Maryland
|
001-08896
|
75-2027937
|
||
(State of Incorporation)
|
(Commission File No.)
|
(I.R.S. Employer Identification No.)
|
|
8401 North Central Expressway
|
|
|
|
Suite 800
|
|
|
Dallas, Texas
|
75225
|
||
|
(Address of Principal Executive Offices)
|
(Zip Code)
|
|
o | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425). |
o | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 230.14a-12). |
o | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)). |
o | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)). |
ITEM 2.02. | RESULTS OF OPERATIONS AND FINANCIAL CONDITION |
ITEM 9.01. | FINANCIAL STATEMENTS AND EXHIBITS |
(d) | Exhibits. |
99.1 | Press release issued by Capstead Mortgage Corporation dated April 30, 2014 announcing first quarter 2014 results. |
April 30, 2014
|
By:
|
/s/ Phillip A. Reinsch
|
|
|
|
Phillip A. Reinsch
|
|
|
|
Chief Financial Officer and
|
|
|
|
Executive Vice President
|
|
CONTACT:
|
Lindsey Crabbe
|
FOR IMMEDIATE RELEASE
|
|
(214) 874-2339
|
|
· | Generated earnings of $38.4 million or $0.37 per diluted common share |
· | Raised common dividend 10% to $0.34 per common share |
· | Financing spreads on residential mortgage investments increased five basis points to 1.30% with mortgage prepayments declining to 15.16% CPR |
· | Book value increased $0.12 to $12.59 per common share |
· | Agency-guaranteed ARM portfolio and leverage ended the quarter largely unchanged at $13.53 billion and 8.52 times long-term investment capital, respectively |
Residential mortgage investments, beginning of quarter
|
$
|
13,475,874
|
||
Increase in unrealized gains on securities classified as available-for-sale
|
16,693
|
|||
Portfolio acquisitions (principal amount) at average lifetime purchased yields of 2.45%
|
644,356
|
|||
Investment premiums on acquisitions
|
24,647
|
|||
Portfolio runoff (principal amount)
|
(610,071
|
)
|
||
Investment premium amortization
|
(22,288
|
)
|
||
Residential mortgage investments, end of quarter
|
$
|
13,529,211
|
Book value per common share, beginning of quarter
|
$
|
12.47
|
||||||||||
Earnings in excess of dividend distributions
|
0.03
|
0.3
|
%
|
|||||||||
Change in unrealized gains and losses on mortgage securities classified as available-for-sale
|
$
|
0.17
|
||||||||||
Change in unrealized gains and losses on interest rate swap agreements designated as cash flow hedges of:
|
||||||||||||
Borrowings under repurchase arrangements
|
(0.01
|
)
|
||||||||||
Unsecured borrowings
|
(0.07
|
)
|
||||||||||
|
0.09
|
0.7
|
%
|
|||||||||
Book value per common share, end of quarter
|
$
|
12.59
|
||||||||||
|
||||||||||||
Increase in book value per common share during the quarter
|
$
|
0.12
|
1.0
|
%
|
· | changes in general economic conditions; |
· | fluctuations in interest rates and levels of mortgage prepayments; |
· | the effectiveness of risk management strategies; |
· | the impact of differing levels of leverage employed; |
· | liquidity of secondary markets and credit markets; |
· | the availability of financing at reasonable levels and terms to support investing on a leveraged basis; |
· | the availability of new investment capital; |
· | the availability of suitable qualifying investments from both an investment return and regulatory perspective; |
· | changes in legislation or regulation affecting Fannie Mae, Freddie Mac and similar federal government agencies and related guarantees; |
· | other changes in legislation or regulation affecting the mortgage and banking industries; |
· | changes in market conditions as a result of Federal Reserve monetary policy or federal government fiscal challenges; |
· | deterioration in credit quality and ratings of existing or future issuances of Fannie Mae, Freddie Mac or Ginnie Mae securities; |
· | changes in legislation or regulation affecting exemptions for mortgage REITs from regulation under the Investment Company Act of 1940; and |
· | increases in costs and other general competitive factors. |
|
March 31, 2014
|
December 31, 2013
|
||||||
|
(unaudited)
|
|||||||
Assets
|
||||||||
Residential mortgage investments
|
||||||||
($13.22 and $13.12 billion pledged under repurchase arrangements at March 31, 2014 and December 31, 2013, respectively)
|
$
|
13,529,211
|
$
|
13,475,874
|
||||
Cash collateral receivable from interest rate swap counterparties
|
35,996
|
25,502
|
||||||
Interest rate swap agreements at fair value
|
1,207
|
5,005
|
||||||
Cash and cash equivalents
|
486,293
|
413,356
|
||||||
Receivables and other assets
|
89,112
|
96,231
|
||||||
|
$
|
14,141,819
|
$
|
14,015,968
|
||||
Liabilities
|
||||||||
Repurchase arrangements and similar borrowings
|
$
|
12,590,255
|
$
|
12,482,900
|
||||
Interest rate swap agreements at fair value
|
15,439
|
11,304
|
||||||
Unsecured borrowings
|
100,000
|
100,000
|
||||||
Common stock dividend payable
|
33,636
|
30,872
|
||||||
Accounts payable and accrued expenses
|
23,900
|
25,109
|
||||||
|
12,763,230
|
12,650,185
|
||||||
Stockholders’ equity
|
||||||||
Preferred stock - $0.10 par value; 100,000 shares authorized:
|
||||||||
7.50% Cumulative Redeemable Preferred Stock, Series E, 6,917 and 6,861 shares issued and outstanding ($172,922 and $171,521 aggregate liquidation preference) at March 31, 2014 and December 31, 2013, respectively
|
167,092
|
165,756
|
||||||
Common stock - $0.01 par value; 250,000 shares authorized:
|
||||||||
95,767 and 95,807 shares issued and outstanding at March 31, 2014 and December 31, 2013, respectively
|
958
|
958
|
||||||
Paid-in capital
|
1,329,994
|
1,329,792
|
||||||
Accumulated deficit
|
(347,357
|
)
|
(349,866
|
)
|
||||
Accumulated other comprehensive income
|
227,902
|
219,143
|
||||||
|
1,378,589
|
1,365,783
|
||||||
|
$
|
14,141,819
|
$
|
14,015,968
|
||||
Long-term investment capital (Stockholders’ equity and unsecured borrowings) (unaudited)
|
$
|
1,478,589
|
$
|
1,465,783
|
||||
Portfolio leverage (Repurchase arrangements and similar borrowings divided by long-term investment capital) (unaudited)
|
8.52:1
|
8.52:1
|
||||||
Book value per common share (based on common shares outstanding and calculated assuming liquidation preferences for preferred stock) (unaudited)
|
$
|
12.59
|
$
|
12.47
|
|
Quarter Ended
March 31
|
|||||||
|
2014
|
2013
|
||||||
Interest income:
|
||||||||
Residential mortgage investments
|
$
|
59,445
|
$
|
58,468
|
||||
Other
|
61
|
112
|
||||||
|
59,506
|
58,580
|
||||||
Interest expense:
|
||||||||
Repurchase arrangements and similar borrowings
|
(15,407
|
)
|
(18,468
|
)
|
||||
Unsecured borrowings
|
(2,122
|
)
|
(2,187
|
)
|
||||
|
(17,529
|
)
|
(20,655
|
)
|
||||
|
41,977
|
37,925
|
||||||
Other revenue (expense):
|
||||||||
Salaries and benefits
|
(1,132
|
)
|
(1,001
|
)
|
||||
Annual incentive compensation
|
(540
|
)
|
(554
|
)
|
||||
Long-term incentive compensation
|
(626
|
)
|
(406
|
)
|
||||
Other general and administrative expense
|
(1,203
|
)
|
(1,081
|
)
|
||||
Miscellaneous other revenue (expense)
|
(85
|
)
|
(30
|
)
|
||||
|
(3,586
|
)
|
(3,072
|
)
|
||||
Income before equity in earnings of unconsolidated affiliates
|
38,391
|
34,853
|
||||||
|
||||||||
Equity in earnings of unconsolidated affiliates
|
–
|
65
|
||||||
Net income
|
$
|
38,391
|
$
|
34,918
|
||||
Net income available to common stockholders:
|
||||||||
Net income
|
$
|
38,391
|
$
|
34,918
|
||||
Less dividends on preferred shares
|
(3,238
|
)
|
(5,270
|
)
|
||||
|
$
|
35,153
|
$
|
29,648
|
||||
|
||||||||
Net income per common share:
|
||||||||
Basic
|
$
|
0.37
|
$
|
0.31
|
||||
Diluted
|
0.37
|
0.31
|
||||||
|
||||||||
Weighted average common shares outstanding:
|
||||||||
Basic
|
95,349
|
95,020
|
||||||
Diluted
|
95,538
|
95,450
|
||||||
|
||||||||
Cash dividends declared per share:
|
||||||||
Common
|
$
|
0.34
|
$
|
0.31
|
||||
Series A Preferred
|
–
|
0.40
|
||||||
Series B Preferred
|
–
|
0.32
|
||||||
Series E Preferred
|
0.47
|
–
|
|
2014
|
2013
|
||||||||||||||||||
|
Q1
|
Q4
|
Q3
|
Q2
|
Q1
|
|||||||||||||||
Condensed Quarterly Statements of Income:
|
||||||||||||||||||||
(in thousands, except per share amounts)
|
||||||||||||||||||||
Interest income on residential mortgage investments (before investment premium amortization)
|
$
|
81,733
|
$
|
83,254
|
$
|
85,674
|
$
|
85,214
|
$
|
86,867
|
||||||||||
Investment premium amortization
|
(22,288
|
)
|
(24,800
|
)
|
(39,031
|
)
|
(33,642
|
)
|
(28,399
|
)
|
||||||||||
Related interest expense
|
(15,407
|
)
|
(15,392
|
)
|
(15,759
|
)
|
(16,749
|
)
|
(18,468
|
)
|
||||||||||
|
44,038
|
43,062
|
30,884
|
34,823
|
40,000
|
|||||||||||||||
Other interest income (expense) (a)
|
(2,061
|
)
|
(2,066
|
)
|
(2,074
|
)
|
(2,015
|
)
|
(2,010
|
)
|
||||||||||
|
41,977
|
40,996
|
28,810
|
32,808
|
37,990
|
|||||||||||||||
Salaries and benefits
|
(1,132
|
)
|
(1,058
|
)
|
(1,017
|
)
|
(886
|
)
|
(1,001
|
)
|
||||||||||
Annual incentive compensation
|
(540
|
)
|
(1,353
|
)
|
(1,333
|
)
|
(326
|
)
|
(554
|
)
|
||||||||||
Long-term incentive compensation
|
(626
|
)
|
(469
|
)
|
(469
|
)
|
(469
|
)
|
(406
|
)
|
||||||||||
Other general and administrative expense
|
(1,203
|
)
|
(1,094
|
)
|
(1,203
|
)
|
(1,098
|
)
|
(1,081
|
)
|
||||||||||
Miscellaneous other revenue (expense)
|
(85
|
)
|
(49
|
)
|
(86
|
)
|
(135
|
)
|
(30
|
)
|
||||||||||
|
(3,586
|
)
|
(4,023
|
)
|
(4,108
|
)
|
(2,914
|
)
|
(3,072
|
)
|
||||||||||
Net income
|
$
|
38,391
|
$
|
36,973
|
$
|
24,702
|
$
|
29,894
|
$
|
34,918
|
||||||||||
|
||||||||||||||||||||
Net income per diluted common share
|
$
|
0.37
|
$
|
0.35
|
$
|
0.23
|
$
|
0.04
|
$
|
0.31
|
||||||||||
Core earnings per diluted common share (b)
|
0.27
|
|||||||||||||||||||
Average diluted common shares outstanding
|
95,538
|
95,454
|
95,416
|
95,397
|
95,450
|
|||||||||||||||
|
||||||||||||||||||||
Select Operating Statistics:
|
||||||||||||||||||||
(dollars in millions, percentages annualized)
|
||||||||||||||||||||
|
||||||||||||||||||||
Average portfolio outstanding (cost basis)
|
$
|
13,254
|
$
|
13,413
|
$
|
13,740
|
$
|
13,506
|
$
|
13,543
|
||||||||||
Average long-term investment capital (“LTIC”)
|
1,485
|
1,474
|
1,476
|
1,638
|
1,605
|
|||||||||||||||
Financing spreads on residential mortgage investments
|
1.30
|
%
|
1.25
|
%
|
0.87
|
%
|
1.00
|
%
|
1.15
|
%
|
||||||||||
Constant prepayment rate (“CPR”)
|
15.16
|
17.14
|
25.49
|
23.12
|
20.05
|
|||||||||||||||
Operating costs as a percentage of LTIC
|
0.96
|
1.07
|
1.08
|
0.68
|
0.77
|
|||||||||||||||
Return on common equity capital (c)
|
11.70
|
11.07
|
7.05
|
7.97
|
9.14
|
(a) | Consists principally of interest on unsecured borrowings and is presented net of earnings of related statutory trusts. These affiliates were dissolved in December 2013. |
(b) | Core earnings per diluted common share is a non-GAAP financial measure that differs from the related GAAP measure of net income per diluted common share by excluding certain one-time effects of second quarter 2013 preferred capital redemption and issuance transactions as detailed below. Management believes presenting this metric on a core earnings basis provides useful, comparative information for evaluating the Company’s performance. The following reconciles this measure for the indicated periods: |
|
Quarter Ended
|
|||||||
|
June 30, 2013
|
|||||||
Net income available to common stockholders/net income per diluted common share
|
$
|
4,103
|
$
|
0.04
|
||||
Series A and B redemption preference premiums paid
|
19,924
|
0.21
|
||||||
Series A and B preferred dividends accruing from the issue date of the Series E preferred shares to the Series A and B redemption date
|
1,741
|
0.02
|
||||||
Core earnings available to common stockholders/core earnings per diluted common share
|
$
|
25,768
|
$
|
0.27
|
(c) | Second quarter 2013 return on common equity capital presented above is calculated excluding the one-time effects of the above-mentioned preferred capital transactions. Including these items, the return on common equity capital for the quarter was 1.27%. |
|
2014
|
2013
|
2012
|
|||||||||||||||||||||||||||||
|
Q1
|
Q4
|
Q3
|
Q2
|
Q1
|
Q4
|
Q3
|
Q2
|
||||||||||||||||||||||||
Yields on residential mortgage investments: (a)
|
||||||||||||||||||||||||||||||||
Cash yields
|
2.46
|
%
|
2.48
|
%
|
2.50
|
%
|
2.52
|
%
|
2.57
|
%
|
2.60
|
%
|
2.65
|
%
|
2.71
|
%
|
||||||||||||||||
Investment premium amortization
|
(0.67
|
)
|
(0.74
|
)
|
(1.14
|
)
|
(0.99
|
)
|
(0.84
|
)
|
(0.84
|
)
|
(0.79
|
)
|
(0.67
|
)
|
||||||||||||||||
Adjusted yields
|
1.79
|
1.74
|
1.36
|
1.53
|
1.73
|
1.76
|
1.86
|
2.04
|
||||||||||||||||||||||||
Related borrowing rates: (b)
|
||||||||||||||||||||||||||||||||
Repo borrowing rates
|
0.34
|
0.38
|
0.37
|
0.39
|
0.41
|
0.45
|
0.41
|
0.37
|
||||||||||||||||||||||||
Fixed swap rates
|
0.50
|
0.52
|
0.59
|
0.65
|
0.71
|
0.75
|
0.78
|
0.80
|
||||||||||||||||||||||||
Adjusted borrowing rates
|
0.49
|
0.49
|
0.49
|
0.53
|
0.58
|
0.63
|
0.56
|
0.54
|
||||||||||||||||||||||||
Financing spreads on residential mortgage investments
|
1.30
|
1.25
|
0.87
|
1.00
|
1.15
|
1.13
|
1.30
|
1.50
|
||||||||||||||||||||||||
CPR
|
15.16
|
17.14
|
25.49
|
23.12
|
20.05
|
19.99
|
19.14
|
16.31
|
(a) | Cash yields are based on the cash component of interest income. Investment premium amortization is determined using the interest method and incorporates actual and anticipated future mortgage prepayments. Both are expressed as a percentage calculated on average amortized cost basis for the indicated periods. |
(b) | Repo borrowing rates represent average rates on repurchase agreements and similar borrowings, before consideration of related currently-paying interest rate swap agreements. |
|
2014
|
2013
|
2012
|
|||||||||||||||||||||||||||||
|
Q1
|
Q4
|
Q3
|
Q2
|
Q1
|
Q4
|
Q3
|
Q2
|
||||||||||||||||||||||||
Financing spreads on residential mortgage investments
|
1.30
|
%
|
1.25
|
%
|
0.87
|
%
|
1.00
|
%
|
1.15
|
%
|
1.13
|
%
|
1.30
|
%
|
1.50
|
%
|
||||||||||||||||
Impact of yields on other interest-earning assets*
|
(0.04
|
)
|
(0.03
|
)
|
(0.02
|
)
|
(0.05
|
)
|
(0.05
|
)
|
(0.07
|
)
|
(0.05
|
)
|
(0.06
|
)
|
||||||||||||||||
Impact of borrowing rates on unsecured borrowings and other interest-paying liabilities*
|
(0.07
|
)
|
(0.07
|
)
|
(0.06
|
)
|
(0.06
|
)
|
(0.06
|
)
|
(0.06
|
)
|
(0.06
|
)
|
(0.07
|
)
|
||||||||||||||||
Total financing spreads
|
1.19
|
1.15
|
0.79
|
0.89
|
1.04
|
1.00
|
1.19
|
1.37
|
* | Other interest-earning assets consist of overnight investments and cash collateral receivable from interest rate swap counterparties. Other interest-paying liabilities consist of long-term unsecured borrowings (at a borrowing rate of 8.49%) that the Company considers a component of its long-term investment capital and cash collateral payable to interest rate swap counterparties. |
|
March 31, 2014
|
December 31, 2013
|
||||||||||||||||||||||
|
Unpaid Principal Balance
|
Investment Premiums
|
Basis or Notional Amount
|
Fair Value
|
Unrealized Gains (Losses)
|
Unrealized
Gains
(Losses)
|
||||||||||||||||||
Residential mortgage investments classified as available-for-sale: (a) (b)
|
||||||||||||||||||||||||
Fannie Mae/Freddie Mac securities:
|
||||||||||||||||||||||||
Current-reset ARMs
|
$
|
6,154,405
|
$
|
160,622
|
$
|
6,315,027
|
$
|
6,507,271
|
$
|
192,244
|
$
|
196,358
|
||||||||||||
Longer-to-reset ARMs
|
4,572,556
|
186,185
|
4,758,741
|
4,793,588
|
34,847
|
15,627
|
||||||||||||||||||
Fixed-rate
|
42
|
–
|
42
|
44
|
2
|
3
|
||||||||||||||||||
Ginnie Mae securities :
|
||||||||||||||||||||||||
Current-reset ARMs
|
1,193,200
|
36,790
|
1,229,990
|
1,241,138
|
11,148
|
11,515
|
||||||||||||||||||
Longer-to-reset ARMs
|
935,914
|
36,611
|
972,525
|
976,425
|
3,900
|
1,945
|
||||||||||||||||||
|
$
|
12,856,117
|
$
|
420,208
|
$
|
13,276,325
|
$
|
13,518,466
|
$
|
242,141
|
$
|
225,448
|
||||||||||||
Interest rate swap positions (c)
|
$
|
7,300,000
|
$
|
(14,232
|
)
|
$
|
(14,239
|
)
|
$
|
(6,305
|
)
|
(a) | Unrealized gains and losses on residential mortgage securities classified as available-for-sale are recorded as a component of Accumulated other comprehensive income in Stockholders’ equity. Gains or losses are generally recognized in earnings only if sold. Residential mortgage securities classified as held-to-maturity with a cost basis of $4 million and unsecuritized investments in residential mortgage loans with a cost basis of $7 million are not subject to mark-to-market accounting and therefore have been excluded from this analysis. |
(b) | Capstead classifies its residential ARM securities based on the average length of time until the loans underlying each security reset to more current rates (see page 11 of this release for further information). |
(c) | To help mitigate exposure to higher interest rates, Capstead typically uses currently-paying and forward-starting one-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements with two-year interest payment terms. Additionally, the Company has entered into three forward-starting swap agreements with notional amounts totaling $100 million and terms coinciding with the variable-rate terms of the Company’s long-term unsecured borrowings that begin in 2015 and 2016 and end with their maturities in 2035 and 2036. Swap positions are carried on the balance sheet at fair value with related unrealized gains or losses arising while designated as cash flow hedges for accounting purposes reflected as a component of Accumulated other comprehensive income in Stockholders’ equity and related hedge ineffectiveness recognized in Interest expense. As of March 31, 2014, these swap positions had the following characteristics: |
Period of Contract Expiration
|
Notional Amount
|
Average Fixed Rate Payment Requirement
|
Fair Value
|
Unrealized Gains (Losses)
|
||||||||||||
Currently-paying contracts:
|
||||||||||||||||
Second quarter 2014
|
$
|
400,000
|
0.51
|
%
|
$
|
(3
|
)
|
$
|
(3
|
)
|
||||||
Third quarter 2014
|
200,000
|
0.51
|
(177
|
)
|
(177
|
)
|
||||||||||
Fourth quarter 2014
|
500,000
|
0.58
|
(1,035
|
)
|
(1,035
|
)
|
||||||||||
First quarter 2015
|
1,100,000
|
0.50
|
(2,864
|
)
|
(2,861
|
)
|
||||||||||
Second quarter 2015
|
200,000
|
0.43
|
(484
|
)
|
(480
|
)
|
||||||||||
Third quarter 2015
|
400,000
|
0.47
|
(1,053
|
)
|
(1,052
|
)
|
||||||||||
Fourth quarter 2015
|
1,200,000
|
0.45
|
(2,203
|
)
|
(2,203
|
)
|
||||||||||
First quarter 2016
|
1,700,000
|
0.51
|
(3,801
|
)
|
(3,801
|
)
|
||||||||||
(average expiration: 15 months)
|
5,700,000
|
0.50
|
(11,620
|
)
|
(11,612
|
)
|
||||||||||
Forward-starting contracts:
|
||||||||||||||||
Second quarter 2016
|
1,100,000
|
0.47
|
123
|
108
|
||||||||||||
Third quarter 2016
|
400,000
|
0.54
|
777
|
777
|
||||||||||||
(average expiration: 25 months)
|
1,500,000
|
0.49
|
900
|
885
|
||||||||||||
(average expiration: 17 months)
|
$
|
7,200,000
|
$
|
(10,720
|
)
|
$
|
(10,727
|
)
|
||||||||
Forward-starting contracts expiring in 2035 and 2036 related to unsecured borrowings
|
$
|
100,000
|
4.09
|
$
|
(3,512
|
)
|
$
|
(3,512
|
)
|
ARM Type (a)
|
Amortized Cost Basis (b)
|
Net WAC (c)
|
Fully Indexed WAC (c)
|
Average Net Margins (c)
|
Average Periodic Caps (c)
|
Average Lifetime Caps (c)
|
Months To Roll (a)
|
|||||||||||||||||||||
Current-reset ARMs:
|
||||||||||||||||||||||||||||
Fannie Mae Agency Securities
|
$
|
4,657,092
|
2.33
|
%
|
2.14
|
%
|
1.70
|
%
|
3.32
|
%
|
10.04
|
%
|
5.3
|
|||||||||||||||
Freddie Mac Agency Securities
|
1,657,935
|
2.42
|
2.23
|
1.82
|
2.21
|
10.48
|
6.1
|
|||||||||||||||||||||
Ginnie Mae Agency Securities
|
1,229,990
|
2.50
|
1.65
|
1.51
|
1.04
|
8.76
|
8.0
|
|||||||||||||||||||||
4,153
|
3.45
|
2.25
|
2.02
|
1.50
|
10.94
|
4.5
|
||||||||||||||||||||||
|
7,549,170
|
2.38
|
2.08
|
1.70
|
2.71
|
9.93
|
5.9
|
|||||||||||||||||||||
Longer-to-reset ARMs:
|
||||||||||||||||||||||||||||
Fannie Mae Agency Securities
|
2,952,741
|
2.82
|
2.29
|
1.73
|
4.86
|
7.83
|
40.5
|
|||||||||||||||||||||
Freddie Mac Agency Securities
|
1,806,000
|
2.90
|
2.36
|
1.81
|
4.59
|
7.95
|
40.7
|
|||||||||||||||||||||
Ginnie Mae Agency Securities
|
972,525
|
2.76
|
1.66
|
1.51
|
1.15
|
7.87
|
30.5
|
|||||||||||||||||||||
|
5,731,266
|
2.83
|
2.20
|
1.72
|
4.14
|
7.87
|
38.9
|
|||||||||||||||||||||
|
$
|
13,280,436
|
2.57
|
2.14
|
1.71
|
3.33
|
9.04
|
20.0
|
||||||||||||||||||||
|
||||||||||||||||||||||||||||
Gross WAC (rate paid by borrowers) (d)
|
3.18
|
(a) | Capstead classifies its ARM securities based on the average length of time until the loans underlying each security reset to more current rates (“months-to-roll”) (less than 18 months for “current-reset” ARM securities, and 18 months or greater for “longer-to-reset” ARM securities). Once an ARM loan reaches its initial reset date, it will reset at least once a year to a margin over a corresponding interest rate index, subject to periodic and lifetime limits or caps. |
(b) | Amortized cost basis represents the Company’s investment (unpaid principal balance plus unamortized investment premiums) before unrealized gains and losses. As of March 31, 2014, the ratio of amortized cost basis to related unpaid principal balance for the Company’s ARM securities was 103.27. This table excludes $2 million in fixed-rate Agency Securities, $2 million in fixed-rate residential mortgage loans and $2 million in private residential mortgage pass-through securities held as collateral for structured financings. |
(d) | Gross WAC is the weighted average interest rate of the mortgage loans underlying the indicated investments, including servicing and other fees paid by borrowers, as of the indicated balance sheet date. |