MARYLAND
|
22-3479661
|
(State or other jurisdiction of incorporation or organization)
|
(IRS Employer Identification No.)
|
Large accelerated filer þ
|
Accelerated filer o
|
Non-accelerated filer o | Smaller reporting company o |
Class
|
Outstanding at November 6, 2012
|
Common Stock, $.01 par value
|
974,964,290
|
PAGE | |
1
|
|
2
|
|
4
|
|
5
|
|
7
|
|
27
|
|
45
|
|
46
|
|
47
|
|
|
|
47
|
|
47
|
|
50
|
ASSETS
|
September 30, 2012
(Unaudited)
|
December 31,
2011(1) |
||||||
Cash and cash equivalents
|
$ | 2,264,854 | $ | 994,198 | ||||
Reverse repurchase agreements
|
1,612,384 | 860,866 | ||||||
Investments, at fair value:
|
||||||||
U.S. Treasury Securities (including pledged assets of $2,242,039 and $352,820, respectively)
|
2,242,039 | 928,547 | ||||||
Securities borrowed
|
1,602,692 | 928,732 | ||||||
Agency mortgage-backed securities (including pledged assets of $105,841,340 and $90,406,535, respectively)
|
129,597,714 | 104,251,055 | ||||||
Agency debentures (including pledged assets of $774,437 and $567,383, respectively)
|
2,935,538 | 889,580 | ||||||
Investments in affiliates
|
224,899 | 211,970 | ||||||
Equity securities
|
- | 3,891 | ||||||
Corporate debt, held for investment
|
64,928 | 52,073 | ||||||
Receivable for investments sold
|
470,266 | - | ||||||
Accrued interest and dividends receivable
|
434,026 | 409,023 | ||||||
Receivable from Prime Broker
|
3,272 | 3,272 | ||||||
Receivable for advisory and service fees (including from affiliates of $16,451 and $16,245, respectively)
|
20,271 | 19,550 | ||||||
Intangible for customer relationships (net of accumulated amortization of $7,177 and $5,432, respectively)
|
9,146 | 10,807 | ||||||
Goodwill
|
55,417 | 42,030 | ||||||
Other derivative contracts, at fair value
|
559 | 113 | ||||||
Other assets
|
38,595 | 24,295 | ||||||
Total assets
|
$ | 141,576,600 | $ | 109,630,002 | ||||
LIABILITIES AND STOCKHOLDERS’ EQUITY
|
||||||||
Liabilities:
|
||||||||
U.S. Treasury Securities sold, not yet purchased, at fair value
|
$ | 1,418,750 | $ | 826,912 | ||||
Repurchase agreements
|
101,033,146 | 84,097,885 | ||||||
Securities loaned, at fair value
|
1,248,968 | 804,901 | ||||||
Payable for investments purchased
|
16,107,038 | 4,315,796 | ||||||
Convertible Senior Notes
|
999,749 | 539,913 | ||||||
Accrued interest payable
|
181,502 | 138,965 | ||||||
Dividends payable
|
487,237 | 552,806 | ||||||
Interest rate swaps, at fair value
|
2,926,461 | 2,552,687 | ||||||
Accounts payable and other liabilities
|
83,086 | 7,223 | ||||||
Total liabilities
|
124,485,937 | 93,837,088 | ||||||
6.00% Series B Cumulative Convertible Preferred Stock: | ||||||||
4,600,000 shares authorized, 0 and 1,331,849 shares issued and outstanding, respectively
|
- | 32,272 | ||||||
Stockholders’ Equity:
|
||||||||
7.875% Series A Cumulative Redeemable Preferred Stock: 7,412,500 authorized, issued and outstanding
|
177,088 | 177,088 | ||||||
7.625% Series C Cumulative Redeemable Preferred Stock: 12,650,000 and 0 authorized, respectively, 12,000,000 and 0 issued and outstanding, respectively
|
290,514 | - | ||||||
7.50% Series D Cumulative Redeemable Preferred Stock: 18,400,000 and 0 authorized, issued and outstanding, respectively
|
445,457 | - | ||||||
Common stock, par value $0.01 per share, 1,956,937,500 and 1,987,987,500 authorized,
respectively, 974,799,779 and 970,161,647 issued and outstanding, respectively |
9,748 | 9,702 | ||||||
Additional paid-in capital
|
15,144,200 | 15,068,870 | ||||||
Accumulated other comprehensive income (loss)
|
4,069,607 | 3,008,988 | ||||||
Accumulated deficit
|
(3,045,951 | ) | (2,504,006 | ) | ||||
Total stockholders’ equity
|
17,090,663 | 15,760,642 | ||||||
Total liabilities, Series B Cumulative Convertible Preferred Stock and stockholders’ equity
|
$ | 141,576,600 | $ | 109,630,002 |
(1) |
Derived from the audited consolidated financial statements at December 31, 2011.
|
For the Quarter Ended
September 30, |
For the Nine Months Ended
September 30, |
|||||||||||||||
2012
|
2011
|
2012
|
2011
|
|||||||||||||
Interest income:
|
||||||||||||||||
Investments
|
$ | 754,096 | $ | 926,558 | $ | 2,481,284 | $ | 2,713,141 | ||||||||
U.S. Treasury Securities
|
4,588 | 2,302 | 13,403 | 13,624 | ||||||||||||
Securities loaned
|
2,581 | 1,942 | 7,797 | 5,153 | ||||||||||||
Total interest income
|
761,265 | 930,802 | 2,502,484 | 2,731,918 | ||||||||||||
Interest expense:
|
||||||||||||||||
Repurchase agreements
|
158,150 | 109,014 | 411,643 | 311,780 | ||||||||||||
Convertible Senior Notes
|
18,026 | 8,798 | 51,718 | 22,465 | ||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
3,739 | 2,109 | 12,184 | 11,867 | ||||||||||||
Securities borrowed
|
1,978 | 1,496 | 6,136 | 4,081 | ||||||||||||
Total interest expense
|
181,893 | 121,417 | 481,681 | 350,193 | ||||||||||||
Net interest income
|
579,372 | 809,385 | 2,020,803 | 2,381,725 | ||||||||||||
Other income (loss):
|
||||||||||||||||
Investment advisory and other fee income
|
21,034 | 20,828 | 63,729 | 58,745 | ||||||||||||
Net gains (losses) on disposition of investments
|
142,172 | 91,668 | 317,308 | 126,189 | ||||||||||||
Net loss on extinguishment of Convertible Senior Notes
|
(87,328 | ) | - | (87,328 | ) | - | ||||||||||
Dividend income from affiliates
|
7,097 | 8,706 | 21,239 | 23,233 | ||||||||||||
Net gains (losses) on trading assets
|
1,368 | 1,942 | 7,729 | 15,042 | ||||||||||||
Net unrealized gain (losses) on interest-only Agency mortgage-backed securities
|
(33,563 | ) | (39,321 | ) | (28,789 | ) | (39,045 | ) | ||||||||
Income from underwriting
|
- | 2,772 | - | 5,599 | ||||||||||||
Subtotal
|
50,780 | 86,595 | 293,888 | 189,763 | ||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(224,272 | ) | (231,849 | ) | (665,614 | ) | (654,757 | ) | ||||||||
Realized gains (losses) on termination of interest rate swaps
|
- | - | (2,385 | ) | - | |||||||||||
Unrealized gains (losses) on interest rate swaps
|
(104,197 | ) | (1,505,333 | ) | (373,773 | ) | (1,802,968 | ) | ||||||||
Subtotal
|
(328,469 | ) | (1,737,182 | ) | (1,041,772 | ) | (2,457,725 | ) | ||||||||
Total other income (loss)
|
(277,689 | ) | (1,650,587 | ) | (747,884 | ) | (2,267,962 | ) | ||||||||
Expenses:
|
||||||||||||||||
Compensation expense
|
52,310 | 57,629 | 164,860 | 151,911 | ||||||||||||
Other general and administrative expenses
|
10,694 | 7,565 | 30,615 | 22,339 | ||||||||||||
Total expenses
|
63,004 | 65,194 | 195,475 | 174,250 | ||||||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
238,679 | (906,396 | ) | 1,077,444 | (60,487 | ) | ||||||||||
Income taxes
|
(13,921 | ) | (15,417 | ) | (42,039 | ) | (41,754 | ) | ||||||||
Income from equity method investment in affiliate
|
- | - | - | 1,140 | ||||||||||||
Net income (loss)
|
224,758 | (921,813 | ) | 1,035,405 | (101,101 | ) | ||||||||||
Dividends on preferred stock
|
9,367 | 4,172 | 19,813 | 12,706 | ||||||||||||
Net income (loss) available (related) to common shareholders
|
$ | 215,391 | $ | (925,985 | ) | $ | 1,015,592 | $ | (113,807 | ) | ||||||
Net income (loss) available (related) per share to common shareholders:
|
||||||||||||||||
Basic
|
$ | 0.22 | $ | (0.98 | ) | $ | 1.04 | $ | (0.14 | ) | ||||||
Diluted
|
$ | 0.22 | $ | (0.98 | ) | $ | 1.00 | $ | (0.14 | ) | ||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||
Basic
|
974,729,078 | 948,545,975 | 973,674,586 | 841,912,810 | ||||||||||||
Diluted
|
997,007,829 | 948,545,975 | 1,035,365,251 | 841,912,810 |
Dividends Declared Per Share of Common Stock
|
$ | 0.50 | $ | 0.60 | $ | 1.60 | $ | 1.87 | ||||||||
Net income (loss)
|
$ | 224,758 | $ | (921,813 | ) | $ | 1,035,405 | $ | (101,101 | ) | ||||||
Other comprehensive income (loss):
|
||||||||||||||||
Unrealized gains (losses) on available-for-sale securities
|
798,269 | 1,115,325 | 1,377,737 | 2,020,737 | ||||||||||||
Unrealized losses on interest rate swaps
|
- | - | - | 14,298 | ||||||||||||
Reclassification adjustment for net (gains) losses included in net income (loss)
|
(141,982 | ) | (91,668 | ) | (317,118 | ) | (126,189 | ) | ||||||||
Other comprehensive income (loss)
|
656,287 | 1,023,657 | 1,060,619 | 1,908,846 | ||||||||||||
Comprehensive income (loss)
|
$ | 881,045 | $ | 101,844 | $ | 2,096,024 | $ | 1,807,745 | ||||||||
(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 Comprehensive Income.
|
7.875% Series A Cumulative Redeemable Preferred
Stock
|
7.625% Series C Cumulative Redeemable Preferred
Stock
|
7.50% Series D Cumulative Redeemable Preferred
Stock
|
Common
Stock
Par Value
|
Additional
Paid-In
Capital
|
Accumulated Other Comprehensive Income
|
Accumulated Deficit
|
Total
|
|||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2010
|
$ | 177,088 | - | - | $ | 6,316 | $ | 9,175,245 | $ | 1,164,642 | $ | (658,391 | ) | $ | 9,864,900 | |||||||||||||||||
Net income (loss)
|
- | - | - | - | - | - | (101,101 | ) | (101,101 | ) | ||||||||||||||||||||||
Other comprehensive income (loss)
|
- | - | - | - | - | 1,908,846 | - | 1,908,846 | ||||||||||||||||||||||||
Exercise of stock options
|
- | - | - | 6 | 7,858 | - | - | 7,864 | ||||||||||||||||||||||||
Stock option expense and long-term compensation expense
|
- | - | - | 4 | 3,858 | - | - | 3,862 | ||||||||||||||||||||||||
Conversion of Series B cumulative preferred stock
|
- | - | - | 7 | 6,361 | - | - | 6,368 | ||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
- | - | - | 261 | 455,445 | - | - | 455,706 | ||||||||||||||||||||||||
Net proceeds from follow-on offering
|
- | - | - | 3,105 | 5,348,741 | - | - | 5,351,846 | ||||||||||||||||||||||||
Contingent beneficial conversion
feature on Convertible Senior Notes |
- | - | - | - | 44,853 | - | - | 44,853 | ||||||||||||||||||||||||
Preferred Series A dividends declared $1.477 per share
|
- | - | - | - | - | - | (10,945 | ) | (10,945 | ) | ||||||||||||||||||||||
Preferred Series B dividends declared $1.125 per share
|
- | - | - | - | - | - | (1,761 | ) | (1,761 | ) | ||||||||||||||||||||||
Common dividends declared,
$1.87 per share |
- | - | - | - | - | - | (1,620,416 | ) | (1,620,416 | ) | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2011
|
$ | 177,088 | - | - | $ | 9,699 | $ | 15,042,361 | $ | 3,073,488 | $ | (2,392,614 | ) | $ | 15,910,022 | |||||||||||||||||
BALANCE, DECEMBER 31, 2011
|
$ | 177,088 | - | - | $ | 9,702 | $ | 15,068,870 | $ | 3,008,988 | $ | (2,504,006 | ) | $ | 15,760,642 | |||||||||||||||||
Net income (loss)
|
- | - | - | - | - | - | 1,035,405 | 1,035,405 | ||||||||||||||||||||||||
Other comprehensive income (loss)
|
- | - | - | - | - | 1,060,619 | - | 1,060,619 | ||||||||||||||||||||||||
Exercise of stock options
|
- | - | - | 5 | 6,056 | - | - | 6,061 | ||||||||||||||||||||||||
Stock option expense and long-term compensation expense
|
- | - | - | - | 3,857 | - | - | 3,857 | ||||||||||||||||||||||||
Conversion of Series B cumulative preferred stock
|
- | - | - | 40 | 32,232 | - | - | 32,272 | ||||||||||||||||||||||||
Net proceeds from direct purchase and dividend reinvestment
|
- | - | - | 1 | 1,978 | - | - | 1,979 | ||||||||||||||||||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes
|
- | - | - | - | 19,738 | - | - | 19,738 | ||||||||||||||||||||||||
Equity component on 5% Convertible Senior Notes
|
- | - | - | 11,717 | 11,717 | |||||||||||||||||||||||||||
Offering expenses
|
- | - | - | - | (248 | ) | - | - | (248 | ) | ||||||||||||||||||||||
Net proceeds from 7.625% Series C Cumulative Redeemable Preferred Stock offering
|
- | 290,514 | - | - | - | - | - | 290,514 | ||||||||||||||||||||||||
Net proceeds from 7.50% Series D Cumulative Redeemable Preferred Stock offering
|
- | - | 445,457 | - | - | - | - | 445,457 | ||||||||||||||||||||||||
Extinguishment of convertible debt
|
- | - | - | - | ||||||||||||||||||||||||||||
Preferred Series A dividends declared $1.477 per share
|
- | - | - | - | - | - | (10,945 | ) | (10,945 | ) | ||||||||||||||||||||||
Preferred Series B dividends declared $0.375 per share
|
- | - | - | - | - | - | (289 | ) | (289 | ) | ||||||||||||||||||||||
Preferred Series C dividends declared $0.715 per share
|
- | - | - | - | - | - | (8,579 | ) | (8,579 | ) | ||||||||||||||||||||||
Common dividends declared,
$1.60 per share |
- | - | - | - | - | - | (1,557,537 | ) | (1,557,537 | ) | ||||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2012
|
$ | 177,088 | $ | 290,514 | $ | 445,457 | $ | 9,748 | $ | 15,144,200 | $ | 4,069,607 | $ | (3,045,951 | ) | $ | 17,090,663 |
For the Quarters Ended
|
For the Nine Months Ended
|
|||||||||||||||
September 30,
2012 |
September 30,
2011 |
September 30,
2012 |
September 30,
2011 |
|||||||||||||
Cash flows from operating activities:
|
||||||||||||||||
Net income (loss)
|
$ | 224,758 | $ | (921,813 | ) | $ | 1,035,405 | $ | (101,101 | ) | ||||||
Adjustments to reconcile net income (loss) to net cash provided by
(used in) operating activities: |
||||||||||||||||
Amortization of investment premiums and discounts, net
|
455,493 | 200,942 | 1,038,598 | 502,186 | ||||||||||||
Amortization of intangibles
|
634 | 676 | 1,858 | 1,511 | ||||||||||||
Amortization of deferred expenses
|
2,189 | 900 | 4,927 | 2,700 | ||||||||||||
Amortization of contingent beneficial conversion feature and equity component on convertible senior notes
|
1,438 | 1,898 | 15,498 | 1,898 | ||||||||||||
Net (gains) losses on disposal of investments
|
(142,172 | ) | (91,668 | ) | (317,308 | ) | (126,189 | ) | ||||||||
Net loss on extinguishment of 4% Convertible Senior Notes
|
87,328 | - | 87,328 | - | ||||||||||||
Stock option and long-term compensation expense
|
997 | 1,403 | 3,857 | 3,862 | ||||||||||||
Unrealized (gains) losses on interest rate swaps
|
104,197 | 1,505,333 | 373,773 | 1,802,968 | ||||||||||||
Net unrealized (gains) losses on interest-only Agency mortgage-backed securities
|
33,563 | 39,321 | 28,789 | 39,045 | ||||||||||||
Net (gains) losses on trading assets
|
(1,368 | ) | (1,942 | ) | (5,344 | ) | (15,042 | ) | ||||||||
Gain on investment in affiliate, equity method
|
- | - | - | (98 | ) | |||||||||||
Unrealized (gains) losses on equity securities
|
- | 63 | - | 63 | ||||||||||||
Proceeds from repurchase agreements from RCap
|
168,905,024 | 157,069,300 | 509,943,940 | 720,578,286 | ||||||||||||
Payments on repurchase agreements from RCap
|
(166,150,546 | ) | (156,683,356 | ) | (502,959,819 | ) | (719,466,382 | ) | ||||||||
Proceeds from reverse repurchase agreements to RCap
|
113,457,928 | 27,610,583 | 299,139,881 | 132,302,897 | ||||||||||||
Payments on reverse repurchase agreements to RCap
|
(113,053,067 | ) | (27,359,741 | ) | (299,884,954 | ) | (131,634,729 | ) | ||||||||
Proceeds from reverse repurchase agreements to Shannon
|
185,640 | 58,848 | 409,380 | 65,893 | ||||||||||||
Payments on reverse repurchase agreements to Shannon
|
(177,414 | ) | (76,140 | ) | (415,825 | ) | (88,213 | ) | ||||||||
Proceeds from securities borrowed
|
26,397,098 | 12,445,883 | 45,821,749 | 14,898,651 | ||||||||||||
Payments on securities borrowed
|
(26,534,463 | ) | (12,978,764 | ) | (46,495,709 | ) | (15,734,785 | ) | ||||||||
Proceeds from securities loaned
|
59,324,108 | 12,398,720 | 125,183,976 | 14,902,887 | ||||||||||||
Payments on securities loaned
|
(59,188,247 | ) | (11,938,989 | ) | (124,739,909 | ) | (14,213,667 | ) | ||||||||
Proceeds from U.S. Treasury Securities
|
13,085,890 | (5,303,369 | ) | 44,183,569 | (18,193,311 | ) | ||||||||||
Payments on U.S. Treasury Securities
|
(13,407,718 | ) | 5,716,809 | (45,248,472 | ) | 18,514,722 | ||||||||||
Net payments on derivatives
|
(648 | ) | (1,771 | ) | (18,108 | ) | (4,545 | ) | ||||||||
Net change in:
|
||||||||||||||||
Other assets
|
(3,226 | ) | (4,795 | ) | (1,072 | ) | (4,110 | ) | ||||||||
Accrued interest and dividend receivable
|
(4,812 | ) | (22,148 | ) | (16,942 | ) | (62,792 | ) | ||||||||
Advisory and service fees receivable
|
472 | 10 | (721 | ) | (3,484 | ) | ||||||||||
Accrued interest payable
|
6,683 | 5,618 | 42,537 | 12,605 | ||||||||||||
Accounts payable and other liabilities
|
(11,767 | ) | (4,058 | ) | 75,863 | 65,916 | ||||||||||
Net cash provided by (used in) operating activities
|
3,597,992 | 1,667,753 | 7,286,745 | 4,047,642 | ||||||||||||
Cash flows from investing activities:
|
||||||||||||||||
Payments on purchases of Agency mortgage-backed securities and debentures
|
(21,398,098 | ) | (17,054,754 | ) | (59,518,222 | ) | (49,344,466 | ) | ||||||||
Proceeds from sales of Agency mortgage-backed securities and debentures
|
7,810,451 | 3,568,718 | 17,725,948 | 9,001,949 | ||||||||||||
Principal payments on Agency mortgage-backed securities
|
9,943,910 | 5,074,528 | 25,197,941 | 14,429,098 | ||||||||||||
Proceeds from Agency debentures called
|
327,385 | 288,925 | 1,177,548 | 906,523 | ||||||||||||
Payments on purchase of corporate debt
|
(23,520 | ) | - | (33,420 | ) | (7,425 | ) | |||||||||
Proceeds from corporate debt called
|
19,165 | - | 19,165 | - | ||||||||||||
Principal payments on corporate debt
|
565 | - | 2,025 | 1,155 | ||||||||||||
Net gains (losses) on other derivative securities
|
- | - | - | 11,518 | ||||||||||||
Earn out payment
|
- | - | (13,387 | ) | - | |||||||||||
Purchase of investment in affiliate
|
- | - | - | (57,500 | ) | |||||||||||
Purchase of customer relationships
|
- | - | - | (3,555 | ) | |||||||||||
Proceeds from sales of equity securities
|
- | (3,990 | ) | 4,048 | (3,990 | ) | ||||||||||
Net cash provided by (used in) investing activities
|
(3,320,142 | ) | (8,126,573 | ) | (15,438,354 | ) | (25,066,693 | ) | ||||||||
Cash flows from financing activities:
|
||||||||||||||||
Proceeds from repurchase agreements
|
91,857,968 | 72,790,611 | 258,994,965 | 200,627,105 | ||||||||||||
Principal payments on repurchase agreements
|
(90,340,097 | ) | (65,127,815 | ) | (249,043,825 | ) | (180,776,641 | ) | ||||||||
Proceeds from exercise of stock options
|
670 | 1,752 | 6,061 | 7,864 | ||||||||||||
Net proceeds from Series C Preferred offering
|
- | - | 290,514 | - | ||||||||||||
Net proceeds from Series D Preferred offering
|
445,457 | - | 445,457 | - | ||||||||||||
Net proceeds from issuance of 5% Convertible Senior Notes offering
|
- | - | 727,500 | - |
Net proceeds from direct purchases and dividend reinvestments
|
1,134 | - | 1,979 | 455,706 | ||||||||||||
Net payment from extinguishment of 4% Convertible Senior Notes
|
(357,220 | ) | - | (357,220 | ) | - | ||||||||||
Net (payment) proceeds from follow-on offerings
|
(17 | ) | 2,410,435 | (248 | ) | 5,351,846 | ||||||||||
Dividends paid
|
(545,265 | ) | (544,141 | ) | (1,642,918 | ) | (1,455,589 | ) | ||||||||
Net cash provided by (used in) financing activities
|
1,062,630 | 9,530,842 | 9,422,265 | 24,210,291 | ||||||||||||
Net (decrease) increase in cash and cash equivalents
|
1,340,480 | 3,072,022 | 1,270,656 | 3,191,240 | ||||||||||||
Cash and cash equivalents, beginning of period
|
924,374 | 401,844 | 994,198 | 282,626 | ||||||||||||
Cash and cash equivalents, end of period
|
$ | 2,264,854 | $ | 3,473,866 | $ | 2,264,854 | $ | 3,473,866 | ||||||||
Supplemental disclosure of cash flow information:
|
||||||||||||||||
Interest received
|
$ | 1,203,598 | $ | 1,107,518 | $ | 3,514,893 | $ | 3,168,555 | ||||||||
Dividends received
|
$ | 6,621 | $ | 8,230 | $ | 22,425 | $ | 23,170 | ||||||||
Fees received
|
$ | 21,506 | $ | 20,838 | $ | 63,008 | $ | 55,261 | ||||||||
Interest paid (excluding interest paid on interest rate swaps)
|
$ | 173,889 | $ | 116,641 | $ | 423,752 | $ | 345,485 | ||||||||
Net interest paid on interest rate swaps
|
$ | 224,155 | $ | 229,109 | $ | 665,508 | $ | 644,962 | ||||||||
Taxes paid
|
$ | 17,374 | $ | 17,919 | $ | 46,541 | $ | 43,595 | ||||||||
Noncash investing activities:
|
||||||||||||||||
Receivable for Investments sold
|
$ | 470,266 | $ | 402,817 | $ | 470,266 | $ | 402,817 | ||||||||
Payable for Investments purchased
|
$ | 16,107,038 | $ | 5,852,986 | $ | 16,107,038 | $ | 5,852,986 | ||||||||
Net change in unrealized loss on available-for-sale securities and interest rate swaps, net of reclassification adjustment
|
$ | 656,287 | $ | 1,023,657 | $ | 1,060,619 | $ | 1,908,846 | ||||||||
Noncash financing activities:
|
||||||||||||||||
Dividends declared, not yet paid
|
$ | 487,237 | $ | 581,752 | $ | 487,237 | $ | 581,752 | ||||||||
Conversion of Series B cumulative preferred stock
|
- | $ | 6,295 | $ | 32,272 | $ | 6,368 | |||||||||
Contingent beneficial conversion feature on 4% Convertible Senior Notes
|
$ | (26,603 | ) | $ | 44,853 | $ | 19,738 | $ | 44,853 | |||||||
Equity component of 5% Convertible Senior Notes
|
$ | 11,717 | - | $ | 11,717 | - |
September 30, 2012
|
Freddie Mac
|
Fannie Mae
|
Ginnie Mae
|
Total Mortgage-
Backed Securities |
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Agency mortgage-backed securities, par value
|
$ | 45,694,153 | $ | 74,191,691 | $ | 296,707 | $ | 120,182,551 | ||||||||
Unamortized discount
|
(9,552 | ) | (14,615 | ) | (391 | ) | (24,558 | ) | ||||||||
Unamortized premium
|
2,009,836 | 3,443,390 | 24,344 | 5,477,570 | ||||||||||||
Amortized cost
|
47,694,437 | 77,620,466 | 320,660 | 125,635,563 | ||||||||||||
Gross unrealized gains
|
1,535,949 | 2,546,506 | 21,808 | 4,104,263 | ||||||||||||
Gross unrealized losses
|
(17,193 | ) | (124,164 | ) | (755 | ) | (142,112 | ) | ||||||||
Estimated fair value
|
$ | 49,213,193 | $ | 80,042,808 | $ | 341,713 | $ | 129,597,714 |
Amortized Cost
|
Gross Unrealized Gain |
Gross Unrealized
Loss |
Estimated Fair
Value |
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Adjustable rate
|
$ | 6,671,582 | $ | 289,871 | $ | (4,450 | ) | $ | 6,957,003 | |||||||
Fixed rate
|
118,963,981 | 3,814,392 | (137,662 | ) | 122,640,711 | |||||||||||
Total
|
$ | 125,635,563 | $ | 4,104,263 | $ | (142,112 | ) | $ | 129,597,714 |
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 |
September 30, 2012
|
December 31, 2011
|
|||||||||||||||
Weighted-Average Life
|
Fair Value
|
Amortized
Cost |
Fair Value
|
Amortized
Cost |
||||||||||||
(dollars in thousands)
|
||||||||||||||||
Less than one year
|
$ | 4,424,036 | $ | 4,379,206 | $ | 1,715,530 | $ | 1,697,101 | ||||||||
Greater than one year through five years
|
124,868,825 | 120,967,061 | 97,344,791 | 94,534,782 | ||||||||||||
Greater than five years through ten years
|
304,853 | 289,296 | 4,447,540 | 4,348,841 | ||||||||||||
Greater than 10 years
|
- | - | 743,194 | 719,221 | ||||||||||||
Total
|
$ | 129,597,714 | $ | 125,635,563 | $ | 104,251,055 | $ | 101,299,945 |
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 |
|||||||||||||||||||
September 30, 2012
|
$ | 1,302,641 | $ | (31,172 | ) | $ | 360,621 | $ | (110,940 | ) | $ | 1,663,262 | $ | (142,112 | ) | |||||||||
December 31, 2011
|
$ | 1,087,552 | $ | (118,593 | ) | $ | 883,143 | $ | (16,529 | ) | $ | 1,970,695 | $ | (135,122 | ) |
Level 1
|
Level 2
|
Level 3
|
||||||||||
At September 30, 2012
|
(dollars in thousands)
|
|||||||||||
Assets:
|
||||||||||||
U.S. Treasury Securities
|
$ | 2,242,039 | $ | - | $ | - | ||||||
Securities borrowed
|
- | 1,602,692 | - | |||||||||
Agency mortgage-backed securities
|
- | 129,597,714 | - | |||||||||
Agency debentures
|
- | 2,935,538 | - | |||||||||
Investment in affiliates
|
224,899 | - | - | |||||||||
Other derivative contracts
|
559 | - | - | |||||||||
Liabilities:
|
||||||||||||
U.S. Treasury securities sold, not yet purchased
|
1,418,750 | - | - | |||||||||
Interest rate swaps
|
- | 2,926,461 | - | |||||||||
Securities loaned
|
- | 1,248,968 | - |
Level 1
|
Level 2
|
Level 3
|
||||||||||
At December 31, 2011
|
(dollars in thousands)
|
|||||||||||
Assets:
|
||||||||||||
U.S. Treasury securities
|
$ | 928,547 | $ | - | $ | - | ||||||
Securities borrowed
|
- | 928,732 | - | |||||||||
Agency mortgage-backed securities
|
- | 104,251,055 | - | |||||||||
Agency debentures
|
- | 889,580 | - | |||||||||
Investments in affiliates
|
211,970 | - | - | |||||||||
Equity securities
|
3,891 | - | - | |||||||||
Other derivative contracts
|
113 | - | - | |||||||||
Liabilities:
|
||||||||||||
U.S. Treasury securities sold, not yet purchased
|
826,912 | - | - | |||||||||
Interest rate swaps
|
- | 2,552,687 | - | |||||||||
Securities loaned
|
- | 804,901 | - |
September 30, 2012
|
December 31, 2011 | |||||||||||||||
Carrying
Value |
Fair Value
|
Carrying
Value |
Fair Value
|
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Financial assets:
|
||||||||||||||||
Cash and cash equivalents(1)
|
$ | 2,264,854 | $ | 2,264,854 | $ | 994,198 | $ | 994,198 | ||||||||
Reverse repurchase agreements(1)
|
1,612,384 | 1,612,384 | 860,866 | 860,866 | ||||||||||||
U.S. Treasury Securities(2)
|
2,242,039 | 2,242,039 | 928,547 | 928,547 | ||||||||||||
Securities borrowed(2)
|
1,602,692 | 1,602,692 | 928,732 | 928,732 | ||||||||||||
Agency mortgage-backed securities
|
129,597,714 | 129,597,714 | 104,251,055 | 104,251,055 | ||||||||||||
Agency debentures
|
2,935,538 | 2,935,538 | 889,580 | 889,580 | ||||||||||||
Investment in affiliates(2)
|
224,899 | 224,899 | 211,970 | 211,970 | ||||||||||||
Receivable from Prime Broker
|
3,272 | 3,272 | 3,272 | 3,272 | ||||||||||||
Equity securities(2)
|
- | - | 3,891 | 3,891 | ||||||||||||
Corporate debt(3)
|
64,928 | 66,195 | 52,073 | 52,628 | ||||||||||||
Other derivatives(2)
|
559 | 559 | 113 | 113 | ||||||||||||
Financial liabilities:
|
||||||||||||||||
U.S. Treasury Securities sold, not yet purchased(2)
|
$ | 1,418,750 | $ | 1,418,750 | $ | 826,912 | $ | 826,912 | ||||||||
Repurchase agreements(1)(4)
|
101,033,146 | 101,634,836 | 84,097,885 | 84,369,817 | ||||||||||||
Securities loaned(2)
|
1,248,968 | 1,248,968 | 804,901 | 804,901 | ||||||||||||
Convertible Senior Notes(2)
|
999,749 | 1,180,525 | 539,913 | 685,500 | ||||||||||||
Interest rate swaps
|
2,926,461 | 2,926,461 | 2,552,687 | 2,552,687 |
(1)
|
The fair value of repurchase agreements with maturities less than one year approximates carrying value due to the short-term maturities of these items.
|
(2)
|
Fair value is determined using end of day quoted prices in active markets.
|
(3)
|
The carrying value of the corporate debt is based on amortized cost. Estimates of fair value of corporate debt require the use of significant judgments and inputs including, but not limited to, the enterprise value of the borrower (i.e., an estimate of the total fair value of the borrower's debt and equity), the nature and realizable value of any collateral, the borrower’s ability to make payments when due and its earnings history. Management also considers factors that affect the macro and local economic markets in which the borrower operates.
|
(4)
|
The fair value of repurchase agreements with maturities greater than one year are valued as pay fixed versus receive floating interest rate swaps.
|
September 30, 2012
|
December 31, 2011
|
|||||||||||||||
Repurchase
Agreements |
Weighted Average
Rate |
Repurchase Agreements
|
Weighted Average
Rate |
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
1 day
|
$ | 3,585,234 | 0.28 | % | $ | 508,647 | 0.50 | % | ||||||||
2 to 29 days
|
27,234,957 | 0.45 | % | 33,780,070 | 0.37 | % | ||||||||||
30 to 59 days
|
18,726,669 | 0.43 | % | 28,346,380 | 0.37 | % | ||||||||||
60 to 89 days
|
4,795,439 | 0.41 | % | 3,699,425 | 0.93 | % | ||||||||||
90 to 119 days
|
11,309,846 | 0.49 | % | 6,781,137 | 0.37 | % | ||||||||||
Over 120 days
|
35,381,001 | 0.93 | % | 10,982,226 | 1.39 | % | ||||||||||
Total
|
$ | 101,033,146 | 0.61 | % | $ | 84,097,885 | 0.53 | % |
Location on Consolidated Statements of
Financial Condition |
Notional
Amount |
Net Estimated Fair Value
|
|||||||
(dollars in thousands)
|
|||||||||
September 30, 2012
|
Assets: Interest rate swaps, at fair value
|
- | - | ||||||
September 30, 2012
|
Liabilities: Interest rate swaps, at fair value
|
$ | 46,746,710 | $ | (2,926,461 | ) | |||
December 31, 2011
|
Assets: Interest rate swaps, at fair value
|
- | - | ||||||
December 31, 2011
|
Liabilities: Interest rate swaps, at fair value
|
$ | 40,109,880 | $ | (2,552,687 | ) |
Location on Consolidated Statements of Comprehensive
Income |
||||||||||||
Realized Gains (Losses) on
Interest Rate Swaps* |
Gain (loss) on Termination of Interest Rate
Swaps |
Unrealized Gains (Losses) on Interest Rate Swaps
|
||||||||||
(dollars in thousands)
|
||||||||||||
For the Quarter Ended September 30, 2012
|
$ | (224,272 | ) | - | $ | (104,197 | ) | |||||
For the Quarter Ended September 30, 2011
|
$ | (231,849 | ) | - | $ | (1,505,333 | ) | |||||
For the Nine Months Ended September 30, 2012
|
$ | (665,614 | ) | $ | (2,385 | ) | $ | (373,773 | ) | |||
For the Nine Months Ended September 30, 2011
|
$ | (654,757 | ) | - | $ | (1,802,968 | ) |
(A)
|
Common Stock
|
For the Quarter Ended
|
For the Nine Months Ended
|
|||||||||||||||
September 30,
2012 |
September 30,
2011 |
September 30,
2012 |
September 30,
2011 |
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Net income (loss)
|
$ | 224,758 | $ | (921,813 | ) | $ | 1,035,405 | $ | (101,101 | ) | ||||||
Less: Preferred stock dividends
|
9,367 | 4,172 | 19,813 | 12,706 | ||||||||||||
Net income (loss) available to common shareholders, prior to
adjustment for dilutive potential common shares, if necessary |
215,391 | $ | (925,985 | ) | 1,015,592 | $ | (113,807 | ) | ||||||||
Add: Interest on Convertible Senior Notes, if dilutive
|
3,193 | - | 23,850 | - | ||||||||||||
Net income (loss) available to common shareholders, as adjusted
|
$ | 218,584 | $ | (925,985 | ) | $ | 1,039,442 | $ | (113,807 | ) | ||||||
Weighted average shares of common stock outstanding-basic
|
974,729 | 948,546 | 973,675 | 841,913 | ||||||||||||
Add: Effect of dilutive stock options, Series B Preferred Stock
and Convertible Senior Notes, if dilutive |
22,279 | - | 61,690 | - | ||||||||||||
Weighted average shares of common stock outstanding-diluted
|
997,008 | 948,546 | 1,035,365 | 841,913 |
|
For the Nine Months Ended
|
|||||||||||||||
September 30, 2012
|
September 30, 2011
|
|||||||||||||||
Number of
Shares |
Weighted
Average Exercise Price |
Number of
Shares |
Weighted
Average Exercise Price |
|||||||||||||
Options outstanding at the beginning of period
|
6,216,805 | $ | 15.57 | 6,891,975 | $ | 15.20 | ||||||||||
Granted
|
7,500 | 17.11 | 7,500 | 18.67 | ||||||||||||
Exercised
|
(443,669 | ) | 13.65 | (596,470 | ) | 13.18 | ||||||||||
Forfeited
|
(2,450 | ) | 16.15 | - | - | |||||||||||
Expired
|
- | - | (3,750 | ) | 12.15 | |||||||||||
Options outstanding at the end of period
|
5,778,186 | $ | 15.72 | 6,299,255 | $ | 15.54 | ||||||||||
Options exercisable at the end of the period
|
5,147,624 | $ | 16.02 | 4,534,143 | $ | 16.12 | ||||||||||
Year Ending December
|
Lease Commitment
|
Sublease Income
|
Net Amount
|
|||||||||
(dollars in thousands)
|
||||||||||||
2012 (remaining)
|
$ | 751 | $ | 45 | $ | 706 | ||||||
2013
|
3,004 | 60 | 2,944 | |||||||||
2014
|
2,520 | - | 2,520 | |||||||||
2015
|
159 | - | 159 | |||||||||
2016
|
27 | - | 27 | |||||||||
Thereafter
|
- | - | - | |||||||||
$ | 6,461 | $ | 105 | $ | 6,356 |
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)
|
||||||||||||||||||||||||||||||||
Quarter Ended September 30, 2012
|
$ | 119,880,120 | $ | 761,265 | 2.54 | % | $ | 106,973,056 | $ | 406,165 | 1.52 | % | $ | 355,100 | 1.02 | % | ||||||||||||||||
Quarter Ended June 30, 2012
|
$ | 116,458,864 | $ | 886,324 | 3.04 | % | $ | 103,668,465 | $ | 388,445 | 1.50 | % | $ | 497,879 | 1.54 | % | ||||||||||||||||
Quarter Ended March 31, 2012
|
$ | 105,706,554 | $ | 854,895 | 3.23 | % | $ | 92,552,175 | $ | 352,685 | 1.52 | % | $ | 502,210 | 1.71 | % | ||||||||||||||||
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 | % | ||||||||||||||||
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 | % | $ | 86,671,908 | $ | 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
|
|||
September 30, 2012
|
20 | % | ||
June 30, 2012
|
19 | % | ||
March 31, 2012
|
19 | % | ||
December 31, 2011
|
22 | % | ||
September 30, 2011
|
18 | % |
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 Quarter Ended September 30, 2012
|
$ | 17,090,663 | $ | 17,090,663 | $ | 188,893 | $ | 406,165 | $ | 579,372 | $ | 355,100 | ||||||||||||
For the Quarter Ended June 30, 2012
|
$ | 16,284,586 | $ | 16,284,586 | $ | 166,443 | $ | 388,445 | $ | 719,881 | $ | 497,879 | ||||||||||||
For the Quarter Ended March 31, 2012
|
$ | 15,940,605 | $ | 15,940,605 | $ | 133,345 | $ | 352,685 | $ | 721,550 | $ | 502,210 | ||||||||||||
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 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
|
4 | $ | 4,192,183 | $ | (208,648 | ) | $ | 234,696 | 0.17 | % | ||||||||||
Germany
|
1 | 3,134,682 | (428,785 | ) | 221,602 | 0.16 | % | |||||||||||||
Netherlands
|
2 | 4,726,558 | (43,567 | ) | 291,556 | 0.21 | % | |||||||||||||
Scotland
|
1 | 771,970 | - | 44,583 | 0.03 | % | ||||||||||||||
Switzerland
|
2 | 6,399,330 | (456,502 | ) | 424,191 | 0.30 | % | |||||||||||||
England
|
2 | 10,827,589 | (144,133 | ) | 545,946 | 0.39 | % | |||||||||||||
Total
|
12 | $ | 30,052,312 | $ | (1,281,635 | ) | $ | 1,762,574 | 1.24 | % | ||||||||||
(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 Quarters Ended
|
For the Nine Months Ended
|
|||||||||||||||
September 30,
2012 |
September 30,
2011 |
September 30,
2012 |
September 30,
2011 |
|||||||||||||
Interest income:
|
||||||||||||||||
Investments
|
$ | 754,096 | $ | 926,558 | $ | 2,481,284 | $ | 2,713,141 | ||||||||
U.S. Treasury Securities
|
4,588 | 2,302 | 13,403 | 13,624 | ||||||||||||
Securities loaned
|
2,581 | 1,942 | 7,797 | 5,153 | ||||||||||||
Total interest income
|
761,265 | 930,802 | 2,502,484 | 2,731,918 | ||||||||||||
Interest expense:
|
||||||||||||||||
Repurchase agreements
|
158,150 | 109,014 | 411,643 | 311,780 | ||||||||||||
Convertible Senior Notes
|
18,026 | 8,798 | 51,718 | 22,465 | ||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
3,739 | 2,109 | 12,184 | 11,867 | ||||||||||||
Securities borrowed
|
1,978 | 1,496 | 6,136 | 4,081 | ||||||||||||
Total interest expense
|
181,893 | 121,417 | 481,681 | 350,193 | ||||||||||||
Net interest income
|
579,372 | 809,385 | 2,020,803 | 2,381,725 | ||||||||||||
Other income (loss):
|
||||||||||||||||
Investment advisory and other fee income
|
21,034 | 20,828 | 63,729 | 58,745 | ||||||||||||
Net gains (losses) on disposal of investments
|
142,172 | 91,668 | 317,308 | 126,189 | ||||||||||||
Net loss on extinguishment of Convertible Senior Notes
|
(87, 328 | ) | - | (87,328 | ) | - | ||||||||||
Dividend income from affiliates
|
7,097 | 8,706 | 21,239 | 23,233 | ||||||||||||
Net gains (losses) on trading assets
|
1,368 | 1,942 | 7,729 | 15,042 | ||||||||||||
Net unrealized gains (losses) on interest-only Agency mortgage-backed securities
|
(33,563 | ) | (39,321 | ) | (28,789 | ) | (39,045 | ) | ||||||||
Income from underwriting
|
- | 2,772 | - | 5,599 | ||||||||||||
Subtotal
|
50,780 | 86,595 | 293,888 | 189,763 | ||||||||||||
Realized gains (losses) on interest rate swaps(1)
|
(224,272 | ) | (231,849 | ) | (665,614 | ) | (654,757 | ) | ||||||||
Realized gains (losses) on termination of interest rate swaps
|
- | - | (2,385 | ) | - | |||||||||||
Unrealized gains (losses) on interest rate swaps
|
(104,197 | ) | (1,505,333 | ) | (373,773 | ) | (1,802,968 | ) | ||||||||
Subtotal
|
(328,469 | ) | (1,737,182 | ) | (1,041,772 | ) | (2,457,725 | ) | ||||||||
Total other income (loss)
|
(277,689 | ) | (1,650,587 | ) | (747,884 | ) | (2,267,962 | ) | ||||||||
Expenses:
|
||||||||||||||||
Compensation expense
|
52,310 | 57,629 | 164,860 | 151,911 | ||||||||||||
Other general and administrative expenses
|
10,694 | 7,565 | 30,615 | 22,339 | ||||||||||||
Total expenses
|
63,004 | 65,194 | 195,475 | 174,250 | ||||||||||||
Income (loss) before income taxes and income from equity method investment in affiliate
|
238,679 | (906,396 | ) | 1,077,444 | (60,487 | ) | ||||||||||
Income taxes
|
(13,921 | ) | (15,417 | ) | (42,039 | ) | (41,754 | ) | ||||||||
Income from equity method investment in affiliate
|
- | - | - | 1,140 | ||||||||||||
Net income (loss)
|
224,758 | (921,813 | ) | 1,035,405 | (101,101 | ) | ||||||||||
Dividends on preferred stock
|
9,367 | 4,172 | 19,813 | 12,706 | ||||||||||||
Net income (loss) available (related) to common shareholders
|
$ | 215,391 | $ | (925,985 | ) | $ | 1,015,592 | $ | (113,807 | ) | ||||||
Net income (loss) available (related) per share to common shareholders:
|
||||||||||||||||
Basic
|
$ | 0.22 | $ | (0.98 | ) | $ | 1.04 | $ | (0.14 | ) | ||||||
Diluted
|
$ | 0.22 | $ | (0.98 | ) | $ | 1.00 | $ | (0.14 | ) | ||||||
Weighted average number of common shares outstanding:
|
||||||||||||||||
Basic
|
974,729,078 | 948,545,975 | 973,674,586 | 841,912,810 | ||||||||||||
Diluted
|
997,007,829 | 948,545,975 | 1,035,365,251 | 841,912,810 | ||||||||||||
Average total assets
|
$ | 134,940,586 | $ | 107,094,357 | $ | 124,948,178 | $ | 98,910,730 | ||||||||
Average equity
|
$ | 16,687,625 | $ | 14,956,504 | $ | 16,277,192 | $ | 13,177,735 | ||||||||
Return on average total assets
|
0.67 | % | (3.44 | %) | 1.10 | % | (0.14 | %) | ||||||||
Return on average equity
|
5.39 | % | (24.65 | %) | 8.48 | % | (1.02 | %) |
(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 Comprehensive Income.
|
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 Quarter Ended September 30, 2012
|
$ | 106,973,056 | $ | 104,700,613 | $ | 406,165 | 1.52 | % | 0.24 | % | 0.71 | % | (0.47 | %) | 1.28 | % | 0.81 | % | ||||||||||||||||||
For the Quarter Ended June 30, 2012
|
$ | 103,668,465 | $ | 101,004,741 | $ | 388,445 | 1.50 | % | 0.24 | % | 0.73 | % | (0.49 | %) | 1.26 | % | 0.77 | % | ||||||||||||||||||
For the Quarter Ended March 31, 2012
|
$ | 92,552,175 | $ | 95,700,039 | $ | 352,685 | 1.52 | % | 0.26 | % | 0.76 | % | (0.50 | %) | 1.26 | % | 0.76 | % | ||||||||||||||||||
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 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 Quarter Ended September 30, 2012
|
$ | 119,880,120 | $ | 761,265 | 2.54 | % | $ | 106,973,056 | $ | 406,165 | 1.52 | % | $ | 355,100 | 1.02 | % | ||||||||||||||||
For the Quarter Ended June 30, 2012
|
$ | 116,458,864 | $ | 886,324 | 3.04 | % | $ | 103,668,465 | $ | 388,445 | 1.50 | % | $ | 497,879 | 1.54 | % | ||||||||||||||||
For the Quarter Ended March 31, 2012
|
$ | 105,706,554 | $ | 854,895 | 3.23 | % | $ | 92,552,175 | $ | 352,685 | 1.52 | % | $ | 502,210 | 1.71 | % | ||||||||||||||||
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 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 Quarter Ended September 30, 2012
|
$ | 63,004 | 0.19 | % | 1.51 | % | ||||||
For the Quarter Ended June 30, 2012
|
$ | 64,548 | 0.21 | % | 1.60 | % | ||||||
For the Quarter Ended March 31, 2012
|
$ | 67,907 | 0.24 | % | 1.71 | % | ||||||
For the Year Ended December 31, 2011
|
$ | 237,344 | 0.23 | % | 1.73 | % | ||||||
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 Method Investment / Average Equity |
G&A
Expenses/ Average Equity |
Income
Taxes/ Average Equity |
Return on Average
Equity |
||||||||||||||||||||||||||||
For the Quarter Ended September 30, 2012
|
8.51 | % | 0.50 | % | (1.95 | %) | 0.17 | % | 0.00 | % | 0.00 | % | (1.51 | %) | (0.33 | %) | 5.39 | % | ||||||||||||||||||
For the Quarter Ended June 30, 2012
|
12.37 | % | 0.54 | % | (13.44 | %) | 0.16 | % | 0.00 | % | 0.00 | % | (1.60 | %) | (0.29 | %) | (2.26 | %) | ||||||||||||||||||
For the Quarter Ended March 31, 2012
|
12.66 | % | 0.52 | % | 11.49 | % | 0.19 | % | 0.00 | % | 0.00 | % | (1.71 | %) | (0.42 | %) | 22.73 | % | ||||||||||||||||||
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 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 |
Carrying Value
|
Carrying
Value/Principal
Amount
|
Weighted
Average Yield |
||||||||||||||||||||||
At September 30, 2012
|
$ | 123,176,544 | $ | 5,448,108 | $ | 128,624,652 | 104.42 | % | $ | 132,598,180 | 107.65 | % | 2.79 | % | ||||||||||||||
At June 30, 2012
|
$ | 111,975,194 | $ | 4,463,950 | $ | 116,439,144 | 103.99 | % | $ | 119,811,793 | 107.00 | % | 3.17 | % | ||||||||||||||
At March 31, 2012
|
$ | 105,296,991 | $ | 3,815,555 | $ | 109,112,546 | 103.62 | % | $ | 111,841,645 | 106.22 | % | 3.21 | % | ||||||||||||||
At December 31, 2011
|
$ | 98,904,501 | $ | 3,333,416 | $ | 102,237,917 | 103.37 | % | $ | 105,192,708 | 106.35 | % | 3.22 | % | ||||||||||||||
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 Investment Securities
|
|||||||||||||||||
At September 30, 2012
|
$ | 9,285,709 | 3.28 | % |
39 months
|
8.39 | % | 2.59 | % | 7.54 | % | |||||||||||
At June 30, 2012
|
$ | 8,648,932 | 3.67 | % |
38 months
|
9.42 | % | 2.80 | % | 7.72 | % | |||||||||||
At March 31, 2012
|
$ | 9,104,082 | 3.72 | % |
38 months
|
8.80 | % | 2.78 | % | 8.65 | % | |||||||||||
At December 31, 2011
|
$ | 9,268,113 | 3.88 | % |
41 months
|
9.64 | % | 2.79 | % | 9.37 | % | |||||||||||
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 September 30, 2012
|
$ | 113,890,835 | 4.17 | % | 2.80 | % | 92.46 | % | ||||||||
At June 30, 2012
|
$ | 103,326,262 | 4.52 | % | 3.20 | % | 92.28 | % | ||||||||
At March 31, 2012
|
$ | 96,192,909 | 4.63 | % | 3.25 | % | 91.35 | % | ||||||||
At December 31, 2011
|
$ | 89,636,388 | 4.71 | % | 3.07 | % | 90.63 | % | ||||||||
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
Indices(1) |
|||||||||||||||||||||||
Weighted Average Term to Next Adjustment
|
1 mo.
|
4 mo.
|
46 mo.
|
2 mo.
|
3 mo.
|
26 mo.
|
43 mo.
|
||||||||||||||||||||||
Weighted Average Annual Period Cap
|
5.15 | % | 1.57 | % | 2.00 | % | 0.02 | % | 0.18 | % | 1.90 | % | 0.01 | % | |||||||||||||||
Weighted Average Lifetime Cap at September 30, 2012
|
5.79 | % | 10.48 | % | 9.83 | % | 9.46 | % | 10.71 | % | 11.24 | % | 4.91 | % | |||||||||||||||
Investment Principal Value as Percentage of
Investment Securities at September 30, 2012 |
0.17 | % | 0.33 | % | 4.12 | % | 0.23 | % | 0.21 | % | 0.29 | % | 2.19 | % |
(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 |
Other
Indices(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 31, 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.
|
Within One
Year |
One to Three
Years |
Three to
Five Years |
More than
Five Years |
Total
|
||||||||||||||||
Repurchase agreements
|
$ | 89,580,957 | $ | 3,822,189 | $ | 7,530,000 | $ | 100,000 | $ | 101,033,146 | ||||||||||
Interest expense on repurchase agreements,
based on rates at September 30, 2012 |
297,310 | 394,034 | 206,787 | 4,661 | 902,792 | |||||||||||||||
Convertible Senior Notes
|
- | 1,069,322 | - | - | 1,069,322 | |||||||||||||||
Interest Expense on Convertible Senior Notes
|
50,273 | 78,500 | - | - | 128,773 | |||||||||||||||
Long-term operating lease obligations
|
2,648 | 3,627 | 81 | - | 6,356 | |||||||||||||||
Employment contracts
|
102,140 | - | - | - | 102,140 | |||||||||||||||
Total
|
$ | 90,033,328 | $ | 5,367,672 | $ | 7,736,868 | $ | 104,661 | $ | 103,242,529 |
September 30, 2012
|
June 30, 2012
|
March 31, 2012
|
December 31, 2011
|
September 30, 2011
|
||||||||||||||||
Unrealized gain
|
$ | 4,110,450 | $ | 3,497,635 | $ | 2,892,493 | $ | 3,091,152 | $ | 3,292,450 | ||||||||||
Unrealized loss
|
(40,843 | ) | (84,315 | ) | (126,063 | ) | (82,164 | ) | (218,962 | ) | ||||||||||
Net Unrealized gain
|
$ | 4,069,607 | $ | 3,413,320 | $ | 2,766,430 | $ | 3,008,988 | $ | 3,073,488 |
Maturity of Interest Rate Swaps
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||
Maturity
|
Current Notional
|
Weighted Average
Pay Rate
|
Weighted
Average Receive Rate |
Weighted Average
Years to Maturity |
||||||||||||
0 - 3 years
|
$ | 17,758,800 | 2.26 | % | 0.28 | % | 1.97 | |||||||||
3 - 6 years
|
20,273,660 | 1.85 | % | 0.26 | % | 3.95 | ||||||||||
6 - 10 years
|
4,650,000 | 2.80 | % | 0.29 | % | 7.71 | ||||||||||
Greater than 10 years
|
4,064,250 | 3.37 | % | 0.26 | % | 19.59 | ||||||||||
Total / Weighted Average
|
$ | 46,746,710 | 2.23 | % | 0.27 | % | 4.93 |
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
|
5.93 | % | (0.44 | %) | ||||
-50 Basis Points
|
4.15 | % | (0.25 | %) | ||||
-25 Basis Points
|
1.72 | % | (0.02 | %) | ||||
Base Interest Rate
|
- | - | ||||||
+25 Basis Points
|
0.46 | % | (0.01 | %) | ||||
+50 Basis Points
|
(0.54 | %) | (0.03 | %) | ||||
+75 Basis Points
|
(2.27 | %) | (0.07 | %) |
(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
|
$ | 2,264,854 | $ | - | $ | - | $ | - | $ | 2,264,854 | ||||||||||
Reverse repurchase agreements
|
1,612,384 | - | - | - | 1,612,384 | |||||||||||||||
U.S. Treasury securities
|
2,242,039 | - | - | - | 2,242,039 | |||||||||||||||
Securities borrowed
|
1,602,692 | - | - | - | 1,602,692 | |||||||||||||||
Agency Mortgage-backed securities (principal)
|
1,072,040 | 1,968,146 | 957,488 | 116,184,877 | 120,182,551 | |||||||||||||||
Agency debentures (principal)
|
- | - | 461,005 | 2,466,863 | 2,927,868 | |||||||||||||||
Corporate debt (principal)
|
66,125 | - | - | - | 66,125 | |||||||||||||||
Total Rate Sensitive Assets
|
8,860,134 | 1,968,146 | 1,418,493 | 118,651,740 | 130,898,513 | |||||||||||||||
Rate Sensitive Liabilities:
|
||||||||||||||||||||
U.S. Treasury Securities sold, not yet purchased
|
1,418,750 | - | - | - | 1,418,750 | |||||||||||||||
Repurchase agreements, with the effect of interest rate swaps
|
19,341,845 | 27,567,872 | 17,941,769 | 36,181,660 | 101,033,146 | |||||||||||||||
Securities loaned
|
1,248,968 | - | - | - | 1,248,968 | |||||||||||||||
Convertible Senior Notes (principal)
|
- | - | 1,069,322 | 1,069,322 | ||||||||||||||||
Total Rate Sensitive Liabilities
|
22,009,563 | 27,567,872 | 19,011,091 | 36,181,660 | 104,770,186 | |||||||||||||||
Interest rate sensitivity gap
|
$ | (13,149,429 | ) | $ | (25,599,726 | ) | $ | (17,592,598 | ) | $ | 82,470,080 | $ | 26,128,327 | |||||||
Cumulative rate sensitivity gap
|
$ | (13,149,429 | ) | $ | (38,749,155 | ) | $ | (56,341,753 | ) | $ | 26,128,327 | |||||||||
Cumulative interest rate sensitivity gap as a percentage of total rate-sensitive assets
|
(10 | %) | (30 | %) | (43 | %) | 20 | % |
ITEM 4
|
CONTROLS AND PROCEDURES
|
PART II. OTHER INFORMATION
|
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 Current Report on 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 Quarterly Report on 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 Current Report on 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 Registration Statement on Form 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 Current Report on Form 8-K filed with the Securities and Exchange Commission on 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 Current Report on Form 8-K filed April 10, 2006).
|
3.9
|
Articles Supplementary designating the Registrant’s 7.625% Series C Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed May 16, 2012).
|
3.10
|
Articles Supplementary designating the Registrant’s 7.50% Series D Cumulative Redeemable Preferred Stock, liquidation preference $25.00 per share (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed September 13, 2012).
|
3.11
|
Amended and Restated Bylaws of the Registrant, as amended (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on 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 Securities and Exchange Commission on April 1, 2004).
|
4.4
|
Specimen Series B Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 to the Registrant’s Current Report on Form 8-K filed with the Securities and Exchange Commission on April 10, 2006).
|
4.5
|
Specimen Series C 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 May 16, 2012).
|
4.6
|
Specimen Series D 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 September 13, 2012).
|
4.7
|
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).
|
4.8
|
First 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).
|
4.9
|
Form of 4.00% Convertible Senior Note due 2015 (included in Exhibit 4.7).
|
4.10
|
Second Supplemental Indenture, dated as of May 14, 2012, 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 May 14, 2012).
|
4.11
|
Form of 5.00% Convertible Senior Note due 2015 (included in Exhibit 4.9).
|
31.1
|
Certification of Wellington Denahan-Norris, Chief Executive Officer 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 Wellington Denahan-Norris, Chief Executive Officer 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*
|
ANNALY CAPITAL MANAGEMENT, INC.
|
|
Dated: November 6, 2012
|
By: /s/ Wellington Denahan-Norris
|
Wellington Denahan-Norris
|
|
(Chief Executive Officer, and authorized officer of registrant)
|
|
Dated: November 6, 2012
|
By: /s/ Kathryn F. Fagan
|
Kathryn F. Fagan
|
|
(Chief Financial Officer and Treasurer and
|
|
principal financial and chief accounting officer)
|
1.
|
I have reviewed this quarterly report on Form 10-Q 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 that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting;
|
|
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: | |
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. | |
Date: November 6, 2012
|
|
/s/ Wellington Denahan-Norris
|
|
Wellington Denahan-Norris
|
|
Chief Executive Officer and principal executive officer
|
1.
|
I have reviewed this quarterly report on Form 10-Q 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 that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting;
|
|
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: | |
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. |
Date: November 6, 2012
|
|
/s/ Kathryn F. Fagan
|
|
Kathryn F. Fagan
|
|
Chief Financial Officer, Treasurer and Principal
|
|
Financial Officer
|
·
|
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
·
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ Wellington Denahan-Norris
|
|
Wellington Denahan-Norris
|
|
Chief Executive Officer
|
|
November 6, 2012
|
·
|
fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and
|
·
|
the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company.
|
/s/ Kathryn F. Fagan
|
|
Kathryn F. Fagan
|
|
Chief Financial Officer and Treasurer
|
|
November 6, 2012
|
Fair Value Measurements (Detail) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Liabilities: | |||||
Securities loaned | $ 1,248,968 | $ 804,901 | [1] | ||
Level 1 [Member]
|
|||||
Assets: | |||||
U.S. Treasury Securities | 2,242,039 | 928,547 | |||
Investment in affiliates | 224,899 | 211,970 | |||
Equity securities | 3,891 | ||||
Other derivative contracts | 559 | 113 | |||
Liabilities: | |||||
U.S. Treasury securities sold, not yet purchased | 1,418,750 | 826,912 | |||
Level 2 [Member]
|
|||||
Assets: | |||||
Securities borrowed | 1,602,692 | 928,732 | |||
Agency mortgage-backed securities | 129,597,714 | 104,251,055 | |||
Agency debentures | 2,935,538 | 889,580 | |||
Liabilities: | |||||
Interest rate swaps | 2,926,461 | 2,552,687 | |||
Securities loaned | $ 1,248,968 | $ 804,901 | |||
|
Lease Commitments And Contingencies (Detail) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
---|---|
Lease Commitments and Contingencies: | |
Lease Commitment - 2012 (remaining) | $ 751 |
Lease Commitment - 2013 | 3,004 |
Lease Commitment - 2014 | 2,520 |
Lease Commitment - 2015 | 159 |
Lease Commitment - 2016 | 27 |
Lease Commitment - Thereafter | |
Aggregate future minimum lease payments | 6,461 |
Sublease income - 2012 (remaining) | 45 |
Sublease income - 2013 | 60 |
Sublease income - 2014 | |
Sublease income - 2015 | |
Sublease income - 2016 | |
Sublease income - Thereafter | |
Aggregate future minimum sublease income | 105 |
Net Lease Commitment - 2012 (remaining) | 706 |
Net Lease Commitment - 2013 | 2,944 |
Net Lease Commitment - 2014 | 2,520 |
Net Lease Commitment - 2015 | 159 |
Net Lease Commitment - 2016 | 27 |
Net Lease Commitment - Thereafter | |
Aggregate future net minimum lease payments | $ 6,356 |
Interest Rate Risk - Narrative (Detail) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Interest Rate Risk: | ||
Derivative instruments, notional amount | $ 46,746,710 | $ 40,109,880 |
Agency Mortgage-Backed Securities - Portfolio (Detail) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Mortgage-Backed Securities Portfolio: | |||||
Estimated fair value | $ 129,597,714 | $ 104,251,055 | [1] | ||
Agency Mortgage Backed Securities [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Agency mortgage-backed securities, par value | 120,182,551 | 97,962,882 | |||
Unamortized discount | (24,558) | (23,905) | |||
Unamortized premium | 5,477,570 | 3,360,968 | |||
Amortized cost | 125,635,563 | 101,299,945 | |||
Gross unrealized gain | 4,104,263 | 3,086,232 | |||
Gross unrealized loss | (142,112) | (135,122) | |||
Estimated fair value | 129,597,714 | 104,251,055 | |||
Agency Mortgage Backed Securities [Member] | Adjustable Rate [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Amortized cost | 6,671,582 | 8,698,746 | |||
Gross unrealized gain | 289,871 | 345,642 | |||
Gross unrealized loss | (4,450) | (3,188) | |||
Estimated fair value | 6,957,003 | 9,041,200 | |||
Agency Mortgage Backed Securities [Member] | Fixed Rate [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Amortized cost | 118,963,981 | 92,601,199 | |||
Gross unrealized gain | 3,814,392 | 2,740,590 | |||
Gross unrealized loss | (137,662) | (131,934) | |||
Estimated fair value | 122,640,711 | 95,209,855 | |||
Agency Mortgage Backed Securities [Member] | Freddie Mac [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Agency mortgage-backed securities, par value | 45,694,153 | 34,395,542 | |||
Unamortized discount | (9,552) | (9,874) | |||
Unamortized premium | 2,009,836 | 1,139,881 | |||
Amortized cost | 47,694,437 | 35,525,549 | |||
Gross unrealized gain | 1,535,949 | 973,476 | |||
Gross unrealized loss | (17,193) | (15,243) | |||
Estimated fair value | 49,213,193 | 36,483,782 | |||
Agency Mortgage Backed Securities [Member] | Fannie Mae [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Agency mortgage-backed securities, par value | 74,191,691 | 63,066,372 | |||
Unamortized discount | (14,615) | (13,632) | |||
Unamortized premium | 3,443,390 | 2,205,138 | |||
Amortized cost | 77,620,466 | 65,257,878 | |||
Gross unrealized gain | 2,546,506 | 2,081,282 | |||
Gross unrealized loss | (124,164) | (118,871) | |||
Estimated fair value | 80,042,808 | 67,220,289 | |||
Agency Mortgage Backed Securities [Member] | Ginnie Mae [Member]
|
|||||
Mortgage-Backed Securities Portfolio: | |||||
Agency mortgage-backed securities, par value | 296,707 | 500,968 | |||
Unamortized discount | (391) | (399) | |||
Unamortized premium | 24,344 | 15,949 | |||
Amortized cost | 320,660 | 516,518 | |||
Gross unrealized gain | 21,808 | 31,474 | |||
Gross unrealized loss | (755) | (1,008) | |||
Estimated fair value | $ 341,713 | $ 546,984 | |||
|
Related Party Transactions (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
Dec. 31, 2011
|
||||
Advisory fees from affiliate | $ 21,034 | $ 20,828 | $ 63,729 | $ 58,745 | ||||
Receivable for advisory and service fees, from affiliates | 16,451 | 16,451 | 16,245 | [1] | ||||
Affiliated Entity [Member]
|
||||||||
Advisory fees from affiliate | 16,400 | 16,500 | 50,300 | 46,500 | ||||
Receivable for advisory and service fees, from affiliates | $ 16,500 | $ 16,500 | $ 16,200 | |||||
|
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (Policies)
|
9 Months Ended |
---|---|
Sep. 30, 2012
|
|
Basis of Accounting |
Basis of Accounting
The
accompanying consolidated financial statements and related notes of
the Company have been prepared in accordance with accounting
principles generally accepted in the United States
("U.S. GAAP"). In the opinion of management, all adjustments
considered necessary for a fair presentation of the Company's
consolidated financial position, results of operations and cash
flows have been included and are of a normal and recurring
nature.
|
Principles of Consolidation |
Principles of Consolidation
The
consolidated financial statements include the accounts of the
Company, FIDAC, FIDAC Europe, FIDAC FSI, Merganser, RCap, Shannon,
Charlesfort and the Fund. All intercompany balances and
transactions have been eliminated in consolidation.
|
Cash and Cash Equivalents |
Cash and Cash Equivalents - Cash and cash equivalents
include cash on hand and cash held in money market funds on an
overnight basis. |
Reverse Repurchase Agreements |
Reverse Repurchase Agreements – The Company through
RCap enters into reverse repurchase agreements as part of the
RCap’s matched book trading activity. Reverse repurchase
agreements are recorded on trade date at the contract amount and
are collateralized by mortgage-backed or other securities. Margin
calls are made by RCap as necessary based on the daily valuation of
the underlying collateral as compared to the contract price. The
Company generates income from the spread between what is earned on
the reverse repurchase agreements and what is paid on the matched
repurchase agreements. The Company’s policy is to obtain
possession of collateral with a market value in excess of the
principal amount loaned under reverse repurchase agreements. To
ensure that the market value of the underlying collateral remains
sufficient, collateral is valued daily, and the Company will
require counterparties to deposit additional collateral, when
necessary. All reverse repurchase activities are
transacted under master repurchase agreements that give the Company
the right, in the event of default, to liquidate collateral held
and to offset receivables and payables with the same
counterparty |
Securities borrowed and loaned transactions |
Securities borrowed and loaned transactions – RCap
records securities borrowed and loaned transactions at fair value.
Securities borrowed transactions require RCap to provide the
counterparty with collateral in the form of cash. RCap receives
collateral in the form of cash for securities loaned transactions.
For these transactions, the fees received or paid by RCap are
recorded as interest income or expense, respectively. On a daily
basis, market value changes of securities borrowed or loaned
against the collateral value and RCap may require counterparties to
deposit additional collateral or may require RCap to return
collateral pledged, when appropriate. |
U.S. Treasury Securities |
U.S. Treasury Securities — RCap’s trades in U.S.
Treasury securities consist of long and short positions on U.S
Treasury notes and bonds. U.S. Treasury securities are classified
as trading investments and are recorded on the trade date at cost.
Changes in fair value are reflected in the Company’s
Consolidated Statement of Comprehensive Income. Generally RCap does
not hold the U.S. Treasury bills, notes and bonds to maturity and
realizes gains and losses from trading those positions. Interest
income or expense on U.S Treasury notes and bonds is accrued based
on the outstanding principal amount of those investments and their
stated terms. |
Investment Securities |
Investment Securities –Agency mortgage-backed
securities, Agency debentures, and corporate debt are referred to
herein as “Investment Securities.” Although
the Company generally intends to hold most of its Investment
Securities until maturity, it may, from time to time, sell any of
its Investment Securities as part of its overall management of its
portfolio. Investment Securities classified as
available-for-sale are reported at fair values estimated by
management that are compared to independent sources for
reasonableness, with unrealized gains and losses reported as a
component of stockholders’ equity. Investment Securities
transactions are recorded on the trade date. Realized
gains and losses on sales of Investment Securities are determined
using the average cost method.
On
April 1, 2011, the Company elected the fair value option for Agency
interest-only mortgage-backed securities acquired on or after such
date. These Agency interest-only mortgage-backed securities
represent the Company’s right to receive a specified
proportion of the contractual interest flows of specific Agency
mortgage-backed securities. Agency interest-only
mortgage-backed securities acquired on or after April 1, 2011 are
measured at fair value through earnings in the Company’s
Consolidated Statements of Comprehensive Income. The
interest-only securities are included in Agency mortgage-backed
securities at fair value on the accompanying Consolidated
Statements of Financial Condition.
|
Agency Mortgage-Backed Securities and Agency Debentures |
Agency Mortgage-Backed Securities and Agency Debentures
– The Company invests primarily in mortgage pass-through
certificates, collateralized mortgage obligations and other
mortgage-backed securities representing interests in or obligations
backed by pools of mortgage loans, and certificates guaranteed by
Ginnie Mae, Freddie Mac or Fannie Mae (collectively, “Agency
mortgage-backed securities”). The Company also
invests in Agency debentures issued by Federal Home Loan Bank
(“FHLB”), Freddie Mac, and Fannie Mae.
Interest
income from coupon payments is accrued based on the outstanding
principal amount of the Investment Securities and their contractual
terms. Premiums and discounts associated with the
purchase of the Investment Securities are amortized into interest
income over the projected lives of the securities using the
interest method. The Company’s policy for
estimating prepayment speeds for calculating the effective yield is
to evaluate historical performance, consensus prepayment speeds,
and current market conditions. Adjustments are made for
actual prepayment activity.
|
Equity Securities |
Equity Securities – The Company invests in equity
securities that are classified as available-for-sale or
trading. Equity securities classified as
available-for-sale are reported at fair value, based on market
quotes, with unrealized gains and losses reported as a component of
stockholders’ equity. Equity securities classified as trading
are reported at fair value, based on market quotes, with unrealized
gains and losses reported in the Consolidated Statement of
Comprehensive Income. Dividends are recorded in earnings
based on the declaration date. |
Other-Than-Temporary Impairment |
Other-Than-Temporary Impairment – Management evaluates
available-for-sale securities for other-than-temporary impairment
at least quarterly, and more frequently when economic or market
concerns warrant such evaluation. The Company determines
if it (1) has the intent to sell the securities, (2) is more likely
than not that it will be required to sell the securities before
recovery, or (3) does not expect to recover the entire amortized
cost basis of the securities. Further, the security is
analyzed for credit loss (the difference between the present value
of cash flows expected to be collected and the amortized cost
basis). The credit loss, if any, will then be recognized
in the Consolidated Statements of Comprehensive Income, while the
balance of losses related to other factors will be recognized as a
component of stockholders’ equity. There was no
other-than-temporary impairment for the quarters and nine months
ended September 30, 2012 and 2011. |
Derivative Instruments |
Derivative Instruments –
The Company accounts for interest rate swaps at fair value as
either assets or liabilities on the Consolidated Statements of
Financial Condition. Changes in the fair value of
interest rate swaps are recognized in earnings. The
Company uses interest rate swaps to manage its exposure to changing
interest rates on its repurchase agreements. Net payments on
interest rate swaps are included in the Consolidated Statements of
Cash Flows as a component of operating activities.
The
Company elected to net, by counterparty, the fair value of interest
rate swap contracts. These contracts contain legally
enforceable provisions that allow for netting or setting off swap
receivables and payables with each counterparty and, therefore, the
fair value of those swap contracts are netted by counterparty.
The credit support annex provisions of the Company’s
interest rate swap contracts allow the parties to mitigate their
credit risk by requiring the party which is out of the money to
post collateral. As the Company elected to net by counterparty the
fair value of interest rate swap contracts, it also nets by
counterparty any collateral exchanged as part of the interest rate
swap contracts. Substantially all collateral is non-cash
collateral under these contracts. In addition, the
Company’s agreements with certain of its counterparties with
whom it has both interest rate swap contracts and master repurchase
agreements contain legally enforceable provisions that allow for
netting or setting off, on an aggregate basis, all receivables,
payables and collateral postings required under both the interest
rate swap contract and the master repurchase agreement with respect
to each such counterparty.
RCap
primarily enters into exchange traded U.S. interest rate, equity
index, and FX futures and options contracts as well as German
interest rate futures contracts for speculative or hedging
purposes. RCap maintains a margin account which is settled daily
with futures and options commission merchants. Changes in the
unrealized gains or losses on the futures and options contracts are
reflected in the Company’s Consolidated Statements of
Comprehensive Income. Unrealized gains (losses) are excluded
from net income (loss) in arriving at cash flows from operating
activities in the Consolidated Statements of Cash
Flows.
|
Credit Risk |
Credit Risk – The Company has limited its exposure to
credit losses on its portfolio of Agency mortgage-backed securities
by only purchasing securities issued by Freddie Mac, Fannie Mae or
Ginnie Mae and Agency debentures issued by the FHLB, Freddie Mac
and Fannie Mae. The payment of principal and interest on
the Freddie Mac and Fannie Mae Agency mortgage-backed securities
are guaranteed by those respective agencies, and the payment of
principal and interest on Ginnie Mae Agency mortgage-backed
securities are backed by the full faith and credit of the U.S.
government. Principal and interest on Agency debentures
are guaranteed by the agency issuing the
debenture. Substantially all of the Company’s
Investment Securities have an actual or implied “AAA”
rating. The Company faces credit risk on the portions of
its portfolio which are not Agency mortgage-backed securities and
Agency debentures. |
Market Risk |
Market Risk - Weakness in the mortgage market may adversely
affect the performance and market value of the Company’s
investments. This could negatively impact the
Company’s net book value. Furthermore, if many of the
Company’s lenders are unwilling or unable to provide
additional financing, the Company could be forced to sell
its Investment Securities at an inopportune time when
prices are depressed. The Company does not anticipate having
difficulty converting its assets to cash or extending financing
terms due to the fact that its Agency mortgage-backed securities
and Agency debentures have an actual or implied “AAA”
rating and principal payment is guaranteed by Freddie Mac, Fannie
Mae, or Ginnie Mae. |
Repurchase Agreements |
Repurchase Agreements - The Company finances the acquisition
of a significant portion of its Agency mortgage-backed securities
with repurchase agreements. None of the
Company’s repurchase agreements are accounted for as
components of linked transactions. The Company examines
each of the specified criteria in Financial Accounting Standards
Board (“FASB”) Accounting Standards Codification
(“ASC”) 860, Transfers and
Servicing, at the inception of each transaction and has
determined that each of the financings meet the specified criteria
in this guidance. As a result, the Company separately
accounts for the financial assets and related repurchase financings
in the accompanying consolidated financial statements.
Reverse
repurchase agreements and repurchase agreements with the same
counterparty and the same maturity are presented net in the
Consolidated Statements of Financial Condition when the terms of
the agreements permit netting. The Company reports cash flows on
repurchase agreements as financing activities in the Consolidated
Statements of Cash Flows. The Company reports cash flows
on repurchase agreements entered into by RCap and Shannon as
operating activities in the Consolidated Statements of Cash
Flows.
|
Convertible Senior Notes |
Convertible Senior Notes – The Company records the 4%
Convertible Senior Notes and 5% Convertible Senior Notes
(collectively, the “Convertible Senior Notes”) at their
contractual amounts, adjusted by the effects of a beneficial
conversion feature and a contingent beneficial conversion
feature. This intrinsic value is included in
“Additional paid-in capital” on the Company’s
Consolidated Statements of Financial Condition and reduces the
liability associated with the Convertible Senior
Notes.
The
Convertible Senior Notes have a conversion price adjustment feature
that is evaluated at the time of the conversion price
adjustment. A contingent beneficial conversion feature
may be recognized as a result of adjustments to the conversion
price for dividends declared. The Company determined the
intrinsic value of a contingent beneficial conversion
feature.
|
Cumulative Convertible Preferred Stock |
Cumulative Convertible Preferred Stock - The Series B
Cumulative Convertible Preferred Stock (the “Series B
Preferred Stock”) contains fundamental change provisions that
allow the holder to redeem the Series B Preferred Stock for cash if
certain events occur. As redemption under these
provisions is not solely within the Company’s control, for
the periods that the Company had Series B Preferred Stock issued
and outstanding, the Company classified the Series B Preferred
Stock as temporary equity in the accompanying Consolidated
Statements of Financial Condition. As of September 30,
2012, there were no shares outstanding of Series B Preferred
Stock. |
Income Taxes |
Income Taxes - The Company has elected to be taxed as a REIT
and intends to comply with the provisions of the Internal Revenue
Code of 1986, as amended (the “Code”), with respect
thereto. Accordingly, the Company will not be subjected
to federal income tax to the extent of its distributions to
shareholders and as long as certain asset, income and stock
ownership tests are met. The Company and its direct and
indirect subsidiaries, FIDAC, FIDAC Europe, Merganser and RCap,
have made separate joint elections to treat these subsidiaries as
taxable REIT subsidiaries. As such, each of the taxable
REIT subsidiaries are taxable as a domestic C corporation and
subject to federal, state, and local income taxes based upon their
taxable income. FIDAC Europe is located in Europe and is not
currently required to pay United States income taxes.
The
provisions of ASC 740, Income Taxes, clarify
the accounting for uncertainty in income taxes recognized in
financial statements and prescribe a recognition threshold and
measurement attribute for tax positions taken or expected to be
taken on a tax return. ASC 740 also requires that interest and
penalties related to unrecognized tax benefits be recognized in the
financial statements. The Company does not have any unrecognized
tax benefits that would affect its financial
position. Thus, no accruals for penalties and interest
were necessary as of September 30, 2012.
|
Goodwill and Intangible Assets |
Goodwill and Intangible Assets - The Company’s
acquisitions of FIDAC and Merganser and FIDAC Europe’s
acquisition of certain assets were accounted for using the
acquisition method. Under the acquisition method, net
assets and results of operations of acquired companies are included
in the consolidated financial statements from the date of
acquisition. The costs of FIDAC and Merganser were allocated to the
assets acquired, including identifiable intangible assets, and the
liabilities assumed based on their estimated fair values at the
date of acquisition. The excess of purchase price over the fair
value of the net assets acquired was recognized as
goodwill. In addition, FIDAC Europe acquired a customer
relationship after its formation. Goodwill and intangible assets
are periodically (but not less frequently than annually) reviewed
for potential impairment. Intangible assets with an
estimated useful life are amortized over the expected
life. During the quarters and nine months ended
September 30, 2012 and 2011, there were no impairment losses
recognized related to goodwill and intangible assets. |
Stock Based Compensation |
Stock-Based Compensation - The Company is required to
measure and recognize in the consolidated financial statements the
compensation cost relating to share-based payment
transactions. The Company recognizes compensation
expense on a straight-line basis over the requisite service period
for the entire award. |
Use of Estimates |
Use of Estimates - The preparation of the consolidated
financial statements in conformity with U.S. GAAP requires
management to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during
the reporting period. All assets classified as trading
or available-for-sale and interest rate swaps are reported at their
estimated fair value, based on market prices. The
Company’s policy is to obtain fair values from one or more
independent sources to compare to internal prices for
reasonableness. Actual results could differ from those
estimates. |
Balance Sheet (Topic 210) |
Balance Sheet (Topic 210)
On
December 23, 2011, the FASB released Accounting Standards Update
(“ASU”) 2011-11, Balance Sheet (Topic 210):
Disclosures about Offsetting Assets and
Liabilities. Under this update, the Company will
be required to disclose both gross information and net information
about both instruments and transactions eligible for offset in the
statement of financial position and transactions subject to an
agreement similar to a master netting arrangement. The
scope would include derivatives, sale and repurchase agreements and
reverse sale and repurchase agreements and securities borrowing and
securities lending arrangements. This disclosure
is intended to enable financial statement users to understand the
effect of such arrangements on the Company’s financial
position. The objective of this update is to support
further convergence between U.S. GAAP and International Financial
Reporting Standards (“IFRS”). This update is
effective for annual reporting periods beginning on or after
January 1, 2013. This update is expected to result in
additional disclosure.
|
Comprehensive Income (Topic 220) |
Comprehensive Income (Topic 220)
In
June 2011, the FASB released ASU 2011-05 Comprehensive Income:
Presentation of Comprehensive Income, which attempts to
improve the comparability, consistency, and transparency of
financial reporting and increase the prominence of items reported
in other comprehensive income (“OCI”). ASU
2011-05 requires that all non-owner changes in stockholders’
equity be presented either in a single continuous statement of net
income and comprehensive income or two separate consecutive
statements. Either presentation requires the
presentation on the face of the financial statements any
reclassification adjustments for items that are reclassified from
OCI to net income in the statements. There is no change
in what must be reported in OCI or when an item of OCI must be
reclassified to net income. This update is effective for
fiscal years, and interim periods within those years, beginning
after December 15, 2011. This update resulted in
additional disclosure, but had no significant effect on the
Company’s consolidated financial statements.
On
December 23, 2011, the FASB issued ASU 2011-12, Comprehensive Income:
Deferral of Effective Date for Amendments to the Presentation of
Reclassifications of Items Out of Accumulated Other Comprehensive
Income In ASU No. 2011-05, which defers those changes in ASU
2011-05 that relate to the presentation of reclassification
adjustments out of accumulated OCI. This was done to
allow the FASB time to re-deliberate the presentation on the face
of the financial statements the effects of reclassifications out of
accumulated OCI on the components of net income and
OCI. No other requirements under ASU 2011-05 are
affected by ASU 2011-12. FASB tentatively decided not to
require presentation of reclassification adjustments out of
accumulated other comprehensive income on the face of the financial
statements and to propose new disclosures instead.
|
Intangibles - Goodwill and Other (Topic 350) |
Intangibles – Goodwill and Other (Topic
350)
In
September 2011, the FASB released ASU 2011-08, Intangibles-Goodwill and
Other: Testing Goodwill for Impairment, which allows an
entity to first assess qualitative factors to determine whether it
is necessary to perform the two-step quantitative goodwill
impairment test. The objective of the update is to
simplify how entities test goodwill for
impairment. Under this update, an entity is not required
to calculate the fair value of a reporting unit unless the entity
determines that it is more likely than not that its fair value is
less than its carrying amount. This update is effective
for annual and interim goodwill impairment tests performed for
fiscal years beginning after December 15, 2011. This
update had no significant impact on the Company’s
consolidated financial statements.
|
Fair Value Measurements and Disclosures (Topic 820) |
Fair Value Measurements and Disclosures (Topic
820)
In
May 2011, the FASB released ASU 2011-04 Fair Value Measurement (Topic
820): Amendments to Achieve Common Fair Value Measurement and
Disclosure Requirements in U.S. GAAP and IFRS, further
converging U.S. GAAP and IFRS by providing common fair value
measurement and disclosure requirements. FASB made
changes to the fair value measurement guidance, which include: 1)
prohibiting the inclusion of block discounts in all fair value
measurements, not just Level 1 measurements, 2) adding guidance on
when to include other premiums and discounts in fair value
measurements, 3) clarifying that the concepts of
“highest and best use” and “valuation
premise” apply only when measuring the fair value of
non-financial assets and 4) adding an exception that allows the
measurement of a group of financial assets and liabilities with
offsetting risks (e.g., a portfolio of derivative contracts) at
their net exposure to a particular risk if certain criteria are
met. ASU 2011-04 also requires additional disclosure
related to items categorized as Level 3 in the fair value
hierarchy, including a description of the processes for valuing
these assets, providing quantitative information about the
significant unobservable inputs used to measure fair value, and in
certain cases, explaining the sensitivity of the fair value
measurements to changes in unobservable inputs. This guidance
is effective for interim and annual reporting periods beginning
after December 15, 2011. The Company does not hold any
Level 3 assets and therefore, this update has no significant effect
on the Company’s consolidated financial
statements.
|
Transfers and Servicing (Topic 860) |
Transfers and Servicing (Topic 860)
In
April 2011, the FASB issued ASU 2011-03, Transfers and Servicing:
Reconsideration of Effective Control for Repurchase
Agreements. In a typical repurchase agreement
transaction, an entity transfers financial assets to the
counterparty in exchange for cash with an agreement for the
counterparty to return the same or equivalent financial assets for
a fixed price in the future. Previous to this update,
one of the factors in determining whether sale treatment could be
used was whether the transferor maintained effective control of the
transferred assets and in order to do so, the transferor must have
the ability to repurchase such assets. In connection with the
issuance of ASU 2011-03, the FASB concluded that the assessment of
effective control should focus on a transferor’s contractual
rights and obligations with respect to transferred financial
assets, rather than whether the transferor has the practical
ability to perform in accordance with those rights or
obligations. ASU 2011-03 removes the transferor’s
ability criterion from consideration of effective
control. This update is effective for the first interim
or annual period beginning on or after December 15,
2011. As the Company records repurchase agreements as
secured borrowings and not sales, this update has no significant
effect on the Company’s consolidated financial
statements.
|
Financial Services - Investment Companies (Topic 946) |
Financial Services – Investment Companies (Topic
946)
In
October 2011, the FASB issued a proposed ASU 2011-20, Financial Services-Investment
Companies: Amendments to the Scope, Measurement, and Disclosure
Requirements, which would amend the criteria in Topic 946
for determining whether an entity qualifies as an investment
company. As proposed, this ASU would affect the
measurement, presentation and disclosure requirements for
Investment Companies, as defined, amend the investment company
definition in ASC 946, and remove the current exemption for Real
Estate Investment Trusts from this topic. If promulgated
in its current form, this proposal may result in a material
modification to the presentation of the Company’s
consolidated financial statements. The Company is
monitoring developments related to this proposal and is evaluating
the effects it would have on the Company’s consolidated
financial statements.
|
Repurchase Agreements - Maturities (Detail) (USD $)
In Thousands, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
|||
---|---|---|---|---|---|
Repurchase Agreements: | |||||
Repurchase agreements | $ 101,033,146 | $ 84,097,885 | [1] | ||
Weighted average rate | 0.61% | 0.53% | |||
1 day [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | 3,585,234 | 508,647 | |||
Weighted average rate | 0.28% | 0.50% | |||
2 to 29 days [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | 27,234,957 | 33,780,070 | |||
Weighted average rate | 0.45% | 0.37% | |||
30 to 59 days [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | 18,726,669 | 28,346,380 | |||
Weighted average rate | 0.43% | 0.37% | |||
60 to 89 days [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | 4,795,439 | 3,699,425 | |||
Weighted average rate | 0.41% | 0.93% | |||
90 to 119 days [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | 11,309,846 | 6,781,137 | |||
Weighted average rate | 0.49% | 0.37% | |||
Over 120 days [Member]
|
|||||
Repurchase Agreements: | |||||
Repurchase agreements | $ 35,381,001 | $ 10,982,226 | |||
Weighted average rate | 0.93% | 1.39% | |||
|
Investments in Affiliate, Available-For-Sale Equity Securities (Detail) (USD $)
Share data in Millions, unless otherwise specified |
Sep. 30, 2012
|
Dec. 31, 2011
|
---|---|---|
Chimera [Member]
|
||
Investments with Affiliate, Available-For-Sale Equity Securities: | ||
Investments with affiliate, available-for-sale equity securities - shares | 45.0 | 45.0 |
Investments with affiliate, available-for-sale equity securities - fair value | $ 121,900,000 | $ 112,900,000 |
Investments with affiliate, available-for-sale equity securities - unrealized loss | 16,900,000 | 25,900,000 |
CreXus [Member]
|
||
Investments with Affiliate, Available-For-Sale Equity Securities: | ||
Investments with affiliate, available-for-sale equity securities - shares | 9.5 | 9.5 |
Investments with affiliate, available-for-sale equity securities - fair value | 103,000,000 | 98,900,000 |
Investments with affiliate, available-for-sale equity securities - unrealized loss | $ 22,400,000 | $ 26,500,000 |
Income Taxes - Narrative (Detail) (USD $)
In Millions, unless otherwise specified |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2012
|
Sep. 30, 2011
|
Sep. 30, 2012
|
Sep. 30, 2011
|
|
Income Taxes: | ||||
Income tax expense for income and the portion of earnings retained based on Section 162(m) limitations | $ 10.6 | $ 12.8 | $ 32.7 | $ 32.4 |
Years federal and state tax returns remain open for examination | 2009, 2010 and 2011 | |||
Real Estate Investment Trust [Member]
|
||||
Income Taxes: | ||||
Income tax expense for income and the portion of earnings retained based on Section 162(m) limitations | $ 3.3 | $ 2.6 | $ 9.3 | $ 9.4 |
/VG^!)#SVR1Y>#[I)BFOJQ/&!Q9`@"/N2N7" /OE$S2>-$*!O?,7U'?[I=*584M%A&YKNZS0=KMJY`38
M"5'@9FA%I=P`.WC$OA]SAG#HL%-CD-9>C'Q/21^S`'P+XLQE?L7T@A R<"$4)["H8<`\;#!1S35)*<412LANJ(CY0/`CI
MAUAQ:6P.7J)9GO^`=^JR\@\2>5C26"21#F"9)S%X=9YJBHS6*8H@D"J(HW&2
MB+*4(^UBUU32_=*%$YR:,5HEX"^PF\WR38CT!A=B>1BFG"$ >\$%NVL8QPU5*3F'36>2%&E15J@G2)
M7U7>>2$R(8L71`KBNIP;,L_#0RCW-88J`@.W^1R>U]?9(IPMX,E-S0JMJ!#&
M1NK6X\4.')Q.Z)_+V?:)V))OA\DZER;2[LLW99XS@9_%WFV>/<^[7I:Z&'FV
MY"T,/XN^#?*+YC#P4JJ]\59>U":P.2$3S6)\\V4'56--R@;Y*\UC?',*>8Q4
ME&*JS35F,K[IA$Q&"BJ45I//97Q35XS@Q%(R1:\MF_%-9:%])]GI/(XSG_%-
MGQVK1K$@[/2T>EP9#>P-&/;''"DR&D&=Q;Q'EM!XITO8(P?&5 3N_#Z.F`C$R1R!Q)
M,L":)^6!:$C0T9SYA@X"T_"X<,&ELRS7!M\-0Z=;\2NYDEY&27&-RCMF%SZAN^"`C8>TM9KID8
M.$:+7F_UX@L9J/&_GM,Z51#$\7B2Q*FWPPGLSY4K7/D6[D*0VL5D">HM^CT9
MF`3V$QSL^9=9_)0#X]*3-Z.FVG$"S@S3\T#.J-:&4G9@.+8E'9.YC.IX]***
M&\@K6>@>WS(1%7+U"[R0:#C%_NGC)Q!&,*2Q24W?5Y=ZS!(00S!47!2DC%,)
M`;UG&R((+->'`(-"],L_4ZQ[IHSILICMP5++\*4:__P,'^.8]N&6Y+2.V:N)
M,\\9#BU8)$GDFQEZ%0MP-'IJ[ZPX?T%47DZV(R@CQ8_=S*J\S`60>AN%R^'W
M'NX/C@X0%Y95J.:H"ZGD+X.^QN_U[Q43C!;P]Y"B,YPNN :4'@,V^=@RPKLGV#SOBJB
M"0EO*[3#]I/IP:`RY#3YJ`X(6@MN$I;.L
MLHD/F2/G^9GQVRZV!K<)1U,#LSN:5AN4K7B:-RC7@3=QC`Y9"EC5HW`#(5@,
M;R.BQM[R(=-4O0V"XDUX6H!NCJ6V&<8H*09/?]2;I!WYY=WZK1"[3J42MY/,
M,*.?6=H*W=H^ZYNMW"TKV:NW!DQC3ELOV^]BS6[)S?R:O9L%>P>[Z-_0&&P5
M[W!M)<3:M*T!>*=LOJU=U(I0T&$2[Y+0E>;2.[`G6\Y?4O59Y.LRMPMVWMJ2
M;,F0V"P,^Z9F9$MH#3-R1S;D>S`@6Q+4-"!W8CV.MVY.HE[/H=NSF^F754;\
MT$)9U+7QGY67MD!F+.=V;9/>0V#7=4Z
L;BO???1ALG[DA1.GOO*@Q#XBT$,"2C,C+PH1P
MP[O4WEQARF*#2"!4<7IAI)HXI>U=D8K"=(D2E(N+(H5/5UH/B%19I$@*S0RY
M+-*NPR)
'PE'5,/[F(2AQ"C+4<20IK#K5HEB0C,MDU1LAJ6>2-`!K*ZG
M_,GWK]G]BQVR^)A5A&-OEG8`XW9"5SK_EOUO-LNG1*?MF(`PRK=M4(-2,0S;
MEW:/4:)Y1$..<))"3A(E*=+:I"@)XR2A,M)I1#9,*\:YJF@8#D)#%Y9O'K?O
M!^]NWVY")EQ#:*X"Z\'@;>"Y43L4]+HR)"L'8)TBZ@Q]'9YRM\6RDH9235
MSNYT`KU\OLBS(F_,8#'Y]CU?A%D]+28[7>MM:]CK')7^G[PK:VX;2=+OCO!_
M8'AC^VF@1IVHZMZ9")P]BK6.D34QT_OBH$C(YC1%>D"JV]I?OYD`2.(B"9(`
M!&HG8J)MF83J^Y"55V5EHAW*F*7[<'9.QAEG$H%I%OP8Y7<`"\>0',](.S,^
MXQPR&.^ZI;C[\;8CGF?DYJ"(,JX4/]%]K,/$R6)Z1KRBJ!)-Z3&T;L?<8<]Q
M+4TFL".89L>T8#<=WQ&F+0SM2\O@06`;RO6UX9N>*ZFG7,GTY[@SS-GV&^^&
M(7DVO<:[X2-N#7UHH_'BO]Y$.)KD[[-Q&&TFN]S/-_->SDY,L">]XJ:VE!([
MB3D&>J$0>+CX"JH>_X/7#7X'&9LU.H:E&\8P
NB+X8-,$QI@C/F"8+#UF7:'97&LKJ"WPS0`X.<
MM%-57WO*$'I4.)-#=1X333]SC?58W[FR*.SR]BIAXNO%^3Z
GR
M?_R?!L3\MDQ_$-A7EQ_A4_>3)PCOK\,_!G?SI^'LPP]?EC^_?[?MF0^(\&=P
M`^Y^N;PV/OK!_4^#^)GW_C_OCT/$$BR%\N$E
M6*'`GR&UT*:X`T5M+5VY];,
^W.^6!G/
M3WXZHE"9*)^;)"O'05%N7"6)BBIM*PM+RC5MX*SQIW_]L@AK][8]__4"J\:X
M_R7JI>4NX4/'<[+A2/4W]NL1490#L#?L>=9%=_EZM
M*,J_XK=?HB.+.>$0$'(-.L/%N!,G7@_]`+_)=-%!U0D><\7&O[UA_O3V