | % | ||||||||||||
For the Quarter Ended
December 31, 2011
|
12.35 | % | 0.52 | % | 0.18 | % | 0.21 | % | 0.00 | % | 0.00 | % | (1.59 | %) | (0.44 | %) | - | 11.23 | % | |||||||||||
For the Quarter Ended
September 30, 2011
|
15.45 | % | 0.56 | % | (38.81 | %) | 0.23 | % | 0.07 | % | 0.00 | % | (1.74 | %) | (0.41 | %) | - | (24.65 | %) | |||||||||||
For the Quarter Ended
June 30, 2011
|
18.67 | % | 0.62 | % | (13.86 | %) | 0.25 | % | 0.00 | % | 0.00 | % | (1.70 | %) | (0.38 | %) | - | 3.60 | % | |||||||||||
For the Quarter Ended
March 31, 2011
|
18.33 | % | 0.60 | % | 7.56 | % | 0.23 | % | 0.10 | % | 0.04 | % | (1.82 | %) | (0.48 | %) | - | 24.56 | % |
(1) Economic net interest income includes interest expense on interest rate swaps.
|
Principal Amount
|
Net Premium
|
Amortized
Cost
|
Amortized
Cost/Principal
Amount
|
Fair Value
|
Fair
Value/Principal
Amount
|
Weighted
Average
Yield
|
||||||||||||||||||||||
At December 31, 2011
|
$ | 98,904,501 | $ | 3,333,416 | $ | 102,237,917 | 103.37 | % | $ | 105,192,708 | 106.35 | % | 3.22 | % | ||||||||||||||
At December 31, 2010
|
$ | 76,129,522 | $ | 2,307,839 | $ | 78,437,361 | 103.03 | % | $ | 79,570,274 | 104.52 | % | 3.88 | % | ||||||||||||||
At December 31, 2009
|
$ | 62,508,927 | $ | 1,247,717 | $ | 63,756,644 | 102.00 | % | $ | 65,721,477 | 105.14 | % | 4.51 | % | ||||||||||||||
At December 31, 2008
|
$ | 54,508,672 | $ | 555,043 | $ | 55,063,715 | 101.02 | % | $ | 55,645,940 | 102.09 | % | 5.15 | % | ||||||||||||||
At December 31, 2007
|
$ | 52,569,598 | $ | 328,376 | $ | 52,897,974 | 100.62 | % | $ | 53,133,443 | 101.07 | % | 5.75 | % | ||||||||||||||
At September 30, 2011
|
$ | 100,957,108 | $ | 3,394,180 | $ | 104,351,288 | 103.36 | % | $ | 107,440,790 | 106.42 | % | 3.58 | % | ||||||||||||||
At June 30, 2011
|
$ | 92,465,377 | $ | 2,986,266 | $ | 95,451,643 | 103.23 | % | $ | 97,504,523 | 105.45 | % | 3.73 | % | ||||||||||||||
At March 31, 2011
|
$ | 90,209,946 | $ | 2,900,102 | $ | 93,110,048 | 103.21 | % | $ | 94,080,293 | 104.29 | % | 3.96 | % |
Principal Amount
|
Weighted
Average
Coupon
Rate
|
Weighted
Average Term
to Next
Adjustment
|
Weighted
Average
Lifetime Cap
|
Weighted
Average
Asset
Yield |
Principal Amount at
Period End as % of
Total Interest-
Earning Assets
|
||||||||||||||||
At December 31, 2011
|
$ | 9,268,113 | 3.88 | % |
41 months
|
9.64 | % | 2.79 | % | 9.37 | % | ||||||||||
At December 31, 2010
|
$ | 11,011,839 | 4.28 | % |
39 months
|
10.16 | % | 3.04 | % | 14.46 | % | ||||||||||
At December 31, 2009
|
$ | 16,196,473 | 4.55 | % |
33 months
|
10.09 | % | 3.23 | % | 25.91 | % | ||||||||||
At December 31, 2008
|
$ | 19,540,152 | 4.75 | % |
36 months
|
10.00 | % | 3.93 | % | 35.85 | % | ||||||||||
At December 31, 2007
|
$ | 15,331,447 | 5.90 | % |
39 months
|
9.89 | % | 5.63 | % | 29.16 | % | ||||||||||
At September 30, 2011
|
$ | 9,917,372 | 3.85 | % |
40 months
|
9.63 | % | 2.79 | % | 9.82 | % | ||||||||||
At June 30, 2011
|
$ | 10,000,985 | 4.12 | % |
42 months
|
10.08 | % | 3.22 | % | 10.82 | % | ||||||||||
At March 31, 2011
|
$ | 10,623,084 | 4.21 | % |
39 months
|
10.09 | % | 3.02 | % | 11.78 | % |
Principal
Amount
|
Weighted Average
Coupon Rate
|
Weighted
Average Asset
Yield
|
Principal Amount at Period
End as % of Total Investment
Securities
|
|||||||||||||
At December 31, 2011
|
$ | 89,636,388 | 4.71 | % | 3.07 | % | 90.63 | % | ||||||||
At December 31, 2010
|
$ | 65,117,683 | 4.92 | % | 4.00 | % | 85.54 | % | ||||||||
At December 31, 2009
|
$ | 46,312,455 | 5.78 | % | 4.95 | % | 74.09 | % | ||||||||
At December 31, 2008
|
$ | 34,968,520 | 6.13 | % | 5.84 | % | 64.15 | % | ||||||||
At December 31, 2007
|
$ | 37,238,151 | 6.00 | % | 5.80 | % | 70.84 | % | ||||||||
At December 31, 2007
|
$ | 21,641,549 | 5.83 | % | 5.65 | % | 71.82 | % | ||||||||
At September 30, 2011
|
$ | 91,039,736 | 4.81 | % | 3.78 | % | 90.18 | % | ||||||||
At June 30, 2011
|
$ | 82,464,392 | 4.74 | % | 3.83 | % | 89.18 | % | ||||||||
At March 31, 2011
|
$ | 79,586,862 | 4.80 | % | 4.19 | % | 88.22 | % |
One-
Month
Libor
|
Six-
Month
Libor
|
Twelve
Month
Libor
|
12-Month
Moving
Average
|
11th
District
Cost of
Funds
|
1-Year
Treasury
Index
|
Other
Indexes(1)
|
|||||||||||||||
Weighted Average Term to Next Adjustment
|
1 mo.
|
7 mo.
|
52 mo.
|
4 mo.
|
4 mo.
|
31 mo.
|
31 mo.
|
||||||||||||||
Weighted Average Annual Period Cap
|
6.25% | 1.63% | 2.00% | 0.03% | 0.20% | 1.88% | 0.61% | ||||||||||||||
Weighted Average Lifetime Cap at December 31, 2011
|
6.84% | 11.10% | 9.93% | 9.46% | 10.66% | 10.35% | 6.87% | ||||||||||||||
Investment Principal Value as Percentage of
Investment Securities at December 30, 2011
|
0.39% | 0.44% | 6.55% | 0.35% | 0.30% | 0.57% | 0.77% |
|
(1)
|
Combination of indices that account for less than 0.05% of total or adjust over time, without a reset index.
|
One-
Month
Libor
|
Six-
Month
Libor
|
Twelve
Month
Libor
|
12-Month
Moving
Average
|
11th
District
Cost of
Funds
|
1-Year
Treasury
Index
|
Monthly
Federal
Cost of
Funds
|
Other
Indexes(1)
|
|||||||||||||||||
Weighted Average Term to Next Adjustment
|
1 mo.
|
10 mo.
|
50 mo.
|
2 mo.
|
7 mo.
|
41 mo.
|
1 mo.
|
39 mo.
|
||||||||||||||||
Weighted Average Annual Period Cap
|
6.41% | 1.60% | 1.99% | 0.03% | 0.01% | 1.91% | 0.00% | 9.32% | ||||||||||||||||
Weighted Average Lifetime Cap at December 31, 2010
|
7.03% | 11.09% | 10.23% | 9.46% | 10.58% | 11.06% | 13.43% | 15.77% | ||||||||||||||||
Investment Principal Value as Percentage of
Investment Securities at December 30, 2010
|
1.28% | 0.69% | 9.97% | 0.59% | 0.52% | 1.06% | 0.06% | 0.29% |
|
(1)
|
Combination of indices that account for less than 0.05% of total or adjust over time, without a reset index.
|
Reverse Repurchase Agreements
|
||||||||
(dollars in thousands)
|
||||||||
Average Daily Reverse
Repurchase Agreements
|
Reverse Repurchase Agreements
at Period End
|
|||||||
For the Year Ended December 31, 2011
|
$ | 753,383 | $ | 860,866 | ||||
For the Year Ended December 31, 2010
|
$ | 900,994 | $ | 1,006,163 | ||||
For the Year Ended December 31, 2009
|
$ | 478,151 | $ | 757,993 | ||||
For the Quarter Ended December 31, 2011
|
$ | 370,331 | $ | 860,866 | ||||
For the Quarter Ended September 30, 2011
|
$ | 464,101 | $ | 360,315 | ||||
For the Quarter Ended June 30, 2011
|
$ | 684,946 | $ | 593,865 | ||||
For the Quarter Ended March 31, 2011
|
$ | 1,494,156 | $ | 1,348,069 |
Within One
Year
|
One to Three
Years
|
Three to Five
Years
|
More than
Five Years
|
Total
|
||||||||||||||||
Repurchase agreements
|
$ | 80,547,554 | $ | 1,650,331 | $ | 500,000 | $ | 1,400,000 | $ | 84,097,885 | ||||||||||
Interest expense on repurchase agreements,
based on rates at December 31, 2011
|
165,667 | 177,622 | 136,307 | 28,128 | 507,724 | |||||||||||||||
Convertible Senior Notes
|
- | - | 600 | - | 600 | |||||||||||||||
Interest Expense on Convertible Senior Notes
|
24,000 | 48,000 | 3,000 | - | 75,000 | |||||||||||||||
Long-term operating lease obligations
|
2,682 | 5,584 | 381 | - | 8,647 | |||||||||||||||
Employment contracts
|
93,896 | 1,146 | - | - | 95,042 | |||||||||||||||
Total
|
$ | 80,833,799 | $ | 1,882,683 | $ | 640,288 | $ | 1,428,128 | $ | 84,784,898 |
2011
|
2010
|
2009
|
2008
|
2007(1)
|
||||||||||||||||
Unrealized gain
|
$ | 3,091,152 | $ | 1,764,182 | $ | 2,093,709 | $ | 785,087 | $ | 379,348 | ||||||||||
Unrealized loss
|
(82,164 | ) | (599,540 | ) | (202,392 | ) | (532,857 | ) | (531,545 | ) | ||||||||||
Net Unrealized (loss) gain
|
$ | 3,008,988 | $ | 1,164,642 | $ | 1,891,317 | $ | 252,230 | $ | (152,197 | ) | |||||||||
(1)Includes unrealized gains (loss) on interest rate swaps.
|
Change in Interest Rate
|
Projected Percentage Change in
Economic Net Interest Income(1)
|
Projected Percentage Change in
Portfolio Value, with Effect of
Interest Rate Swaps
|
||||||
-75 Basis Points
|
11.90% | (0.44%) | ||||||
-50 Basis Points
|
7.88% | (0.29%) | ||||||
-25 Basis Points
|
3.58% | (0.13%) | ||||||
Base Interest Rate
|
- | - | ||||||
+25 Basis Points
|
(1.87%) | 0.10% | ||||||
+50 Basis Points
|
(4.89%) | 0.15% | ||||||
+75 Basis Points
|
(8.47%) | 0.12% | ||||||
|
(1)
|
Economic net interest income includes interest expense on interest rate swaps.
|
Within 3
Months
|
4-12 Months | More than 1 Year
to 3 Years
|
3 Years and
Over
|
Total
|
||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Rate Sensitive Assets:
|
||||||||||||||||||||
Cash equivalents
|
$ | 994,198 | $ | - | $ | - | $ | - | $ | 994,198 | ||||||||||
Reverse repurchase agreements
|
860,866 | - | - | - | 860,866 | |||||||||||||||
U.S. Treasury securities
|
928,547 | - | - | - | 928,547 | |||||||||||||||
Securities borrowed
|
928,732 | - | - | - | 928,732 | |||||||||||||||
Agency Mortgage-backed securities (principal)
|
1,073,756 | 2,549,771 | 1,169,921 | 93,169,434 | 97,962,882 | |||||||||||||||
Agency debentures (principal)
|
- | - | 328,375 | 560,119 | 888,494 | |||||||||||||||
Corporate debt
|
42,180 | 10,945 | - | - | 53,125 | |||||||||||||||
Total Rate Sensitive Assets
|
4,828,279 | 2,560,716 | 1,498,296 | 93,729,553 | 102,616,844 | |||||||||||||||
Rate Sensitive Liabilities:
|
||||||||||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
826,912 | - | - | - | 826,912 | |||||||||||||||
Repurchase agreements, with the effect of interest
rate swaps
|
33,684,619 | 10,812,635 | 10,697,831 | 28,902,800 | 84,097,885 | |||||||||||||||
Securities loaned
|
804,901 | - | - | - | 804,901 | |||||||||||||||
Convertible Senior Notes (principal)
|
- | - | - | 600,000 | 600,000 | |||||||||||||||
Total Rate Sensitive Liabilities
|
35,316,432 | 10,812,635 | 10,697,831 | 29,502,800 | 86,329,698 | |||||||||||||||
Interest rate sensitivity gap
|
$ | (30,488,153 | ) | $ | (8,251,919 | ) | $ | (9,199,535 | ) | $ | 64,226,753 | $ | 16,287,146 | |||||||
Cumulative rate sensitivity gap
|
$ | (30,488,153 | ) | $ | (38,740,072 | ) | $ | (47,939,607 | ) | $ | 16,287,146 | |||||||||
Cumulative interest rate sensitivity gap as a
percentage of total rate-sensitive assets
|
(30 | %) | (38 | %) | (47 | %) | 16 | % |
●
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
●
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
●
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.
|
Exhibit
Number
|
Exhibit Description
|
3.1
|
Articles of Amendment and Restatement of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.2 to the Registrant’s Registration Statement on Form S-11 (Registration No. 333-32913) filed with the Securities and Exchange Commission on August 5, 1997).
|
3.2
|
Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant’s Registration Statement on Form S-3 (Registration Statement 333-74618) filed with the Securities and Exchange Commission on June 12, 2002).
|
3.3
|
Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant's Form 8-K (filed with the Securities and Exchange Commission on August 3, 2006)).
|
3.4 | Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.4 of the Registrant's Form 10-Q (filed with the Securities and Exchange Commission on May 7, 2008)). |
3.5 |
Articles of Amendment of the Articles of Incorporation of the Registrant (incorporated by reference to Exhibit 3.1 of the Registrant's Form 8-K (filed with the Securities and Exchange Commission on June 23, 2011)).
|
3.6
|
Form of Articles Supplementary designating the Registrant’s 7.875% Series A Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.3 to the Registrant’s 8-A filed April 1, 2004).
|
3.7
|
Articles Supplementary of the Registrant’s designating an additional 2,750,000 shares of the Company’s 7.875% Series A Cumulative Redeemable Preferred Stock, as filed with the State Department of Assessments and Taxation of Maryland on October 15, 2004 (incorporated by reference to Exhibit 3.2 to the Registrant’s 8-K filed October 4, 2004).
|
3.8
|
Articles Supplementary designating the Registrant’s 6% Series B Cumulative Convertible Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.1 to the Registrant’s 8-K filed April 10, 2006).
|
3.9
|
Bylaws of the Registrant, as amended (incorporated by reference to Exhibit 3.1 of the Registrant’s form 8-K (filed with the Securities and Exchange Commission on March 22, 2011)).
|
4.1
|
Specimen Common Stock Certificate (incorporated by reference to Exhibit 4.1 to Amendment No. 1 to the Registrant’s Registration Statement on Form S-11 (Registration No. 333-32913) filed with the Securities and Exchange Commission on September 17, 1997).
|
4.2
|
Specimen Preferred Stock Certificate (incorporated by reference to Exhibit 4.2 to the Registrant’s Registration Statement on Form S-3 (Registration No. 333-74618) filed with the Securities and Exchange Commission on December 5, 2001).
|
4.3
|
Specimen Series A Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 of the Registrant's Registration Statement on Form 8-A filed with the SEC on April 1, 2004).
|
4.4
|
Specimen Series B Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 to the Registrant’s Form 8-K filed with the Securities and Exchange Commission on April 10, 2006).
|
4.5
|
Indenture, dated as of February 12, 2010, between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.1 to the Registrant’s Form 8-K filed with the Securities and Exchange Commission on February 12, 2010).
|
4.6
|
Supplemental Indenture, dated as of February 12, 2010, between the Registrant and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.2 to the Registrant’s Form 8-K filed with the Securities and Exchange Commission on February 12, 2010).
|
4.7
|
Form of 4.00% Convertible Senior Note due 2015 (included in Exhibit 4.6).
|
10.1
|
Long-Term Stock Incentive Plan (incorporated by reference to Exhibit 10.3 to the Registrant’s Registration Statement on Form S-11 (Registration No. 333-32913) filed with the Securities and Exchange Commission on August 5, 1997).*
|
10.2
|
Form of Master Repurchase Agreement (incorporated by reference to Exhibit 10.7 to the Registrant’s Registration Statement on Form S-11 (Registration No. 333-32913) filed with the Securities and Exchange Commission on August 5, 1997).
|
10.3
|
Amended and Restated Employment Agreement, effective as of June 4, 2004, between the Registrant and Michael A.J. Farrell (incorporated by reference to Exhibit 10.3 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 10, 2005).*
|
10.4
|
Amended and Restated Employment Agreement, dated as of February 25, 2008, between the Registrant and Wellington J. Denahan (incorporated by reference to Exhibit 10.4 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on February 26, 2008).*
|
10.5
|
Amended and Restated Employment Agreement, effective as of June 4, 2004,between the Registrant and Kathryn F. Fagan (incorporated by reference to Exhibit 10.5 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 10, 2005).*
|
10.6
|
Amended and Restated Employment Agreement, effective as of June 4, 2004, between the Registrant and James P. Fortescue (incorporated by reference to Exhibit 10.7 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 10, 2005).*
|
10.7
|
Amended and Restated Employment Agreement, dated as of January 23, 2006, between the Registrant and Jeremy Diamond (incorporated by reference to Exhibit 10.7 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 13, 2006).*
|
10.8
|
Amended and Restated Employment Agreement, dated as of January 23, 2006, between the Registrant and Ronald D. Kazel (incorporated by reference to Exhibit 10.7 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 13, 2006).*
|
10.9
|
Amended and Restated Employment Agreement, dated as of April 21, 2006, between the Registrant and Rose-Marie Lyght (incorporated by reference to Exhibit 10.9 of the Registrant’s Form 10-Q filed with the Securities and Exchange Commission on May 9, 2006).*
|
10.10
|
Amended and Restated Employment Agreement, effective as of June 4, 2004, between the Registrant and Kristopher R. Konrad (incorporated by reference to Exhibit 10.11 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 10, 2005).*
|
10.11
|
Amended and Restated Employment Agreement, dated January 23, 2006, between the Registrant and R. Nicholas Singh (incorporated by reference to Exhibit 10.7 of the Registrant’s Form 10-K filed with the Securities and Exchange Commission on March 13, 2006).*
|
10.12
|
Amended and Restated Employment Agreement, dated August 4, 2010, between the Registrant and Matthew Lambiase (incorporated by reference to Exhibit 10.1 of the Registrant’s Form 10-Q filed with the Securities and Exchange Commission August 6, 2010).*
|
10.13
|
Employment Agreement, dated July 1, 2010, between the Registrant and Kevin Keyes.*
|
10.14
|
Registrant’s 2010 Equity Incentive Plan (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report Form 8-K filed with the SEC on June 1, 2010).*
|
12.1
|
Computation of ratio of earnings to combined fixed charges and preferred stock dividends and ratio of earnings to fixed charges.
|
21.1
|
Subsidiaries of Registrant.
|
23.1
|
Consent of Independent Registered Public Accounting Firm.
|
31.1
|
Certification of Michael A.J. Farrell, Chairman, Chief Executive Officer, and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
31.2
|
Certification of Kathryn F. Fagan, Chief Financial Officer and Treasurer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
32.1
|
Certification of Michael A.J. Farrell, Chairman, Chief Executive Officer, and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
32.2
|
Certification of Kathryn F. Fagan, Chief Financial Officer and Treasurer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
Exhibit 101.INS XBRL
|
Instance Document †
|
Exhibit 101.SCH XBRL
|
Taxonomy Extension Schema Document †
|
Exhibit 101.CAL XBRL
|
Taxonomy Extension Calculation Linkbase Document †
|
Exhibit 101.DEF XBRL
|
Additional Taxonomy Extension Definition Linkbase Document Created†
|
Exhibit 101.LAB XBRL
|
Taxonomy Extension Label Linkbase Document †
|
Exhibit 101.PRE XBRL
|
Taxonomy Extension Presentation Linkbase Document †
|
Page
|
||
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
F-1
|
|
CONSOLIDATED FINANCIAL STATEMENTS FOR THE YEARS ENDED
|
||
DECEMBER 31, 2011, 2010, AND 2009
|
||
Consolidated Statements of Financial Condition
|
F-2
|
|
Consolidated Statements of Operations and Comprehensive Income (Loss)
|
F-3
|
|
Consolidated Statements of Stockholders’ Equity
|
F-4
|
|
Consolidated Statements of Cash Flows
|
F-5
|
|
Notes to Consolidated Financial Statements
|
F-6
|
December 31, 2011
|
December 31, 2010
|
|||||||
ASSETS
|
||||||||
Cash and cash equivalents
|
$ | 994,198 | $ | 282,626 | ||||
Reverse repurchase agreements
|
860,866 | 1,006,163 | ||||||
Investments, at fair value:
|
||||||||
U.S. Treasury Securities (including pledged assets of $352,820 and
$660,823, respectively)
|
928,547 | 1,100,447 | ||||||
Securities borrowed
|
928,732 | 216,676 | ||||||
Agency mortgage-backed securities (including pledged assets of $90,406,535
and $67,787,023, respectively)
|
104,251,055 | 78,440,330 | ||||||
Agency debentures (including pledged assets of $567,383 and $1,068,869,
respectively)
|
889,580 | 1,108,261 | ||||||
Investments in affiliates
|
211,970 | 252,863 | ||||||
Equity securities
|
3,891 | - | ||||||
Corporate debt, held for investment
|
52,073 | 21,683 | ||||||
Receivable for investments sold
|
- | 151,460 | ||||||
Accrued interest and dividends receivable
|
409,023 | 345,250 | ||||||
Receivable from Prime Broker
|
3,272 | 3,272 | ||||||
Receivable for advisory and service fees (including from affiliates of $16,245 and $13,020, respectively)
|
19,550 | 16,172 | ||||||
Intangible for customer relationships, (net of accumulated amortization of
$5,432 million and $9,833, respectively)
|
10,807 | 9,290 | ||||||
Goodwill
|
42,030 | 42,030 | ||||||
Interest rate swaps, at fair value
|
- | 2,561 | ||||||
Other derivative contracts, at fair value
|
113 | 2,607 | ||||||
Other assets
|
24,295 | 24,899 | ||||||
Total assets
|
$ | 109,630,002 | $ | 83,026,590 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||
Liabilities:
|
||||||||
U.S. Treasury Securities sold, not yet purchased, at fair value
|
$ | 826,912 | $ | 909,462 | ||||
Repurchase agreements
|
84,097,885 | 65,533,537 | ||||||
Securities loaned, at fair value
|
804,901 | 217,841 | ||||||
Payable for investments purchased
|
4,315,796 | 4,575,026 | ||||||
Convertible Senior Notes
|
539,913 | 600,000 | ||||||
Accrued interest payable
|
138,965 | 115,766 | ||||||
Dividends payable
|
552,806 | 404,220 | ||||||
Interest rate swaps, at fair value
|
2,552,687 | 754,439 | ||||||
Other derivative contracts, at fair value
|
- | 2,446 | ||||||
Accounts payable and other liabilities
|
7,223 | 8,921 | ||||||
Total liabilities
|
93,837,088 | 73,121,658 | ||||||
6.00% Series B Cumulative Convertible Preferred Stock:
4,600,000 shares authorized, 1,331,849 and 1,652,047 shares issued and
outstanding, respectively
|
32,272 | 40,032 | ||||||
Stockholders’ Equity:
|
||||||||
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500
authorized, issued and outstanding
|
177,088 | 177,088 | ||||||
Common stock, par value $0.01 per share, 1,987,987,500 authorized,
970,161,647 and 631,594,205 issued and outstanding, respectively
|
9,702 | 6,316 | ||||||
Additional paid-in capital
|
15,068,870 | 9,175,245 | ||||||
Accumulated other comprehensive income (loss)
|
3,008,988 | 1,164,642 | ||||||
Accumulated deficit
|
(2,504,006 | ) | (658,391 | ) | ||||
Total stockholders’ equity
|
15,760,642 | 9,864,900 | ||||||
Total liabilities, Series B Cumulative Convertible Preferred Stock and
stockholders’ equity
|
$ | 109,630,002 | $ | 83,026,590 | ||||
See notes to consolidated financial statements.
|
For the Years ended December 31,
|
||||||||||||
2011
|
2010
|
2009
|
||||||||||
Interest income:
|
||||||||||||
Investment securities
|
$ | 3,558,015 | $ | 2,676,307 | $ | 2,922,499 | ||||||
U.S. Treasury Securities
|
14,706 | 2,830 | - | |||||||||
Securities loaned
|
6,897 | 3,997 | 103 | |||||||||
Total interest income
|
3,579,618 | 2,683,134 | 2,922,602 | |||||||||
Interest expense:
|
||||||||||||
Repurchase agreements
|
426,769 | 397,971 | 575,867 | |||||||||
Convertible Senior Notes
|
35,017 | 24,228 | - | |||||||||
U.S. Treasury Securities sold, not yet purchased
|
13,081 | 2,649 | - | |||||||||
Securities borrowed
|
5,459 | 3,377 | 92 | |||||||||
Total interest expense
|
480,326 | 428,225 | 575,959 | |||||||||
Net interest income
|
3,099,292 | 2,254,909 | 2,346,643 | |||||||||
Other income (loss):
|
||||||||||||
Investment advisory and other fee income
|
79,205 | 58,073 | 48,952 | |||||||||
Net gains (losses) on sales of Agency mortgage-backed securities and debentures
|
206,846 | 181,791 | 99,128 | |||||||||
Dividend income from affiliates
|
31,516 | 31,038 | 17,184 | |||||||||
Net gains (losses) on trading assets
|
21,398 | (2,351 | ) | - | ||||||||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities
|
(106,657 | ) | - | - | ||||||||
Income from underwriting
|
5,618 | 2,095 | - | |||||||||
Loss on receivable from Prime Broker
|
- | - | (13,613 | ) | ||||||||
Subtotal
|
237,926 | 270,646 | 151,651 | |||||||||
Realized gains (losses) on interest rate swaps(1)
|
(882,395 | ) | (735,107 | ) | (719,803 | ) | ||||||
Unrealized gains (losses) on interest rate swaps
|
(1,815,107 | ) | (318,832 | ) | 349,521 | |||||||
Subtotal
|
(2,697,502 | ) | (1,053,939 | ) | (370,282 | ) | ||||||
Total other income (loss)
|
(2,459,576 | ) | (783,293 | ) | (218,631 | ) | ||||||
Expenses:
|
||||||||||||
Distribution fees
|
- | 360 | 1,756 | |||||||||
Compensation expense
|
206,251 | 146,958 | 111,416 | |||||||||
Other general and administrative expenses
|
31,093 | 24,529 | 18,736 | |||||||||
Total Expenses
|
237,344 | 171,847 | 131,908 | |||||||||
Income before income taxes and income (loss) on equity method investment
|
402,372 | 1,299,769 | 1,996,104 | |||||||||
Income taxes
|
(59,051 | ) | (35,434 | ) | (34,381 | ) | ||||||
Income (loss) on equity method investment
|
1,140 | 2,945 | (252 | ) | ||||||||
|
||||||||||||
Net income
|
344,461 | 1,267,280 | 1,961,471 | |||||||||
Dividends on preferred stock
|
16,854 | 18,033 | 18,501 | |||||||||
Net income (loss) available (related) to common shareholders
|
$ | 327,607 | $ | 1,249,247 | $ | 1,942,970 | ||||||
Net income (loss) per share available (related) to common shareholders:
|
||||||||||||
Basic
|
$ | 0.37 | $ | 2.12 | $ | 3.55 | ||||||
Diluted
|
$ | 0.37 | $ | 2.04 | $ | 3.52 | ||||||
Weighted average number of common shares outstanding:
|
||||||||||||
Basic
|
874,212,039 | 588,192,659 | 546,973,036 | |||||||||
Diluted
|
874,518,938 | 625,307,174 | 553,130,643 | |||||||||
Net income (loss)
|
$ | 344,461 | $ | 1,267,280 | $ | 1,961,471 | ||||||
Other comprehensive income (loss):
|
||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
2,036,894 | (639,783 | ) | 1,513,397 | ||||||||
Unrealized loss on interest rate swaps
|
14,298 | 94,899 | 224,818 | |||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
$ | (206,846 | ) | $ | (181,791 | ) | $ | (99,128 | ) | |||
Other comprehensive income (loss)
|
$ | 1,844,346 | $ | (726,675 | ) | $ | 1,639,087 | |||||
Comprehensive income (loss)
|
$ | 2,188,807 | $ | 540,605 | $ | 3,600,558 |
1) |
(Interest expense related to the Company’s interest rate swaps is recorded in Realized losses on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss).
|
Preferred
Stock
|
Common
Stock
Par Value
|
Additional
Paid-In
Capital
|
Accumulated
Other Comprehensive Income (Loss)
|
Accumulated Deficit
|
Total
|
|||||||||||||||||||
BALANCE, DECEMBER 31, 2008
|
$ | 177,088 | $ | 5,415 | $ | 7,633,438 | $ | 252,230 | $ | (884,899 | ) | $ | 7,183,272 | |||||||||||
Net income
|
- | - | - | - | 1,961,471 | 1,961,471 | ||||||||||||||||||
Other comprehensive income
|
- | - | - | 1,639,087 | - | 1,639,087 | ||||||||||||||||||
Exercise of stock options
|
- | 4 | 4,911 | - | - | 4,915 | ||||||||||||||||||
Stock option expense and long-term compensation expense
|
- | - | 4,514 | - | - | 4,514 | ||||||||||||||||||
Conversion of Series B cumulative convertible preferred Stock
|
- | 28 | 32,900 | - | - | 32,928 | ||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
- | 84 | 141,691 | - | - | 141,775 | ||||||||||||||||||
Preferred Series A dividends declared $1.97 per share
|
- | - | - | - | (14,593 | ) | (14,593 | ) | ||||||||||||||||
Preferred Series B dividends declared $1.50 per share
|
- | - | - | - | (3,908 | ) | (3,908 | ) | ||||||||||||||||
Common dividends declared, $2.54 per share
|
- | - | - | - | (1,395,035 | ) | (1,395,035 | ) | ||||||||||||||||
BALANCE, DECEMBER 31, 2009
|
$ | 177,088 | $ | 5,531 | $ | 7,817,454 | $ | 1,891,317 | $ | (336,964 | ) | $ | 9,554,426 | |||||||||||
Net income
|
- | - | - | - | 1,267,280 | 1,267,280 | ||||||||||||||||||
Other comprehensive income
|
- | - | - | (726,675 | ) | - | (726,675 | ) | ||||||||||||||||
Exercise of stock options
|
- | 4 | 4,596 | - | - | 4,600 | ||||||||||||||||||
Stock option expense and long-term compensation expense
|
- | - | 4,757 | - | - | 4,757 | ||||||||||||||||||
Conversion of Series B cumulative convertible preferred Stock
|
- | 24 | 23,057 | - | - | 23,081 | ||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
- | 157 | 278,626 | - | - | 278,783 | ||||||||||||||||||
Net proceeds from follow-on offering
|
- | 600 | 1,046,755 | - | - | 1,047,355 | ||||||||||||||||||
Preferred Series A dividends declared $1.97 per share
|
- | - | - | - | (14,593 | ) | (14,593 | ) | ||||||||||||||||
Preferred Series B dividends declared $1.50 per share
|
- | - | - | - | (3,440 | ) | (3,440 | ) | ||||||||||||||||
Common dividends declared, $2.65 per share
|
- | - | - | - | (1,570,674 | ) | (1,570,674 | ) | ||||||||||||||||
BALANCE, DECEMBER 31, 2010
|
$ | 177,088 | $ | 6,316 | $ | 9,175,245 | $ | 1,164,642 | $ | (658,391 | ) | $ | 9,864,900 | |||||||||||
Net income
|
- | - | - | - | 344,461 | 344,461 | ||||||||||||||||||
Other comprehensive income
|
- | - | - | 1,844,346 | - | 1,844,346 | ||||||||||||||||||
Exercise of stock options
|
- | 7 | 8,946 | - | - | 8,953 | ||||||||||||||||||
Stock option expense and long-term compensation expense
|
- | 3 | 5,266 | - | - | 5,269 | ||||||||||||||||||
Conversion of Series B cumulative convertible Preferred Stock
|
- | 9 | 7,750 | - | - | 7,759 | ||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
- | 262 | 455,285 | - | - | 455,547 | ||||||||||||||||||
Net proceeds from follow-on offering
|
- | 3,105 | 5,348,741 | - | - | 5,351,846 | ||||||||||||||||||
Contingent beneficial conversion feature on Convertible Senior Notes
|
- | - | 67,637 | - | - | 67,637 | ||||||||||||||||||
Preferred Series A dividends declared $1.97 per share
|
- | - | - | - | (14,593 | ) | (14,593 | ) | ||||||||||||||||
Preferred Series B dividends declared $1.50 per share
|
- | - | - | - | (2,261 | ) | (2,261 | ) | ||||||||||||||||
Common dividends declared, $2.44 per share
|
- | - | - | - | (2,173,222 | ) | (2,173,222 | ) | ||||||||||||||||
BALANCE, DECEMBER 31, 2011
|
$ | 177,088 | $ | 9,702 | $ | 15,068,870 | $ | 3,008,988 | $ | (2,504,006 | ) | $ | 15,760,642 | |||||||||||
See notes to consolidated financial statements.
|
For the Years Ended December 31,
|
||||||||||||
2011
|
2010
|
2009
|
||||||||||
Cash flows from operating activities:
|
||||||||||||
Net income (loss)
|
$ | 344,461 | $ | 1,267,280 | $ | 1,961,471 | ||||||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
|
||||||||||||
Amortization of Investment premiums and discounts, net
|
794,205 | 664,429 | 253,683 | |||||||||
Amortization of intangibles
|
2,300 | 1,600 | 2,316 | |||||||||
Amortization of deferred expenses
|
3,600 | 3,150 | - | |||||||||
Amortization of contingent beneficial conversion feature on convertible senior notes
|
7,550 | - | - | |||||||||
(Gains) losses on sales of Agency mortgage-backed securities and debentures
|
(206,846 | ) | (181,791 | ) | (99,128 | ) | ||||||
Stock option and long-term compensation expense
|
5,269 | 4,757 | 4,514 | |||||||||
Unrealized (gains) losses on equity securities
|
100 | - | - | |||||||||
Unrealized (gains) losses on interest rate swaps
|
1,815,107 | 318,832 | (349,521 | ) | ||||||||
Unrealized (gains) losses on interest-only Agency mortgage-backed securities
|
106,657 | - | - | |||||||||
Net (gains) losses on trading assets
|
(21,398 | ) | 2,351 | - | ||||||||
(Gain) loss on investment with affiliate, equity method
|
(98 | ) | (318 | ) | 252 | |||||||
Proceeds from repurchase agreements from Broker Dealer
|
877,734,065 | 1,268,429,168 | 301,505,728 | |||||||||
Payments on repurchase agreements from Broker Dealer
|
(878,806,056 | ) | (1,258,941,064 | ) | (291,820,728 | ) | ||||||
Proceeds from reverse repurchase agreements to Broker Dealer
|
156,659,365 | 87,968,002 | 3,100,827 | |||||||||
Payments on reverse repurchase agreements to Broker Dealer
|
(156,502,577 | ) | (88,479,412 | ) | (3,595,580 | ) | ||||||
Proceeds from reverse repurchase agreements to Shannon
|
166,354 | - | - | |||||||||
Payments on reverse repurchase agreements to Shannon
|
(177,845 | ) | - | - | ||||||||
Proceeds from securities borrowed
|
27,261,366 | 2,924,082 | 152,027 | |||||||||
Payments on securities borrowed
|
(27,973,422 | ) | (3,111,681 | ) | (181,104 | ) | ||||||
Proceeds from securities loaned
|
54,126,121 | 3,231,198 | 197,100 | |||||||||
Payments on securities loaned
|
(53,539,061 | ) | (3,042,414 | ) | (168,043 | ) | ||||||
Proceeds from U.S. Treasury Securities
|
29,168,074 | 9,331,089 | - | |||||||||
Payments on U.S. Treasury Securities
|
(28,490,573 | ) | (9,521,134 | ) | - | |||||||
Net payments on derivatives
|
(7,158 | ) | (3,455 | ) | - | |||||||
Net change in:
|
||||||||||||
Other assets
|
(3,258 | ) | 3,950 | (8,780 | ) | |||||||
Accrued interest and dividends receivable
|
(64,362 | ) | (27,125 | ) | (35,574 | ) | ||||||
Receivable for advisory and service fees
|
(3,378 | ) | (3,606 | ) | (6,462 | ) | ||||||
Receivable from Prime Broker
|
- | - | 13,613 | |||||||||
Accrued interest payable
|
23,199 | 26,306 | (110,524 | ) | ||||||||
Accounts payable and other liabilities
|
(1,698 | ) | (1,084 | ) | 1,624 | |||||||
Net cash provided by (used in) operating activities
|
2,420,063 | 10,863,110 | 10,817,711 | |||||||||
Cash flows from investing activities:
|
||||||||||||
Payments on purchases of Agency mortgage-backed securities and debentures
|
(69,065,069 | ) | (54,424,951 | ) | (25,911,199 | ) | ||||||
Proceeds from sales of Agency mortgage-backed securities and debentures
|
19,337,053 | 9,262,772 | 4,029,801 | |||||||||
Principal payments on Agency mortgage-backed securities
|
23,565,709 | 28,961,203 | 13,796,269 | |||||||||
Proceeds from Agency debentures called
|
1,124,000 | 2,132,002 | 602,000 | |||||||||
Payments on purchase of corporate debt
|
(31,675 | ) | (21,670 | ) | - | |||||||
Principal payments on corporate debt
|
1,375 | - | - | |||||||||
Net gains (losses) on other derivative securities
|
13,965 | - | - | |||||||||
Purchase of investment in affiliate
|
(57,500 | ) | - | (157,995 | ) | |||||||
Purchase of customer relationships
|
(3,555 | ) | - | - | ||||||||
Purchase of equity securities
|
(3,990 | ) | - | - | ||||||||
Proceeds from reverse repurchase agreements
|
- | 4,291,430 | 10,355,095 | |||||||||
Payments on reverse repurchase agreements
|
- | (4,032,426 | ) | (10,051,980 | ) | |||||||
Earn out payment
|
- | (14,113 | ) | - | ||||||||
Net cash provided by (used in) investing activities
|
(25,119,687 | ) | (13,845,753 | ) | (7,338,009 | ) | ||||||
Cash flows from financing activities:
|
||||||||||||
Proceeds from repurchase agreements
|
273,023,622 | 224,789,731 | 327,758,745 | |||||||||
Principal payments on repurchase agreements
|
(253,387,283 | ) | (223,342,427 | ) | (329,520,501 | ) | ||||||
Proceeds from exercise of stock options
|
8,953 | 4,598 | 4,914 | |||||||||
Issuance of Convertible Senior Notes
|
- | 582,000 | - | |||||||||
Proceeds from direct purchase and dividend reinvestment
|
455,547 | 278,784 | 141,775 | |||||||||
Net proceeds from common stock follow-on offerings
|
5,351,846 | 1,047,354 | - | |||||||||
Dividends paid
|
(2,041,489 | ) | (1,599,339 | ) | (1,269,420 | ) | ||||||
Net cash provided by (used in) financing activities
|
23,411,196 | 1,760,701 | (2,884,487 | ) | ||||||||
Net increase (decrease) in cash and cash equivalents
|
711,572 | (1,221,942 | ) | 595,215 | ||||||||
Cash and cash equivalents, beginning of year
|
282,626 | 1,504,568 | 909,353 | |||||||||
Cash and cash equivalents, end of year
|
$ | 994,198 | $ | 282,626 | $ | 1,504,568 | ||||||
Supplemental disclosure of cash flow information:
|
||||||||||||
Interest received
|
$ | 4,309,690 | $ | 3,322,228 | $ | 3,146,933 | ||||||
Dividends received
|
$ | 31,876 | $ | 30,042 | $ | 10,149 | ||||||
Fees received
|
$ | 75,827 | $ | 54,467 | $ | 42,489 | ||||||
Interest paid (excluding interest paid on interest rate swaps)
|
$ | 455,873 | $ | 411,608 | $ | 700,289 | ||||||
Net interest paid on interest rate swaps
|
$ | 876,099 | $ | 725,418 | $ | 705,998 | ||||||
Taxes paid
|
$ | 61,045 | $ | 36,742 | $ | 42,268 | ||||||
Noncash investing activities:
|
||||||||||||
Receivable for Investments sold
|
- | $ | 151,460 | $ | 732,134 | |||||||
Payable for Investments purchased
|
$ | 4,315,796 | $ | 4,575,026 | $ | 4,083,786 | ||||||
Net change in unrealized gains (losses) on available-for-sale securities and
interest rate swaps, net of reclassification adjustment
|
$ | 1,844,346 | $ | (726,675 | ) | $ | 1,639,087 | |||||
Noncash financing activities:
|
||||||||||||
Dividends declared, not yet paid
|
$ | 552,806 | $ | 404,220 | $ | 414,851 | ||||||
Conversion of Series B Cumulative Convertible preferred stock
|
$ | 7,759 | $ | 23,081 | $ | 32,928 | ||||||
Contingent beneficial conversion feature on Senior Convertible Notes
|
$ | 60,087 | - | - |
1.
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
|
December 31, 2011
|
Freddie Mac
|
Fannie Mae
|
Ginnie Mae
|
Total Mortgage-
Backed Securities
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Agency mortgage-backed Securities, par value
|
$ | 34,395,542 | $ | 63,066,372 | $ | 500,968 | $ | 97,962,882 | ||||||||
Unamortized discount
|
(9,874 | ) | (13,632 | ) | (399 | ) | (23,905 | ) | ||||||||
Unamortized premium
|
1,139,881 | 2,205,138 | 15,949 | 3,360,968 | ||||||||||||
Amortized cost
|
35,525,549 | 65,257,878 | 516,518 | 101,299,945 | ||||||||||||
Gross unrealized gains
|
973,476 | 2,081,282 | 31,474 | 3,086,232 | ||||||||||||
Gross unrealized losses
|
(15,243 | ) | (118,871 | ) | (1,008 | ) | (135,122 | ) | ||||||||
Estimated fair value
|
$ | 36,483,782 | $ | 67,220,289 | $ | 546,984 | $ | 104,251,055 |
Amortized Cost
|
Gross Unrealized
Gain
|
Gross Unrealized
Loss
|
Estimated Fair
Value
|
|||||||||||||
(dollars in thousands) | ||||||||||||||||
Adjustable rate
|
$ | 8,698,746 | $ | 345,642 | $ | (3,188 | ) | $ | 9,041,200 | |||||||
Fixed rate
|
92,601,199 | 2,740,590 | (131,934 | ) | 95,209,855 | |||||||||||
Total
|
$ | 101,299,945 | $ | 3,086,232 | $ | (135,122 | ) | $ | 104,251,055 |
December 31, 2010
|
Freddie Mac
|
Fannie Mae
|
Ginnie Mae
|
Total Mortgage-
Backed Securities
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Agency mortgage-backed Securities, par value
|
$ | 19,846,543 | $ | 54,341,140 | $ | 824,029 | $ | 75,011,712 | ||||||||
Unamortized discount
|
(14,651 | ) | (18,329 | ) | (403 | ) | (33,383 | ) | ||||||||
Unamortized premium
|
517,507 | 1,795,116 | 26,200 | 2,338,823 | ||||||||||||
Amortized cost
|
20,349,399 | 56,117,927 | 849,826 | 77,317,152 | ||||||||||||
Gross unrealized gains
|
463,471 | 1,211,324 | 29,408 | 1,704,203 | ||||||||||||
Gross unrealized losses
|
(140,027 | ) | (438,918 | ) | (2,080 | ) | (581,025 | ) | ||||||||
Estimated fair value
|
$ | 20,672,843 | $ | 56,890,333 | $ | 877,154 | $ | 78,440,330 |
Amortized Cost
|
Gross Unrealized
Gain
|
Gross Unrealized
Loss
|
Estimated Fair
Value
|
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Adjustable rate
|
$ | 10,954,627 | $ | 257,822 | $ | (75,440 | ) | $ | 11,137,009 | |||||||
Fixed rate
|
66,362,525 | 1,446,381 | (505,585 | ) | 67,303,321 | |||||||||||
Total
|
$ | 77,317,152 | $ | 1,704,203 | $ | (581,025 | ) | $ | 78,440,330 |
December 31, 2011
|
December 31, 2010
|
|||||||||||||||
Weighted-Average Life
|
Fair Value
|
Amortized
Cost
|
Fair Value
|
Amortized
Cost
|
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Less than one year
|
$ | 1,715,530 | $ | 1,697,101 | $ | 915,398 | $ | 901,824 | ||||||||
Greater than one year through five years
|
97,344,791 | 94,534,782 | 59,732,123 | 58,321,570 | ||||||||||||
Greater than five years through ten years
|
4,447,540 | 4,348,841 | 17,044,652 | 17,339,127 | ||||||||||||
Greater than 10 years
|
743,194 | 719,221 | 748,157 | 754,631 | ||||||||||||
Total
|
$ | 104,251,055 | $ | 101,299,945 | $ | 78,440,330 | $ | 77,317,152 |
Unrealized Loss Position For:
(dollars in thousands)
|
||||||||||||||||||||||||
Less than 12 Months
|
12 Months or More
|
Total
|
||||||||||||||||||||||
Estimated
Fair Value
|
Unrealized
Losses
|
Estimated
Fair Value
|
Unrealized
Losses
|
Estimated
Fair Value
|
Unrealized
Losses
|
|||||||||||||||||||
December 31, 2011
|
$ | 1,087,552 | $ | (118,593 | ) | $ | 883,143 | $ | (16,529 | ) | $ | 1,970,695 | $ | (135,122 | ) | |||||||||
December 31, 2010
|
$ | 28,608,996 | $ | (577,096 | ) | $ | 166,481 | $ | (3,929 | ) | $ | 28,775,477 | $ | (581,025 | ) |
Weighted
Average
Coupon on
Fixed Rate Investments
|
Weighted
Average
Coupon on
Adjustable
Rate
Investments
|
Weighted
Average
Yield on
Fixed Rate Investments
|
Weighted
Average
Yield on
Adjustable
Rate
Investments
|
Weighted
Average
Lifetime Cap
on Adjustable Investments
|
Weighted Average
Term to Next
Adjustment on
Adjustable Rate
Investments
|
||||||||||||||||
At December 31, 2011
|
4.71 | % | 3.88 | % | 3.07 | % | 2.79 | % | 9.64 | % |
41 months
|
||||||||||
At December 31, 2010
|
4.92 | % | 4.28 | % | 4.00 | % | 3.04 | % | 10.16 | % |
39 months
|
Level 1
|
Level 2
|
Level 3
|
||||||||||
At December 31, 2011
|
(dollars in thousands)
|
|||||||||||
Assets:
|
||||||||||||
Agency mortgage-backed securities
|
$ | - | $ | 104,251,055 | $ | - | ||||||
Agency debentures
|
- | 889,580 | - | |||||||||
Investment in affiliates
|
211,970 | - | - | |||||||||
U.S. Treasury Securities
|
928,547 | - | - | |||||||||
Equity securities
|
3,891 | - | - | |||||||||
Securities borrowed
|
- | 928,732 | - | |||||||||
Other derivative contracts
|
113 | - | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 2,552,687 | - | |||||||||
U.S. Treasury securities sold, not yet purchased
|
826,912 | - | - | |||||||||
Securities loaned
|
- | 804,901 | - | |||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
At December 31, 2010
|
(dollars in thousands)
|
|||||||||||
Assets:
|
||||||||||||
Agency mortgage-backed securities
|
$ | - | $ | 78,440,330 | $ | - | ||||||
Agency debentures
|
- | 1,108,261 | - | |||||||||
Investments in affiliates
|
184,879 | - | - | |||||||||
U.S. Treasury securities
|
1,100,447 | - | - | |||||||||
Securities borrowed
|
- | 216,676 | - | |||||||||
Interest rate swaps
|
- | 2,561 | - | |||||||||
Other derivative contracts
|
2,607 | - | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 754,439 | - | |||||||||
U.S. Treasury securities sold, not yet purchased
|
909,462 | - | - | |||||||||
Securities loaned
|
- | 217,841 | - | |||||||||
Other derivative contracts
|
- | 2,446 | - |
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands)
|
||||||||
1 day
|
$ | 508,647 | - | |||||
Within 30 days
|
33,780,070 | $ | 32,669,341 | |||||
30 to 59 days
|
28,346,380 | 13,767,522 | ||||||
60 to 89 days
|
3,699,425 | 4,776,597 | ||||||
90 to 119 days
|
6,781,137 | 6,068,376 | ||||||
Over 120 days
|
10,982,226 | 8,251,701 | ||||||
Total
|
$ | 84,097,885 | $ | 65,533,537 |
Location on Statement of Financial Condition
|
Notional Amount
|
Net Estimated Fair
Value/Carrying Value
|
||||||
(dollars in thousands)
|
||||||||
Interest rate swaps
|
||||||||
December 31, 2011
|
Liabilities
|
$ | 40,109,880 | $ | (2,552,687 | ) | ||
December 31, 2011
|
Assets
|
- | - | |||||
December 31, 2010
|
Liabilities
|
$ | 26,882,460 | $ | (754,439 | ) | ||
December 31, 2010
|
Assets
|
$ | 200,000 | $ | 2,561 |
Location on Statement of Operations and Comprehensive Income
|
||||||||
Realized Gains (Losses) Recognized on Interest Rate Swaps*
|
Unrealized Gains (Losses) on
Interest Rate Swaps
|
|||||||
(dollars in thousands)
|
||||||||
For the Year Ended December 31, 2011
|
$ | (882,395 | ) | $ | (1,815,107 | ) | ||
For the Year Ended December 31, 2010
|
$ | (735,107 | ) | $ | (318,832 | ) | ||
For the Year Ended December 31, 2009
|
$ | (719,803 | ) | $ | 349,521 |
For the years ended
(amounts in thousands)
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
Net income
|
$ | 344,461 | $ | 1,267,280 | $ | 1,961,471 | ||||||
Less: Preferred stock dividends
|
16,854 | 18,033 | 18,501 | |||||||||
Net income available to common shareholders, prior to
adjustment for Series B dividends, if necessary
|
327,607 | 1,249,247 | 1,942,970 | |||||||||
Add: Preferred Series B dividends, if dilutive
|
- | 3,440 | 3,908 | |||||||||
Add: Interest on Convertible Senior Note, if dilutive
|
- | 21,333 | - | |||||||||
Net income available to common shareholders, as adjusted
|
$ | 327,607 | $ | 1,274,020 | $ | 1,946,878 | ||||||
Weighted average shares of common stock
outstanding-basic
|
874,212 | 588,193 | 546,973 | |||||||||
Add: Effect of dilutive stock options, Series B Cumulative Convertible Preferred Stock and Convertible Senior Notes, if dilutive
|
307 | 37,114 | 6,158 | |||||||||
Weighted average shares of common stock outstanding-diluted
|
874,519 | 625,307 | 553,131 |
For the year ended
|
||||||||||||||||
December 31, 2011
|
December 31, 2010
|
|||||||||||||||
Number of
Shares
|
Weighted
Average
Exercise Price
|
Number of
Shares
|
Weighted
Average
Exercise Price
|
|||||||||||||
Options outstanding at the beginning of year
|
6,891,975 | $ | 15.33 | 7,271,503 | $ | 15.20 | ||||||||||
Granted
|
7,500 | 18.67 | 8,750 | 17.24 | ||||||||||||
Exercised
|
(678,920 | ) | 13.19 | (363,528 | ) | 12.65 | ||||||||||
Forfeited
|
- | - | (18,500 | ) | 15.21 | |||||||||||
Expired
|
(3,750 | ) | 12.15 | (6,250 | ) | 18.26 | ||||||||||
Options outstanding at the end of period
|
6,216,805 | $ | 15.57 | 6,891,975 | $ | 15.33 | ||||||||||
Options exercisable at the end of the period
|
4,451,693 | $ | 16.17 | 3,822,844 | $ | 16.16 |
Year Ending December
|
Lease Commitment
|
Sublease Income
|
Net Amount
|
|||||||||
(dollars in thousands)
|
||||||||||||
2012
|
$ | 3,003 | $ | 70 | $ | 2,933 | ||||||
2013
|
3,004 | - | 3,004 | |||||||||
2014
|
2,522 | - | 2,522 | |||||||||
2015
|
161 | - | 161 | |||||||||
2016
|
27 | - | 27 | |||||||||
Later years
|
- | - | - | |||||||||
$ | 8,717 | $ | 70 | $ | 8,647 |
March 31,
2011
|
June 30,
2011
|
September 30,
2011
|
December 31,
2011
|
|||||||||||||
(dollars in thousands, expect per share amounts)
|
||||||||||||||||
Interest income:
|
||||||||||||||||
Investments
|
$ | 837,880 | $ | 948,703 | $ | 926,558 | $ | 844,874 | ||||||||
U.S. Treasury Securities
|
4,825 | 6,497 | 2,302 | 1,082 | ||||||||||||
Securities loaned
|
1,343 | 1,868 | 1,942 | 1,744 | ||||||||||||
Total interest income
|
844,048 | 957,068 | 930,802 | 847,700 | ||||||||||||
Interest expense:
|
||||||||||||||||
Repurchase agreements
|
102,602 | 100,164 | 109,014 | 114,989 | ||||||||||||
Convertible Senior Notes
|
6,767 | 6,900 | 8,798 | 12,552 | ||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
4,986 | 4,772 | 2,109 | 1,214 | ||||||||||||
Securities borrowed
|
1,101 | 1,484 | 1,496 | 1,378 | ||||||||||||
Total interest expense
|
115,456 | 113,320 | 121,417 | 130,133 | ||||||||||||
Net interest income
|
728,592 | 843,748 | 809,385 | 717,567 | ||||||||||||
Other income (loss):
|
||||||||||||||||
Investment advisory and other fee income
|
17,207 | 20,710 | 20,828 | 20,460 | ||||||||||||
Net gains (losses) on sales of Agency mortgage-backed securities and
debentures
|
27,185 | 7,336 | 91,668 | 80,657 | ||||||||||||
Dividend income from affiliates
|
6,297 | 8,230 | 8,706 | 8,283 | ||||||||||||
Net gains (losses) on trading assets
|
18,812 | (5,712 | ) | 1,942 | 6,356 | |||||||||||
Net unrealized gains (losses) on Agency interest-only mortgage-backed
securities
|
- | 276 | (39,321 | ) | (67,612 | ) | ||||||||||
Income (expense) from underwriting
|
2,904 | (77 | ) | 2,772 | 19 | |||||||||||
Subtotal
|
72,405 | 30,763 | 86,595 | 48,163 | ||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(206,148 | ) | (216,760 | ) | (231,849 | ) | (227,638 | ) | ||||||||
Unrealized gains (losses) on interest rate swaps
|
169,308 | (466,943 | ) | (1,505,333 | ) | (12,139 | ) | |||||||||
Subtotal
|
(36,840 | ) | (683,703 | ) | (1,737,182 | ) | (239,777 | ) | ||||||||
Total other income (loss)
|
35,565 | (652,940 | ) | (1,650,587 | ) | (191,614 | ) | |||||||||
Expenses:
|
||||||||||||||||
Compensation expense
|
44,530 | 49,752 | 57,629 | 54,340 | ||||||||||||
Other general and administrative expenses
|
7,297 | 7,477 | 7,565 | 8,754 | ||||||||||||
Total General and administrative expenses
|
51,827 | 57,229 | 65,194 | 63,094 | ||||||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
712,330 | 133,579 | (906,396 | ) | 462,859 | |||||||||||
Income taxes
|
(13,575 | ) | (12,762 | ) | (15,417 | ) | (17,297 | ) | ||||||||
Income from equity method investment in affiliate
|
1,140 | - | - | - | ||||||||||||
Net income (loss)
|
699,895 | 120,817 | (921,813 | ) | 445,562 | |||||||||||
Dividends on preferred stock
|
4,267 | 4,267 | 4,172 | 4,148 | ||||||||||||
Net income (loss) available (related) to common shareholders
|
$ | 695,628 | $ | 116,550 | $ | (925,985 | ) | $ | 441,414 | |||||||
Net income (loss) available (related) per share to common shareholders:
|
||||||||||||||||
Basic
|
$ | 0.92 | $ | 0.14 | $ | (0.98 | ) | $ | 0.46 | |||||||
Diluted
|
$ | 0.89 | $ | 0.14 | $ | (0.98 | ) | $ | 0.44 | |||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||
Basic
|
752,413,605 | 822,623,370 | 948,545,975 | 970,056,491 | ||||||||||||
Diluted
|
790,993,841 | 827,754,731 | 948,545,975 | 1,011,495,682 | ||||||||||||
Net income (loss)
|
$ | 699,895 | $ | 120,817 | $ | (921,813 | ) | $ | 445,562 | |||||||
Other comprehensive income (loss):
|
||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
(142,227 | ) | 1,047,639 | 1,115,325 | 16,157 | |||||||||||
Unrealized losses on interest rate swaps
|
14,298 | - | - | - | ||||||||||||
Reclassification adjustment for net (gains) losses included
in net income (loss)
|
(27,185 | ) | (7,336 | ) | (91,668 | ) | (80,657 | ) | ||||||||
Other comprehensive income (loss)
|
(155,114 | ) | 1,040,303 | 1,023,657 | (64,500 | ) | ||||||||||
Comprehensive income (loss)
|
$ | 544,781 | $ | 1,161,120 | $ | 101,844 | $ | 381,062 |
(1) | Interest expense related to the Company’s interest rate swaps is recorded in Realized losses on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss). |
March 31,
|
June 30,
|
September 30, |
December 31,
|
|||||||||||||
2010
|
2010
|
2010
|
2010
|
|||||||||||||
(dollars in thousands, expect per share amounts)
|
||||||||||||||||
Interest income:
|
||||||||||||||||
Investments
|
$ | 653,935 | $ | 642,782 | $ | 700,964 | $ | 678,626 | ||||||||
U.S. Treasury Securities
|
- | 40 | 751 | 2,039 | ||||||||||||
Securities loaned
|
454 | 860 | 1,261 | 1,422 | ||||||||||||
Total interest income
|
654,389 | 643,682 | 702,976 | 682,087 | ||||||||||||
Interest expense:
|
||||||||||||||||
Repurchase agreements
|
92,089 | 96,975 | 105,393 | 103,514 | ||||||||||||
Convertible Senior Notes
|
3,195 | 6,966 | 7,033 | 7,034 | ||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
- | 24 | 459 | 2,166 | ||||||||||||
Securities borrowed
|
387 | 742 | 1,047 | 1,201 | ||||||||||||
Total interest expense
|
95,671 | 104,707 | 113,932 | 113,915 | ||||||||||||
Net interest income
|
558,718 | 538,975 | 589,044 | 568,172 | ||||||||||||
Other income (loss):
|
||||||||||||||||
Investment advisory and service fees
|
12,546 | 13,863 | 15,343 | 16,321 | ||||||||||||
Net gains (losses) on sales of Agency mortgage backed security
and debentures
|
46,962 | 39,041 | 61,986 | 33,802 | ||||||||||||
Dividend income
|
7,964 | 7,330 | 8,097 | 7,647 | ||||||||||||
Net gains (losses) on trading assets
|
- | 77 | 1,082 | (3,510 | ) | |||||||||||
Income from underwriting
|
- | 500 | 915 | 680 | ||||||||||||
Subtotal
|
67,472 | 60,811 | 87,423 | 54,940 | ||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(180,838 | ) | (175,535 | ) | (188,636 | ) | (190,098 | ) | ||||||||
Unrealized gains (losses) on interest rate swaps
|
(116,732 | ) | (593,038 | ) | (448,253 | ) | 839,191 | |||||||||
Subtotal
|
(297,570 | ) | (768,573 | ) | (636,889 | ) | 649,093 | |||||||||
Total other (loss) income
|
(230,098 | ) | (707,762 | ) | (549,466 | ) | 704,033 | |||||||||
Expenses:
|
||||||||||||||||
Distribution fees
|
360 | - | - | - | ||||||||||||
Compensation expense
|
34,267 | 35,080 | 37,419 | 40,193 | ||||||||||||
General and administrative expenses
|
5,754 | 6,460 | 6,011 | 6,303 | ||||||||||||
Total expenses
|
40,381 | 41,540 | 43,430 | 46,496 | ||||||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
288,239 | (210,327 | ) | (3,852 | ) | 1,225,709 | ||||||||||
Income taxes
|
(7,314 | ) | (8,837 | ) | (11,076 | ) | (8,207 | ) | ||||||||
Income (loss) from equity method investment in affiliate
|
140 | 935 | 868 | 1,002 | ||||||||||||
Net income (loss)
|
281,065 | (218,229 | ) | (14,060 | ) | 1,218,504 | ||||||||||
Dividends on preferred stock
|
4,625 | 4,625 | 4,515 | 4,268 | ||||||||||||
Net income (loss) available (related) to common shareholders
|
$ | 276,440 | $ | (222,854 | ) | $ | (18,575 | ) | $ | 1,214,236 | ||||||
Net income (loss) available (related) per share to common shareholders:
|
||||||||||||||||
Basic
|
$ | 0.50 | $ | (0.40 | ) | $ | (0.03 | ) | $ | 1.94 | ||||||
Diluted
|
$ | 0.49 | $ | (0.40 | ) | $ | (0.03 | ) | $ | 1.84 | ||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||
Basic
|
554,995,092 | 559,700,836 | 611,904,518 | 625,138,510 | ||||||||||||
Diluted
|
575,859,564 | 559,700,836 | 611,904,518 | 662,476,638 | ||||||||||||
Net income (loss)
|
$ | 281,065 | $ | (218,229 | ) | $ | (14,060 | ) | $ | 1,218,504 | ||||||
Other comprehensive income (loss):
|
||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
7,416 | 664,544 | (619,080 | ) | (692,663 | ) | ||||||||||
Unrealized losses on interest rate swaps
|
36,081 | 26,846 | 18,402 | 13,570 | ||||||||||||
Reclassification adjustment for net (gains) losses included in net
income (loss)
|
(46,962 | ) | (39,041 | ) | (61,986 | ) | (33,802 | ) | ||||||||
Other comprehensive income (loss)
|
(3,465 | ) | 652,349 | (662,664 | ) | (712,895 | ) | |||||||||
Comprehensive income (loss)
|
$ | 277,600 | $ | 434,120 | $ | (676,724 | ) | $ | 505,609 |
(1)
|
Interest expense related to the Company’s interest rate swaps is recorded in Realized losses on interest rate swaps on the Consolidated Statements of Operations and Comprehensive Income (Loss).
|
ANNALY CAPITAL MANAGEMENT, INC.
|
|||
Date: February 28, 2012
|
By:
|
/s/ Michael A. J. Farrell | |
Michael A. J. Farrell
|
|||
Chairman, Chief Executive Officer, and President
|
Signature
|
Title
|
Date
|
/s/ KEVIN P. BRADY
Kevin P. Brady
|
Director
|
February 28, 2012
|
/s/ KATHRYN F. FAGAN
Kathryn F. Fagan
|
Chief Financial Officer and Treasurer
(principal financial and accounting officer)
|
February 28, 2012
|
/s/ MICHAEL A.J. FARRELL
Michael A. J. Farrell
|
Chairman of the Board, Chief Executive Officer, President and Director (principal executive officer)
|
February 28, 2012
|
/s/ JONATHAN D. GREEN
Jonathan D. Green
|
Director
|
February 28, 2012
|
/s/ MICHAEL E. HAYLON
Michael E. Haylon
|
Director
|
February 28, 2012
|
/s/ JOHN A. LAMBIASE
John A. Lambiase
|
Director
|
February 28, 2012
|
/s/ E. WAYNE NORDBERG
E. Wayne Nordberg
|
Director
|
February 28, 2012
|
/s/ DONNELL A. SEGALAS
Donnell A. Segalas
|
Director
|
February 28, 2012
|
/s/ WELLINGTON DENAHAN-NORRIS
Wellington Denahan-Norris
|
Vice Chairman of the Board,
Chief Investment Officer, Chief Operating
Officer and Director
|
February 28, 2012
|
For the Year Ended December 31,
|
||||||||||||||||||||
2011
|
2010
|
2009
|
2008
|
2007
|
||||||||||||||||
Net income before income taxes and noncontrolling interest
|
402,372 | 1,299,769 | 1,996,104 | 372,157 | 423,254 | |||||||||||||||
Add: Fixed charges (Interest expense)
|
1,362,721 | 1,163,332 | 1,295,762 | 1,888,912 | 1,926,465 | |||||||||||||||
Earnings as adjusted
|
1,765,093 | 2,463,101 | 3,291,866 | 2,261,069 | 2,349,719 | |||||||||||||||
Fixed charges (interest expense) + preferred stock dividend
|
1,379,575 | 1,181,365 | 1,314,263 | 1,910,089 | 1,947,958 | |||||||||||||||
Ratio of earnings to combined fixed charges and preferred stock dividends
|
1.28 | 2.08 | 2.50 | 1.18 | 1.21 | |||||||||||||||
Ratio of earnings to fixed charges | 1.30 | 2.12 | 2.54 | 1.20 | 1.22 |
1.
|
I have reviewed this annual report on Form 10-K of Annaly Capital Management, Inc.;
|
||
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
||
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
||
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
||
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
||
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
||
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
||
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
||
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
||
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
||
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
|
/s/Michael A.J. Farrell
Chairman of the Board of Directors, Chief Executive Officer,
President and principal executive officer
|
1.
|
I have reviewed this annual report on Form 10-K of Annaly Capital Management, Inc.;
|
||
2.
|
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
||
3.
|
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
||
4.
|
The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
||
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
||
b)
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
||
c)
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
||
d)
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
||
5.
|
The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
||
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
|
||
b)
|
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
|
/s/Kathryn Fagan
Chief Financial Officer and Treasurer
|
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
/s/ Michael A.J. Farrell
|
|
Michael A.J. Farrell
|
|
Chairman of the Board of Directors, Chief
|
|
Executive Officer and President
|
|
February 28, 2012
|
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
/s/ Kathryn F. Fagan
|
|
Kathryn F. Fagan
|
|
Chief Financial Officer and Treasurer
|
|
February 28, 2012
|
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Agency Mortgage-Backed Securities - Narrative (Detail) (USD $)
|
3 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Mortgage Backed Securities Sold [Line Items] | |||||
Mortgage-Backed securities sold, carrying value | $ 18,700,000,000 | $ 7,800,000,000 | |||
Mortgage-Backed securities sold, realized gain | 199,200,000 | 171,600,000 | |||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | (67,612,000) | (39,321,000) | 276,000 | (106,657,000) | |
Interest-only securities [Member]
|
|||||
Mortgage Backed Securities Sold [Line Items] | |||||
Unrealized losses | 123,100,000 | 123,100,000 | |||
Amortized cost | 405,100,000 | 405,100,000 | |||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities | (106,657,000) | ||||
Unrealized gains (losses) on interest-only agency mortgage-backed securities included in other comprehensive income | $ (16,400,000) |
Long-Term Stock Incentive Plan - Narrative (Detail) (USD $)
In Millions, except Share data, unless otherwise specified |
12 Months Ended | 1 Months Ended | 12 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
Year
|
Dec. 31, 2010
Year
|
Jun. 27, 2011
Equity Incentive Plan 2010 [Member]
|
Dec. 31, 2011
Equity Incentive Plan 2010 [Member]
|
Dec. 31, 2011
The Prior Plan [Member]
Minimum [Member]
|
Dec. 31, 2011
The Prior Plan [Member]
Maximum [Member]
|
Dec. 31, 2011
Stock Options [Member]
Year
|
Dec. 31, 2011
Restricted Stock [Member]
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||||
Long-term stock compensation - ceiling shares | 25,000,000 | 500,000 | 8,932,921 | |||||
Long-term stock compensation - shares granted | 7,500 | 8,750 | 1,250 | 402,000 | ||||
Long-term stock compensation - granting of options authorized, percent of diluted outstanding common stock | 9.50% | |||||||
Long-term stock compensation - vesting period | 4 years | 4 years | ||||||
Long-term stock compensation - vesting installments | 4 | |||||||
Long-term stock compensation - minimum contractual term | 5 years | |||||||
Long-term stock compensation - maximum contractual term | 5 years | 10 years | ||||||
Long-term stock compensation - vesting period | The stock options were issued at the current market price on the date of grant and immediately vested with a contractual term of 5 years. | Stock options were issued at the market price on the date of grant, subject to an immediate or four year vesting in four equal installments with a contractual term of 5 or 10 years. | ||||||
Weighted average remaining contractual term of stock options outstanding, years | 5.5 | 6.6 | ||||||
Weighted average remaining contractual term of stock options exercisable, years | 4.8 | 5.6 | ||||||
Total unrecognized compensation cost related to nonvested share-based compensation awards | $ 4.2 | $ 8.8 | ||||||
Total unrecognized compensation cost related to nonvested share-based compensation awards weighted average recognition period, years | 1.1 | 2.0 |
Derivative Instruments - Effect on Statement of Operations and Comprehensive Income (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 12 Months Ended | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
||||||||||||||||
Effect of derivatives on statement of operations and comprehensive income [Line Items] | ||||||||||||||||||||||||||
Realized gains (loss) recognized on interest rate swaps | $ (227,638) | [1] | $ (231,849) | [1] | $ (216,760) | [1] | $ (206,148) | [1] | $ (190,098) | [1] | $ (188,636) | [1] | $ (175,535) | [1] | $ (180,838) | [1] | $ (882,395) | [1],[2] | $ (735,107) | [1],[2] | $ (719,803) | [1],[2] | ||||
Unrealized gain (loss) on interest rate swaps | $ (12,139) | $ (1,505,333) | $ (466,943) | $ 169,308 | $ 839,191 | $ (448,253) | $ (593,038) | $ (116,732) | $ (1,815,107) | $ (318,832) | $ 349,521 | |||||||||||||||
|
Long-Term Stock Incentive Plan (Detail) (USD $)
|
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Options outstanding at the beginning of year | 6,891,975 | 7,271,503 |
Granted | 7,500 | 8,750 |
Exercised | (678,920) | (363,528) |
Forfeited | (18,500) | |
Expired | (3,750) | (6,250) |
Options outstanding at the end of period | 6,216,805 | 6,891,975 |
Options exercisable at the end of the period | 4,451,693 | 3,822,844 |
Options outstanding at the beginning of year | $ 15.33 | $ 15.20 |
Granted | $ 18.67 | $ 17.24 |
Exercised | $ 13.19 | $ 12.65 |
Forfeited | $ 15.21 | |
Expired | $ 12.15 | $ 18.26 |
Options outstanding at the end of period | $ 15.57 | $ 15.33 |
Options exercisable at the end of the period | $ 16.17 | $ 16.16 |
Repurchase Agreements - Maturities (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 84,097,885 | $ 65,533,537 |
1 day [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 508,647 | |
Within 30 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 33,780,070 | 32,669,341 |
30 to 59 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 28,346,380 | 13,767,522 |
60 to 89 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,699,425 | 4,776,597 |
90 to 119 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 6,781,137 | 6,068,376 |
Over 120 days [Member]
|
||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 10,982,226 | $ 8,251,701 |
LEASE COMMITMENTS AND CONTINGENCIES (Tables)
|
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2011
|
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Lease Commitments and Contingencies | The
following table details the lease payments.
|
Lease Commitments And Contingencies - Narrative (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
---|---|
Lease Commitments and Contingencies [Line Items] | |
Aggregate future net minimum lease payments | $ 8,647 |
SUMMARIZED QUARTERLY RESULTS (UNAUDITED)
|
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2011
|
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SUMMARIZED QUARTERLY RESULTS (UNAUDITED) |
18. SUMMARIZED QUARTERLY RESULTS
(UNAUDITED)
The
following is a presentation of the quarterly results of operations
for the year ended December 31, 2011.
The
following is a presentation of the quarterly results of operations
for the year ended December 31, 2010.
|
Reverse Repurchase Agreement (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Reverse Repurchase Agreement [Line Items] | ||
Reverse repurchase agreement with non-affiliate - value | $ 860,866 | $ 1,006,163 |
RCap [Member]
|
||
Reverse Repurchase Agreement [Line Items] | ||
Reverse repurchase agreement with non-affiliate - value | 849,400 | 1,000,000 |
Shannon [Member]
|
||
Reverse Repurchase Agreement [Line Items] | ||
Reverse repurchase agreement with non-affiliate - value | $ 11,500 |
Net Income Per Common Share (Detail) (USD $)
In Thousands, except Share data, unless otherwise specified |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
|
Net Income Per Common Share [Line Items] | |||||||||||
Net income | $ 445,562 | $ (921,813) | $ 120,817 | $ 699,895 | $ 1,218,504 | $ (14,060) | $ (218,229) | $ 281,065 | $ 344,461 | $ 1,267,280 | $ 1,961,471 |
Less: Preferred stock dividends | 4,148 | 4,172 | 4,267 | 4,267 | 4,268 | 4,515 | 4,625 | 4,625 | 16,854 | 18,033 | 18,501 |
Net income (loss) available (related) to common shareholders | 441,414 | (925,985) | 116,550 | 695,628 | 1,214,236 | (18,575) | (222,854) | 276,440 | 327,607 | 1,249,247 | 1,942,970 |
Add: Preferred Series B dividends, if dilutive | 3,440 | 3,908 | |||||||||
Add: Interest on Convertible Senior Note, if dilutive | 21,333 | ||||||||||
Net income available to common shareholders, as adjusted | $ 327,607 | $ 1,274,020 | $ 1,946,878 | ||||||||
Weighted average shares of common stock outstanding-basic | 970,056,491 | 948,545,975 | 822,623,370 | 752,413,605 | 625,138,510 | 611,904,518 | 559,700,836 | 554,995,092 | 874,212,039 | 588,192,659 | 546,973,036 |
Add: Effect of dilutive stock options, Series B Cumulative Convertible Preferred Stock and Convertible Senior Notes, if dilutive | 307,000 | 37,114,000 | 6,158,000 | ||||||||
Weighted average shares of common stock outstanding-diluted | 1,011,495,682 | 948,545,975 | 827,754,731 | 790,993,841 | 662,476,638 | 611,904,518 | 559,700,836 | 575,859,564 | 874,518,938 | 625,307,174 | 553,130,643 |
RCap Regulatory Requirements (Detail) (USD $)
|
Dec. 31, 2011
|
---|---|
Regulatory Requirements [Line Items] | |
Minimum net capital requirement | $ 252,681 |
Net capital early warning threshold | 303,217 |
Regulatory net capital | 351,200,000 |
Regulatory net capital, excess net capital | $ 351,000,000 |
Derivative Instruments - Fair Value (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Derivative [Line Items] | ||
Derivative instruments, notional amount | $ 40,100,000 | $ 27,100,000 |
Net estimated fair value of derivative instruments - assets | 2,561 | |
Net estimated fair value of derivative instruments - liabilities | (2,552,687) | (754,439) |
Derivative Liabilities [Member]
|
||
Derivative [Line Items] | ||
Derivative instruments, notional amount | 40,109,880 | 26,882,460 |
Net estimated fair value of derivative instruments - liabilities | (2,552,687) | (754,439) |
Derivative Assets [Member]
|
||
Derivative [Line Items] | ||
Derivative instruments, notional amount | 200,000 | |
Net estimated fair value of derivative instruments - assets | $ 2,561 |
AGENCY MORTGAGE-BACKED SECURITIES
|
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2011
|
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AGENCY MORTGAGE-BACKED SECURITIES |
2. AGENCY MORTGAGE-BACKED
SECURITIES
The
following tables present the Company’s available-for-sale
Agency mortgage-backed securities portfolio as of December 31, 2011
and 2010 which were carried at their fair value:
Actual
maturities of Agency Mortgage-Backed Securities are generally
shorter than stated contractual maturities because actual
maturities of Agency Mortgage-Backed Securities are affected by the
contractual lives of the underlying mortgages, periodic payments of
principal, and prepayments of principal. The following
table summarizes the Company’s Agency Mortgage-Backed
Securities on December 31, 2011 and 2010, according to their
estimated weighted-average life classifications:
The
weighted-average lives of the Agency mortgage-backed securities at
December 31, 2011 and 2010 in the table above are based upon data
provided through subscription-based financial information services,
assuming constant principal prepayment rates to the reset date of
each security. The prepayment model considers current
yield, forward yield, steepness of the yield curve, current
mortgage rates, mortgage rate of the outstanding loans, loan age,
margin and volatility. The actual weighted average lives
of the Agency mortgage-backed securities could be longer or shorter
than estimated.
The
following table presents the gross unrealized losses, and estimated
fair value of the Company’s Agency mortgage-backed securities
by length of time that such securities have been in a continuous
unrealized loss position at December 31, 2011 and December 31,
2010.
The decline in value of these securities is solely due to market
conditions and not the quality of the
assets. Substantially all of the Agency mortgage-backed
securities are “AAA” rated or carry an implied
“AAA” rating. The investments are not
considered other-than-temporarily impaired because the Company
currently has the ability and intent to hold the investments to
maturity or for a period of time sufficient for a forecasted market
price recovery up to or beyond the cost of the investments or we
are required to sell for regulatory or other
reasons. Also, the Company is guaranteed payment of the
principal amount of the securities by the government agency which
created them.
During
the year ended December 31, 2011, the Company sold $18.7 billion of
Agency mortgage-backed securities, resulting in a realized gain of
$199.2 million. During the year ended December 31, 2010,
the Company sold $7.8 billion of Agency mortgage-backed securities,
resulting in a realized gain of $171.6 million. Average
cost is used as the basis on which the cost of the securities are
sold.
Agency
interest-only mortgage-backed securities represent the right to
receive a specified portion of the contractual interest flows of
the underlying unamortized principal balance of specific Agency
mortgage-backed securities. As of December 31, 2011,
Agency interest-only mortgage-backed securities had unrealized
losses of $123.1 million (consisting of unrealized losses of $106.7
million included in net income and unrealized loss of $16.4 million
included in other comprehensive income) and an amortized cost of
$405.1 million.
|
Summarized Quarterly Results (Detail) (USD $)
In Thousands, except Share data, unless otherwise specified |
3 Months Ended | 12 Months Ended | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
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Dec. 31, 2010
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Sep. 30, 2010
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Jun. 30, 2010
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Mar. 31, 2010
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Dec. 31, 2011
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Dec. 31, 2010
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Dec. 31, 2009
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Interest income: | ||||||||||||||||||||||||||
Investments | $ 844,874 | $ 926,558 | $ 948,703 | $ 837,880 | $ 678,626 | $ 700,964 | $ 642,782 | $ 653,935 | $ 3,558,015 | $ 2,676,307 | $ 2,922,499 | |||||||||||||||
U.S. Treasury Securities | 1,082 | 2,302 | 6,497 | 4,825 | 2,039 | 751 | 40 | 14,706 | 2,830 | |||||||||||||||||
Securities loaned | 1,744 | 1,942 | 1,868 | 1,343 | 1,422 | 1,261 | 860 | 454 | 6,897 | 3,997 | 103 | |||||||||||||||
Total interest income | 847,700 | 930,802 | 957,068 | 844,048 | 682,087 | 702,976 | 643,682 | 654,389 | 3,579,618 | 2,683,134 | 2,922,602 | |||||||||||||||
Interest expense: | ||||||||||||||||||||||||||
Repurchase agreements | 114,989 | 109,014 | 100,164 | 102,602 | 103,514 | 105,393 | 96,975 | 92,089 | 426,769 | 397,971 | 575,867 | |||||||||||||||
Convertible Senior Notes | 12,552 | 8,798 | 6,900 | 6,767 | 7,034 | 7,033 | 6,966 | 3,195 | 35,017 | 24,228 | ||||||||||||||||
U.S. Treasury Securities sold, not yet purchased | 1,214 | 2,109 | 4,772 | 4,986 | 2,166 | 459 | 24 | 13,081 | 2,649 | |||||||||||||||||
Securities borrowed | 1,378 | 1,496 | 1,484 | 1,101 | 1,201 | 1,047 | 742 | 387 | 5,459 | 3,377 | 92 | |||||||||||||||
Total interest expense | 130,133 | 121,417 | 113,320 | 115,456 | 113,915 | 113,932 | 104,707 | 95,671 | 480,326 | 428,225 | 575,959 | |||||||||||||||
Net interest income | 717,567 | 809,385 | 843,748 | 728,592 | 568,172 | 589,044 | 538,975 | 558,718 | 3,099,292 | 2,254,909 | 2,346,643 | |||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||
Investment advisory and other fee income | 20,460 | 20,828 | 20,710 | 17,207 | 16,321 | 15,343 | 13,863 | 12,546 | 79,205 | 58,073 | 48,952 | |||||||||||||||
Net gains (losses) on sales of Agency mortgage backed security and debentures | 80,657 | 91,668 | 7,336 | 27,185 | 33,802 | 61,986 | 39,041 | 46,962 | 206,846 | 181,791 | 99,128 | |||||||||||||||
Dividend income | 8,283 | 8,706 | 8,230 | 6,297 | 7,647 | 8,097 | 7,330 | 7,964 | 31,516 | 31,038 | 17,184 | |||||||||||||||
Net gains (losses) on trading assets | 6,356 | 1,942 | (5,712) | 18,812 | (3,510) | 1,082 | 77 | 21,398 | (2,351) | |||||||||||||||||
Net unrealized gains (losses) on Agency interest-only mortgage-backed securities | (67,612) | (39,321) | 276 | (106,657) | ||||||||||||||||||||||
Income (expense) from underwriting | 19 | 2,772 | (77) | 2,904 | 680 | 915 | 500 | 5,618 | 2,095 | |||||||||||||||||
Subtotal | 48,163 | 86,595 | 30,763 | 72,405 | 54,940 | 87,423 | 60,811 | 67,472 | 237,926 | 270,646 | 151,651 | |||||||||||||||
Realized gains (losses) on interest rate swaps | (227,638) | [1] | (231,849) | [1] | (216,760) | [1] | (206,148) | [1] | (190,098) | [1] | (188,636) | [1] | (175,535) | [1] | (180,838) | [1] | (882,395) | [1],[2] | (735,107) | [1],[2] | (719,803) | [1],[2] | ||||
Unrealized gains (losses) on interest rate swaps | (12,139) | (1,505,333) | (466,943) | 169,308 | 839,191 | (448,253) | (593,038) | (116,732) | (1,815,107) | (318,832) | 349,521 | |||||||||||||||
Subtotal | (239,777) | (1,737,182) | (683,703) | (36,840) | 649,093 | (636,889) | (768,573) | (297,570) | (2,697,502) | (1,053,939) | (370,282) | |||||||||||||||
Total other income (loss) | (191,614) | (1,650,587) | (652,940) | 35,565 | 704,033 | (549,466) | (707,762) | (230,098) | (2,459,576) | (783,293) | (218,631) | |||||||||||||||
Expenses: | ||||||||||||||||||||||||||
Distribution fees | 360 | 360 | 1,756 | |||||||||||||||||||||||
Compensation expense | 54,340 | 57,629 | 49,752 | 44,530 | 40,193 | 37,419 | 35,080 | 34,267 | 206,251 | 146,958 | 111,416 | |||||||||||||||
Other general and administrative expenses | 8,754 | 7,565 | 7,477 | 7,297 | 6,303 | 6,011 | 6,460 | 5,754 | 31,093 | 24,529 | 18,736 | |||||||||||||||
Total Expenses | 63,094 | 65,194 | 57,229 | 51,827 | 46,496 | 43,430 | 41,540 | 40,381 | 237,344 | 171,847 | 131,908 | |||||||||||||||
Income before income taxes and income (loss) on equity method investment | 462,859 | (906,396) | 133,579 | 712,330 | 1,225,709 | (3,852) | (210,327) | 288,239 | 402,372 | 1,299,769 | 1,996,104 | |||||||||||||||
Income taxes | (17,297) | (15,417) | (12,762) | (13,575) | (8,207) | (11,076) | (8,837) | (7,314) | (59,051) | (35,434) | (34,381) | |||||||||||||||
Income (loss) from equity method investment in affiliate | 1,140 | 1,002 | 868 | 935 | 140 | 1,140 | 2,945 | (252) | ||||||||||||||||||
Net income | 445,562 | (921,813) | 120,817 | 699,895 | 1,218,504 | (14,060) | (218,229) | 281,065 | 344,461 | 1,267,280 | 1,961,471 | |||||||||||||||
Dividends on preferred stock | 4,148 | 4,172 | 4,267 | 4,267 | 4,268 | 4,515 | 4,625 | 4,625 | 16,854 | 18,033 | 18,501 | |||||||||||||||
Net income (loss) available (related) to common shareholders | 441,414 | (925,985) | 116,550 | 695,628 | 1,214,236 | (18,575) | (222,854) | 276,440 | 327,607 | 1,249,247 | 1,942,970 | |||||||||||||||
Net income (loss) available (related) per share to common shareholders: | ||||||||||||||||||||||||||
Basic | $ 0.46 | $ (0.98) | $ 0.14 | $ 0.92 | $ 1.94 | $ (0.03) | $ (0.40) | $ 0.50 | $ 0.37 | $ 2.12 | $ 3.55 | |||||||||||||||
Diluted | $ 0.44 | $ (0.98) | $ 0.14 | $ 0.89 | $ 1.84 | $ (0.03) | $ (0.40) | $ 0.49 | $ 0.37 | $ 2.04 | $ 3.52 | |||||||||||||||
Weighted average number of common shares outstanding: | ||||||||||||||||||||||||||
Basic | 970,056,491 | 948,545,975 | 822,623,370 | 752,413,605 | 625,138,510 | 611,904,518 | 559,700,836 | 554,995,092 | 874,212,039 | 588,192,659 | 546,973,036 | |||||||||||||||
Diluted | 1,011,495,682 | 948,545,975 | 827,754,731 | 790,993,841 | 662,476,638 | 611,904,518 | 559,700,836 | 575,859,564 | 874,518,938 | 625,307,174 | 553,130,643 | |||||||||||||||
Net income (loss) | 445,562 | (921,813) | 120,817 | 699,895 | 1,218,504 | (14,060) | (218,229) | 281,065 | 344,461 | 1,267,280 | 1,961,471 | |||||||||||||||
Other comprehensive income (loss): | ||||||||||||||||||||||||||
Unrealized gains (losses) on available-for-sale securities | 16,157 | 1,115,325 | 1,047,639 | (142,227) | (692,663) | (619,080) | 664,544 | 7,416 | 2,036,894 | (639,783) | 1,513,397 | |||||||||||||||
Unrealized losses on interest rate swaps | 14,298 | 13,570 | 18,402 | 26,846 | 36,081 | 14,298 | 94,899 | 224,818 | ||||||||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss) | (80,657) | (91,668) | (7,336) | (27,185) | (33,802) | (61,986) | (39,041) | (46,962) | (206,846) | (181,791) | (99,128) | |||||||||||||||
Other comprehensive income (loss) | (64,500) | 1,023,657 | 1,040,303 | (155,114) | (712,895) | (662,664) | 652,349 | (3,465) | 1,844,346 | (726,675) | 1,639,087 | |||||||||||||||
Comprehensive income (loss) | $ 381,062 | $ 101,844 | $ 1,161,120 | $ 544,781 | $ 505,609 | $ (676,724) | $ 434,120 | $ 277,600 | $ 2,188,807 | $ 540,605 | $ 3,600,558 | |||||||||||||||
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