Hatteras Financial Corp. (NYSE: HTS) (“Hatteras” or the “Company”) today
announced financial results for the quarter ended June 30, 2014.
Second Quarter 2014 Highlights
-
GAAP net loss of ($0.19) per weighted average share
-
Core earnings of $0.63 per weighted average share
-
Dividend of $0.50 per common share
-
Quarter end book value of $22.23 per common share
-
GAAP leverage of 6.2 to 1
-
Effective leverage of 7.4 to 1
-
Weighted average constant prepayment rate (“CPR”) of 15.4 for the
quarter
Second Quarter 2014 Results
During the quarter ended June 30, 2014, the Company had GAAP net loss of
$(18.0) million, or $(0.19) per weighted average share, compared to net
income of $11.3 million, or $0.12 per weighted average share during the
quarter ended March 31, 2014. The decrease in net income was primarily
due to an increase in unrealized losses on the Company’s derivative
instruments. See Table 9 for further information. For the quarter ended
June 30, 2014, the Company had core earnings of $0.63 per weighted
average share compared to $0.64 per weighted average share during the
quarter ended March 31, 2014. “Core earnings” represents a non-GAAP
measure and is calculated as net interest margin, as adjusted for
certain derivative impacts, and after deducting operating expenses and
dividends on preferred stock. Management believes core earnings is
additional useful information of the Company’s performance and ability
to earn distributable income, in light of, among other things, the
discontinuation of hedge accounting for its interest rate swaps
effective at the beginning of the fourth quarter of 2013.
Net interest margin for the quarter ended June 30, 2014 was $54.7
million, compared to $58.1 million for the quarter ended March 31, 2014.
The Company’s net interest spread was slightly lower at 1.18% for the
second quarter of 2014 compared to 1.23% in the first quarter of 2014.
The yield on the Company’s agency securities was 2.10% in the second
quarter compared to 2.20% in the first quarter as a rise in prepayments
resulted in an increase in amortization expense in the second quarter.
The Company’s cost of funds decreased from 0.97% to 0.92% for the
quarter ended June 30, 2014 compared to the previous quarter. The
Company’s average short-term financing rate decreased to 0.32% in the
second quarter of 2014 from 0.35% in the first quarter of 2014. The
Company’s effective cost of funds, which includes certain interest rate
swap adjustments, was unchanged at 1.09% for the current and prior
quarters. Operating expenses were relatively flat at $7.3 million in the
current quarter as compared to $7.2 million in the previous quarter. The
total annualized expense ratio was 1.20% of average shareholders’ equity
for the quarter ended June 30, 2014 as compared to 1.19% for the first
quarter of 2014.
Dividend
The Company declared a dividend of $0.50 per share of common stock with
respect to the quarter ended June 30, 2014, consistent with the quarter
ended March 31, 2014. Based on the closing share price of $19.81 on June
30, 2014, the second quarter dividend equates to an annualized yield of
10.1%.
Portfolio
The Company’s weighted average earning assets, consisting of residential
mortgage securities issued primarily by Fannie Mae and Freddie Mac, were
$20.4 billion for both the quarter ended June 30, 2014 and March 31,
2014. The fair value of our earning assets as of June 30, 2014 and March
31, 2014 is summarized below.
(Dollars in thousands)
|
June 30, 2014
|
|
|
March 31, 2014
|
|
|
% of
Earning
Assets
|
|
|
Market
Value
|
|
|
Wtd. Avg.
Coupon
|
|
|
% of
Earning
Assets
|
|
|
Market
Value
|
|
|
Wtd. Avg.
Coupon
|
|
ARM securities
|
|
82.6
|
%
|
|
$
|
16,191,002
|
|
|
|
2.79
|
%
|
|
|
80.5
|
%
|
|
$
|
16,660,882
|
|
|
|
2.79
|
%
|
15-year fixed securities
|
|
2.3
|
%
|
|
|
460,218
|
|
|
|
3.50
|
%
|
|
|
2.3
|
%
|
|
|
477,074
|
|
|
|
3.50
|
%
|
15-year dollar roll TBA securities
|
|
15.1
|
%
|
|
|
2,962,617
|
|
|
|
3.04
|
%
|
|
|
17.2
|
%
|
|
|
3,551,765
|
|
|
|
3.41
|
%
|
|
|
100.0
|
%
|
|
$
|
19,613,837
|
|
|
|
2.84
|
%
|
|
|
100.0
|
%
|
|
$
|
20,689,721
|
|
|
|
2.91
|
%
|
The annualized yield on our average ARMs and 15-year fixed securities
was 2.10% for the second quarter of 2014, compared to 2.20% for the
first quarter. The decrease in yield was due to the increase in premium
amortization as our principal repayments increased.
At June 30, 2014, the Company owned 15-year TBA securities financed in
the dollar roll market with a fair value of approximately $3.0 billion,
as shown in the table above. The Company accounts for TBA securities as
derivative instruments and recognizes dollar roll gains and losses in
other income (loss) in the Company's financial statements. As of June
30, 2014, the Company's net TBA securities had a cost basis of
approximately $2.9 billion and a net carrying value of $13.2 million
reported in derivative assets at fair value on the Company's balance
sheet. The Company uses dollar rolls as an alternative financing for its
15-year fixed-rate positions.
During the second quarter of 2014, the expense of amortizing the premium
on the Company’s securities was $24.9 million, compared to $22.1 million
during the first quarter. The weighted-average principal repayment rate
(scheduled and unscheduled principal payments as a percentage of the
weighted-average portfolio, on an annualized basis) during the second
quarter of 2014 was 20.4%, compared to 17.7% during the first quarter,
indicating the extent that mortgage refinancing increased. The Company’s
weighted-average one-month CPR for the quarter ended June 30, 2014 was
15.4, as compared to 13.0 for the quarter ended March 31, 2014. CPR
measures unscheduled repayment rate as a percentage of principal on an
annualized basis.
Portfolio Financing and Leverage
At June 30, 2014, the Company financed its portfolio with approximately
$15.0 billion of borrowings under repurchase agreements. The Company’s
debt-to-shareholders’ equity ratio at June 30, 2014, was 6.2 to 1
compared to 6.3 to 1 at March 31, 2014. The Company’s effective
leverage, which includes the effects of TBA dollar roll financing, was
7.4 to 1 at June 30, 2014 compared with 7.7 to 1 at March 31, 2014. At
June 30, 2014, the Company’s repurchase agreements had a
weighted-average remaining term of approximately 35 days.
The Company uses interest rate swap agreements and Eurodollar futures
contracts to synthetically extend the fixed interest period of these
liabilities and hedge against the interest rate risk associated with
financing the Company’s portfolio. As of June 30, 2014, the Company had
entered into interest rate swaps and Eurodollar futures contracts with
effective notional amounts and rates as shown in the following table.
(Dollars in thousands)
|
Futures
Contracts
|
|
|
Futures
Contracts
Rate
|
|
|
Wtd. Avg.
Swap Notional
|
|
|
Swap Rate
|
|
|
Total
|
|
|
Wtd. Avg. Rate
|
|
Effective 2014
|
$
|
1,914,000
|
|
|
|
0.35
|
%
|
|
$
|
8,750,000
|
|
|
|
1.31
|
%
|
|
$
|
10,664,000
|
|
|
|
1.14
|
%
|
Effective 2015
|
|
7,590,500
|
|
|
|
0.72
|
%
|
|
|
5,825,000
|
|
|
|
1.28
|
%
|
|
|
13,415,500
|
|
|
|
0.96
|
%
|
Effective 2016
|
|
7,104,250
|
|
|
|
1.99
|
%
|
|
|
3,100,000
|
|
|
|
0.71
|
%
|
|
|
10,204,250
|
|
|
|
1.60
|
%
|
Effective 2017
|
|
6,544,000
|
|
|
|
2.96
|
%
|
|
|
850,000
|
|
|
|
0.90
|
%
|
|
|
7,394,000
|
|
|
|
2.72
|
%
|
Effective 2018
|
|
4,260,000
|
|
|
|
3.65
|
%
|
|
|
50,000
|
|
|
|
0.98
|
%
|
|
|
4,310,000
|
|
|
|
3.62
|
%
|
Effective 2019
|
|
1,218,750
|
|
|
|
4.00
|
%
|
|
|
-
|
|
|
|
-
|
|
|
|
1,218,750
|
|
|
|
4.00
|
%
|
Effective 2020
|
|
1,060,250
|
|
|
|
4.18
|
%
|
|
|
-
|
|
|
|
-
|
|
|
|
1,060,250
|
|
|
|
4.18
|
%
|
Effective 2021
|
|
347,250
|
|
|
|
4.25
|
%
|
|
|
-
|
|
|
|
-
|
|
|
|
347,250
|
|
|
|
4.25
|
%
|
The Company also enters into swaptions (option agreements to enter swaps
at future dates) as part of its hedging strategy. At June 30, 2014, the
company had swaptions with the following terms:
|
|
|
|
|
Underlying Swap
|
Swaption
|
|
Cost
|
|
|
Fair Value
|
|
|
Average
Months to
Expiration
|
|
|
Notional
|
|
|
Average
Fixed Pay
Rate
|
|
|
Average
Receive Rate
|
|
Average Term
(Years)
|
Fixed payer
|
|
$
|
10,000
|
|
|
$
|
7,321
|
|
|
|
11
|
|
|
$
|
492,300
|
|
|
|
2.81%
|
|
|
3 month LIBOR
|
|
|
7
|
Book Value
The Company’s book value (shareholders’ equity less preferred stock
liquidation preference) per share on June 30, 2014 was $22.23, up 1.9%
from the per share book value of $21.81 on March 31, 2014. On a per
share basis, the book value at June 30, 2014 consisted of $25.32 of
common equity, $(4.79) of retained losses, $2.36 of unrealized gains on
agency securities, and $(0.66) of unrealized losses on interest rate
swaps.
Conference Call
The Company will host a conference call at 10:00 a.m. ET on Wednesday,
July 23, 2014, to discuss financial results for the quarter ended June
30, 2014. To participate in the event by telephone, please dial (877)
507-4471 five to 10 minutes prior to the start time (to allow time for
registration) and ask to join the “Hatteras Financial” conference call.
International callers should dial (412) 317-6040. Canada callers should
dial (855) 669-9657. A digital replay of the call will be available on
Wednesday, July 23, 2014 at approximately 12:00 noon ET through
Thursday, July 31, 2014 at 9:00 a.m. ET. Dial (877) 344-7529 and enter
the conference ID number 10049368. International callers should dial
(412) 317-0088 and enter the same conference ID number. Canada callers
should dial (855) 669-9658. The conference call will also be webcast
live over the Internet and can be accessed at Hatteras' web site at www.hatfin.com.
To monitor the live webcast, please visit the web site at least 15
minutes prior to the start of the call to register, download, and
install any necessary audio software. An audio replay of the event will
be archived on Hatteras' web site.
About Hatteras Financial Corp.
Hatteras Financial is a real estate investment trust formed in 2007 to
invest in residential mortgage real estate assets. Based in
Winston-Salem, N.C., Hatteras is managed and advised by Atlantic Capital
Advisors LLC. Hatteras is a component of the Russell 2000® and 3000®
indexes.
Non-GAAP Measures
In addition to the Company’s results presented in accordance with GAAP,
this press release includes certain non-GAAP financial information.
Management’s decision to present these supplemental non-GAAP measures
arose largely from two developments during 2013: 1) the Company’s
cessation of hedge accounting for its interest rates swaps effective
September 30, 2013, 2) increased use of Futures Contracts as interest
rate hedges, and 3) the Company’s use of TBA dollar rolls, which
generate non-traditional investment income and embody off-balance sheet
financing. These changes result in the recognition of material fair
value adjustments in net income, as well as line item classifications
that make it difficult to clearly explain the economics of the Company’s
results and strategies without supplemental disclosures. The non-GAAP
measures the Company employs include effective interest expense,
effective net interest margin, core earnings, and certain financial
metrics derived from non-GAAP information, such as effective cost of
funds and effective leverage. The Company uses these measures internally
to assess its results and financial condition. Therefore, the Company
believes that providing these measures gives users of financial
information additional clarity regarding its performance and financial
condition, and better enables them to see “through the eyes of
management.”
These measures involve differences from results computed in accordance
with GAAP, and should be considered supplementary to, and not as a
substitute for, the Company’s results computed in accordance with GAAP.
Further, the Company’s definition of these non-GAAP measures may not be
comparable to other similarly-titled measures of other companies.
Reconciliations of each non-GAAP measure to its nearest directly
comparable measure calculated in accordance with GAAP are included below.
Forward-Looking Statements
This press release, together with other statements and information
publicly disseminated by the Company, contains certain forward-looking
statements within the meaning of Section 27A of the Securities Act of
1933, as amended, and Section 21E of the Securities Exchange Act of
1934, as amended. The Company intends such forward-looking
statements to be covered by the safe harbor provisions for
forward-looking statements contained in the Private Securities
Litigation Reform Act of 1995 and includes this statement for purposes
of complying with these safe harbor provisions. Forward-looking
statements, which are based on certain assumptions and describe the
Company's future plans, strategies and expectations, are generally
identifiable by use of the words "believe," ”will,” "expect," "intend,"
"anticipate," "estimate," ”should,” "project" or similar expressions.
You should not rely on forward-looking statements since they involve
known and unknown risks, uncertainties and other factors that are, in
some cases, beyond the Company's control and which could materially
affect actual results, performances or achievements. Forward-looking
statements in this press release include, among others, statements about
the Company’s MBS portfolio and repurchase agreements, future volatility
in the domestic and global economies and interest rates, prepayment
rates, future earnings, risks in the portfolio and the Company’s return
profile. Factors that may cause actual results to differ
materially from current expectations include the risk factors discussed
in the Company’s most recent Annual Report on Form 10-K and Quarterly
Reports on Form 10-Q. Accordingly, there is no assurance that the
Company's expectations will be realized. Except as otherwise
required by the federal securities laws, the Company disclaims any
obligation or undertaking to publicly release any updates or revisions
to any forward-looking statement contained herein (or elsewhere) to
reflect any change in the Company’s expectations with regard thereto or
any change in events, conditions or circumstances on which any such
statement is based.
Table 1
|
Hatteras Financial Corp.
|
Consolidated Balance Sheets
|
(Dollars in thousands, except share related amounts)
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
June 30, 2014
|
|
|
December 31, 2013
|
Assets
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
|
|
|
|
|
|
(including pledged assets of $15,677,054 and $17,049,670 at June 30,
2014
|
$
|
16,651,220
|
|
|
$
|
17,642,532
|
|
and December 31, 2013, respectively)
|
|
|
|
|
|
|
|
Cash and cash equivalents
|
|
377,350
|
|
|
|
763,326
|
|
Restricted cash
|
|
305,082
|
|
|
|
225,379
|
|
Unsettled purchased mortgage-backed securities, at fair value
|
|
60,393
|
|
|
|
-
|
|
Receivable for securities sold
|
|
152,177
|
|
|
|
231,214
|
|
Accrued interest receivable
|
|
52,578
|
|
|
|
55,156
|
|
Principal payments receivable
|
|
120,026
|
|
|
|
95,021
|
|
Other investments
|
|
41,203
|
|
|
|
34,910
|
|
Derivative assets, at fair value
|
|
28,934
|
|
|
|
26,989
|
|
Other assets
|
|
4,740
|
|
|
|
2,833
|
|
Total assets
|
$
|
17,793,703
|
|
|
$
|
19,077,360
|
|
|
|
|
|
|
|
|
|
Liabilities and shareholders’ equity
|
|
|
|
|
|
|
|
Repurchase agreements
|
$
|
15,019,880
|
|
|
$
|
16,129,683
|
|
Dollar roll liability
|
|
-
|
|
|
|
351,826
|
|
Payable for unsettled securities
|
|
59,811
|
|
|
|
-
|
|
Accrued interest payable
|
|
3,148
|
|
|
|
8,279
|
|
Derivative liabilities, at fair value
|
|
222,197
|
|
|
|
167,607
|
|
Dividend payable
|
|
52,886
|
|
|
|
52,929
|
|
Accounts payable and other liabilities
|
|
2,770
|
|
|
|
2,935
|
|
Total liabilities
|
|
15,360,692
|
|
|
|
16,713,259
|
|
|
|
|
|
|
|
|
|
Shareholders’ equity:
|
|
|
|
|
|
|
|
7.625% Series A Cumulative Redeemable Preferred stock, $.001 par
value, 25,000,000 shares authorized, 11,500,000 shares issued and
outstanding at June 30, 2014 and December 31, 2013, respectively
($287,500 aggregate liquidation preference)
|
|
278,252
|
|
|
|
278,252
|
|
Common stock, $.001 par value, 200,000,000 shares authorized,
96,516,761 and 96,601,523 shares issued and outstanding at June 30,
2014 and December 31, 2013, respectively
|
|
97
|
|
|
|
97
|
|
Additional paid-in capital
|
|
2,452,808
|
|
|
|
2,453,018
|
|
Accumulated deficit
|
|
(462,369
|
)
|
|
|
(359,214
|
)
|
Accumulated other comprehensive income (loss)
|
|
164,223
|
|
|
|
(8,052
|
)
|
Total shareholders’ equity
|
|
2,433,011
|
|
|
|
2,364,101
|
|
Total liabilities and shareholders’ equity
|
$
|
17,793,703
|
|
|
$
|
19,077,360
|
|
Table 2
|
Hatteras Financial Corp.
|
Consolidated Statements of Income
|
(Unaudited)
|
|
(Dollars in thousands, except share related amounts)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30
|
|
|
Six Months Ended June 30
|
|
2014
|
|
|
2013
|
|
|
2014
|
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income on mortgage-backed securities
|
$
|
89,458
|
|
|
$
|
115,115
|
|
|
$
|
185,765
|
|
|
$
|
239,356
|
Interest income on short-term cash investments
|
|
347
|
|
|
|
359
|
|
|
|
629
|
|
|
|
801
|
Total interest income
|
|
89,805
|
|
|
|
115,474
|
|
|
|
186,394
|
|
|
|
240,157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense
|
|
35,128
|
|
|
|
52,079
|
|
|
|
73,579
|
|
|
|
105,356
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net interest margin
|
|
54,677
|
|
|
|
63,395
|
|
|
|
112,815
|
|
|
|
134,801
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Management fee
|
|
4,144
|
|
|
|
4,714
|
|
|
|
8,298
|
|
|
|
9,434
|
Share based compensation
|
|
842
|
|
|
|
627
|
|
|
|
1,702
|
|
|
|
1,256
|
General and administrative
|
|
2,324
|
|
|
|
1,602
|
|
|
|
4,471
|
|
|
|
2,971
|
Total operating expenses
|
|
7,310
|
|
|
|
6,943
|
|
|
|
14,471
|
|
|
|
13,661
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on sale of mortgage-backed securities
|
|
(4,584
|
)
|
|
|
8,802
|
|
|
|
2,852
|
|
|
|
11,302
|
Gain (loss) on derivative instruments, net
|
|
(55,260
|
)
|
|
|
5,485
|
|
|
|
(96,875
|
)
|
|
|
5,536
|
Total other income (loss)
|
|
(59,844
|
)
|
|
|
14,287
|
|
|
|
(94,023
|
)
|
|
|
16,838
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
(12,477
|
)
|
|
|
70,739
|
|
|
|
4,321
|
|
|
|
137,978
|
Dividends on preferred stock
|
|
5,481
|
|
|
|
5,480
|
|
|
|
10,961
|
|
|
|
10,960
|
Net income (loss) available to common shareholders
|
$
|
(17,958
|
)
|
|
$
|
65,259
|
|
|
$
|
(6,640
|
)
|
|
$
|
127,018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings (loss) per share - common stock, basic
|
$
|
(0.19
|
)
|
|
$
|
0.66
|
|
|
$
|
(0.07
|
)
|
|
$
|
1.29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings (loss) per share - common stock, diluted
|
$
|
(0.19
|
)
|
|
$
|
0.66
|
|
|
$
|
(0.07
|
)
|
|
$
|
1.29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Dividends per share of common stock
|
$
|
0.50
|
|
|
$
|
0.70
|
|
|
$
|
1.00
|
|
|
$
|
1.40
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average common shares outstanding, basic
|
|
96,515,599
|
|
|
|
98,830,054
|
|
|
|
96,560,590
|
|
|
|
98,828,827
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average common shares outstanding, diluted
|
|
96,515,599
|
|
|
|
98,830,054
|
|
|
|
96,560,590
|
|
|
|
98,828,827
|
Table 3
|
Hatteras Financial Corp.
|
Consolidated Statements of Comprehensive Income
|
(Unaudited)
|
|
(Dollars in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30
|
|
|
Six Months Ended June 30
|
|
|
2014
|
|
|
2013
|
|
|
2014
|
|
|
2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
$
|
(12,477
|
)
|
|
$
|
70,739
|
|
|
$
|
4,321
|
|
|
$
|
137,978
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other comprehensive income:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gains (losses) on securities available for sale
|
|
81,034
|
|
|
|
(627,560
|
)
|
|
|
115,172
|
|
|
|
(646,412
|
)
|
Net unrealized gains on derivative instruments
|
|
24,636
|
|
|
|
37,679
|
|
|
|
57,103
|
|
|
|
62,725
|
|
Other comprehensive income (loss)
|
|
105,670
|
|
|
|
(589,881
|
)
|
|
|
172,275
|
|
|
|
(583,687
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Comprehensive income (loss)
|
$
|
93,193
|
|
|
$
|
(519,142
|
)
|
|
$
|
176,596
|
|
|
$
|
(445,709
|
)
|
Table 4
|
|
Key Statistics ((1))
|
|
(Amounts are unaudited and subject to change)
|
|
|
|
(in thousands, except per share amounts)
|
Three Months Ended
|
|
|
June 30, 2014
|
|
|
March 31, 2014
|
|
|
December 31, 2013
|
|
|
September 30, 2013
|
|
|
June 30, 2013
|
|
Statement of Income Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income
|
$
|
89,805
|
|
|
$
|
96,589
|
|
|
$
|
104,768
|
|
|
$
|
107,343
|
|
|
$
|
115,474
|
|
Interest expense
|
|
(35,128
|
)
|
|
|
(38,451
|
)
|
|
|
(40,754
|
)
|
|
|
(51,599
|
)
|
|
|
(52,079
|
)
|
Net interest margin
|
|
54,677
|
|
|
|
58,138
|
|
|
|
64,014
|
|
|
|
55,744
|
|
|
|
63,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Operating expenses
|
|
(7,310
|
)
|
|
|
(7,161
|
)
|
|
|
(7,508
|
)
|
|
|
(6,697
|
)
|
|
|
(6,943
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income (loss):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) on sale of mortgage-backed securities
|
|
(4,584
|
)
|
|
|
7,436
|
|
|
|
(68,679
|
)
|
|
|
(225,635
|
)
|
|
|
8,802
|
|
Impairment of mortgage-backed securities
|
|
-
|
|
|
|
-
|
|
|
|
-
|
|
|
|
(8,102
|
)
|
|
|
-
|
|
Gain (loss) on derivative instruments, net
|
|
(55,260
|
)
|
|
|
(41,615
|
)
|
|
|
2,205
|
|
|
|
(77,456
|
)
|
|
|
5,485
|
|
Total other income (loss)
|
|
(59,844
|
)
|
|
|
(34,179
|
)
|
|
|
(66,474
|
)
|
|
|
(311,193
|
)
|
|
|
14,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
(12,477
|
)
|
|
|
16,798
|
|
|
|
(9,968
|
)
|
|
|
(262,146
|
)
|
|
|
70,739
|
|
Dividends on preferred stock
|
|
(5,481
|
)
|
|
|
(5,480
|
)
|
|
|
(5,481
|
)
|
|
|
(5,481
|
)
|
|
|
(5,480
|
)
|
Net income (loss) available to common shareholders
|
$
|
(17,958
|
)
|
|
$
|
11,318
|
|
|
$
|
(15,449
|
)
|
|
$
|
(267,627
|
)
|
|
$
|
65,259
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings (loss) per share, basic and diluted
|
$
|
(0.19
|
)
|
|
$
|
0.12
|
|
|
$
|
(0.16
|
)
|
|
$
|
(2.72
|
)
|
|
$
|
0.66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average shares outstanding
|
|
96,516
|
|
|
|
96,606
|
|
|
|
97,390
|
|
|
|
98,318
|
|
|
|
98,830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributions per common share
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
0.50
|
|
|
$
|
0.55
|
|
|
$
|
0.70
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Key Statistics (2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average MBS
|
$
|
17,019,973
|
|
|
$
|
17,485,685
|
|
|
$
|
19,309,176
|
|
|
$
|
23,825,254
|
|
|
$
|
24,824,334
|
|
Average debt (3)
|
$
|
15,349,322
|
|
|
$
|
15,787,282
|
|
|
$
|
18,013,431
|
|
|
$
|
21,990,508
|
|
|
$
|
22,701,463
|
|
Average equity
|
$
|
2,429,640
|
|
|
$
|
2,405,938
|
|
|
$
|
2,405,778
|
|
|
$
|
2,429,402
|
|
|
$
|
3,034,954
|
|
Average portfolio yield
|
|
2.10
|
%
|
|
|
2.20
|
%
|
|
|
2.16
|
%
|
|
|
1.80
|
%
|
|
|
1.85
|
%
|
Average cost of funds
|
|
0.92
|
%
|
|
|
0.97
|
%
|
|
|
0.90
|
%
|
|
|
0.94
|
%
|
|
|
0.92
|
%
|
Interest rate spread
|
|
1.18
|
%
|
|
|
1.23
|
%
|
|
|
1.26
|
%
|
|
|
0.86
|
%
|
|
|
0.93
|
%
|
TBA dollar roll income
|
$
|
25,622
|
|
|
$
|
20,821
|
|
|
$
|
5,605
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Average TBA dollar roll position
|
$
|
3,393,046
|
|
|
$
|
2,935,689
|
|
|
$
|
803,746
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Average portfolio yield, including TBA dollar roll income
|
|
2.26
|
%
|
|
|
2.29
|
%
|
|
|
2.19
|
%
|
|
|
1.80
|
%
|
|
|
1.85
|
%
|
Effective interest expense (4)
|
$
|
41,959
|
|
|
$
|
43,179
|
|
|
$
|
47,411
|
|
|
$
|
51,599
|
|
|
$
|
52,079
|
|
Effective cost of funds (4)
|
|
1.09
|
%
|
|
|
1.09
|
%
|
|
|
1.05
|
%
|
|
|
0.94
|
%
|
|
|
0.92
|
%
|
Effective net interest margin (5)
|
$
|
73,468
|
|
|
$
|
74,231
|
|
|
$
|
62,962
|
|
|
$
|
55,744
|
|
|
$
|
63,395
|
|
Effective interest rate spread (6)
|
|
1.17
|
%
|
|
|
1.20
|
%
|
|
|
1.14
|
%
|
|
|
0.86
|
%
|
|
|
0.93
|
%
|
Core earnings (7)
|
$
|
60,677
|
|
|
$
|
61,590
|
|
|
$
|
49,973
|
|
|
$
|
43,566
|
|
|
$
|
50,972
|
|
Core earnings per share, basic and diluted
|
$
|
0.63
|
|
|
$
|
0.64
|
|
|
$
|
0.51
|
|
|
$
|
0.44
|
|
|
$
|
0.52
|
|
Constant prepayment rate (CPR)
|
|
15.4
|
|
|
|
13.0
|
|
|
|
14.2
|
|
|
|
19.7
|
|
|
|
20.8
|
|
Average annual portfolio repayment rate
|
|
20.36
|
%
|
|
|
17.66
|
%
|
|
|
19.55
|
%
|
|
|
27.72
|
%
|
|
|
28.10
|
%
|
Debt to equity (at period end)
|
6.2:1
|
|
|
6.3:1
|
|
|
7.0:1
|
|
|
7.9:1
|
|
|
9.3:1
|
|
Debt to paid-in-capital (at period end) (8)
|
5.5:1
|
|
|
5.6:1
|
|
|
6.1:1
|
|
|
6.8:1
|
|
|
8.3:1
|
|
Effective debt to equity (at period end) (9)
|
7.4:1
|
|
|
7.7:1
|
|
|
7.3:1
|
|
|
7.9:1
|
|
|
9.3:1
|
|
(1) This table includes non-GAAP financial measures. See the
earlier section on non-GAAP Measures for important disclosures, as well
as Tables 10 and 11 which contain reconciliations to the most comparable
U.S. GAAP measures.
(2) The averages presented herein are computed from the
Company’s books and records, using daily weighted values. Percentages
are annualized, as appropriate.
(3) Average debt includes borrowings under repurchase
agreements and dollar roll liability as presented on the balance sheet.
It does not include off-balance sheet financing related to the Company’s
TBA dollar roll position.
(4) Effective interest expense includes certain interest rate
swap adjustments. Effective cost of funds is effective interest expense
for the period on an annualized basis divided by average repurchase
agreements and dollar roll liability for the period. See Table 10.
(5) Effective net interest margin includes certain interest
rate swap adjustments and TBA dollar roll income. See Table 11.
(6) Effective interest rate spread is the difference between
average portfolio yield including TBA dollar roll income and effective
cost of funds for the period.
(7) Core earnings consists of effective interest margin
reduced by operating expenses and dividends on preferred stock for the
period. See Table 11.
(8) Our debt to paid-in capital ratio was calculated by
dividing the amount outstanding under our repurchase agreements at
period end by the sum of the par value of our common stock and
additional paid-in capital at period end.
(9) Our effective debt to equity ratio was calculated the
same as our debt to equity ratio other than to include our off-balance
sheet TBA dollar roll liability at period end in the numerator. Our
off-balance sheet TBA dollar roll liability was $2,961,749 as of June
30, 2014. For 2009 through 2012, effective debt to equity is identical
to our debt to equity ratio determined in accordance with GAAP.
Hatteras Financial Corp
(Amounts are unaudited and subject to change)
(Dollars in thousands)
|
|
Table 5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed Securities Portfolio as of June
30, 2014
|
|
|
Amortized Cost
|
|
|
Gross Unrealized
Loss
|
|
|
Gross Unrealized
Gain
|
|
|
Estimated Fair
Value
|
|
|
% of
Total
|
|
Agency Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARMs
|
$
|
9,458,568
|
|
|
$
|
(17,277
|
)
|
|
$
|
189,611
|
|
|
$
|
9,630,902
|
|
|
|
57.8
|
%
|
Fixed Rate
|
|
288,499
|
|
|
|
-
|
|
|
|
3,845
|
|
|
|
292,344
|
|
|
|
1.8
|
%
|
Total Fannie Mae
|
|
9,747,067
|
|
|
|
(17,277
|
)
|
|
|
193,456
|
|
|
|
9,923,246
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Freddie Mac Certificates
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ARMs
|
|
6,514,037
|
|
|
|
(26,376
|
)
|
|
|
72,439
|
|
|
|
6,560,100
|
|
|
|
39.4
|
%
|
Fixed Rate
|
|
166,168
|
|
|
|
-
|
|
|
|
1,706
|
|
|
|
167,874
|
|
|
|
1.0
|
%
|
Total Freddie Mac
|
|
6,680,205
|
|
|
|
(26,376
|
)
|
|
|
74,145
|
|
|
|
6,727,974
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Agency Securities
|
$
|
16,427,272
|
|
|
$
|
(43,653
|
)
|
|
$
|
267,601
|
|
|
$
|
16,651,220
|
|
|
|
|
|
Table 6
|
|
Mortgage-backed Securities—Months to Reset as of June 30, 2014
|
|
ARMs
|
Months to Reset
|
|
% of ARM
Portfolio
|
|
|
Current
Face Value
|
|
|
Wtd. Avg. Coupon
|
|
|
Wtd. Avg.
Amortized
Purchase Price
|
|
|
Amortized
Cost
|
|
|
Wtd. Avg.
Market
Price
|
|
|
Market
Value
|
0-12
|
|
|
10.5
|
%
|
|
$
|
1,591,293
|
|
|
|
3.27
|
%
|
|
$
|
101.95
|
|
|
$
|
1,622,359
|
|
|
$
|
106.58
|
|
|
$
|
1,696,022
|
13-24
|
|
|
13.5
|
%
|
|
|
2,066,608
|
|
|
|
3.16
|
%
|
|
$
|
102.57
|
|
|
|
2,119,808
|
|
|
$
|
105.89
|
|
|
|
2,188,287
|
25-36
|
|
|
12.0
|
%
|
|
|
1,858,932
|
|
|
|
2.60
|
%
|
|
$
|
102.71
|
|
|
|
1,909,376
|
|
|
$
|
104.37
|
|
|
|
1,940,145
|
37-48
|
|
|
15.0
|
%
|
|
|
2,323,577
|
|
|
|
2.96
|
%
|
|
$
|
102.77
|
|
|
|
2,387,937
|
|
|
$
|
104.73
|
|
|
|
2,433,548
|
49-60
|
|
|
30.9
|
%
|
|
|
4,831,543
|
|
|
|
2.65
|
%
|
|
$
|
102.95
|
|
|
|
4,974,046
|
|
|
$
|
103.42
|
|
|
|
4,996,565
|
61-72
|
|
|
12.9
|
%
|
|
|
2,051,757
|
|
|
|
2.30
|
%
|
|
$
|
103.37
|
|
|
|
2,120,902
|
|
|
$
|
101.91
|
|
|
|
2,090,887
|
73-84
|
|
|
5.2
|
%
|
|
|
808,625
|
|
|
|
2.88
|
%
|
|
$
|
102.34
|
|
|
|
827,584
|
|
|
$
|
103.23
|
|
|
|
834,773
|
109-120
|
|
|
0.0
|
%
|
|
|
10,398
|
|
|
|
3.30
|
%
|
|
$
|
101.88
|
|
|
|
10,593
|
|
|
$
|
103.63
|
|
|
|
10,775
|
Total ARMS
|
|
|
100.0
|
%
|
|
$
|
15,542,733
|
|
|
|
2.79
|
%
|
|
$
|
102.77
|
|
|
$
|
15,972,605
|
|
|
$
|
104.17
|
|
|
$
|
16,191,002
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current
Face Value
|
|
|
Wtd. Avg. Coupon
|
|
|
Wtd. Avg.
Amortized
Purchase Price
|
|
|
Amortized
Cost
|
|
|
Wtd. Avg.
Market
Price
|
|
|
Market
Value
|
Total Fixed Rate
|
|
$
|
433,856
|
|
|
|
3.50
|
%
|
|
$
|
104.80
|
|
|
$
|
454,667
|
|
|
$
|
106.08
|
|
|
$
|
460,218
|
Hatteras Financial Corp
(Amounts are unaudited and subject to change)
(Dollars in thousands)
|
|
Table 7
|
|
Repo Borrowings as of June 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
Weighted Average
|
|
|
Balance
|
|
|
Contractual Rate
|
|
Within 30 days
|
$
|
11,966,137
|
|
|
|
0.31
|
%
|
30 days to 3 months
|
|
2,553,743
|
|
|
|
0.31
|
%
|
3 months to 36 months
|
|
500,000
|
|
|
|
0.51
|
%
|
|
$
|
15,019,880
|
|
|
|
0.32
|
%
|
|
|
|
|
|
|
|
|
Table 8
|
|
Swap Portfolio as of June 30, 2014
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Remaining
|
|
|
Weighted Average
|
|
|
Notional
|
|
|
Term
|
|
|
Fixed Interest
|
Maturity
|
|
Amount
|
|
|
in Months
|
|
|
Rate in Contract
|
|
|
|
|
|
|
|
|
|
|
|
|
12 months or less
|
|
$
|
3,800,000
|
|
|
|
7
|
|
|
|
1.78%
|
Over 12 months to 24 months
|
|
|
2,700,000
|
|
|
|
18
|
|
|
|
1.30%
|
Over 24 months to 36 months
|
|
|
2,600,000
|
|
|
|
31
|
|
|
|
0.91%
|
Over 36 months to 48 months
|
|
|
800,000
|
|
|
|
41
|
|
|
|
0.93%
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
9,900,000
|
|
|
|
19
|
|
|
|
1.35%
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Starting Swaps
|
|
|
|
|
|
|
|
|
|
|
|
included above
|
|
|
|
|
|
Average
|
|
|
Weighted Average
|
|
|
Notional
|
|
|
Term
|
|
|
Fixed Interest
|
Cash flow beginning in
|
|
Amount
|
|
|
in Months
|
|
|
Rate in Contract
|
|
|
|
|
|
|
|
|
|
|
|
|
12 months or less
|
|
$
|
200,000
|
|
|
|
44
|
|
|
|
0.94%
|
Hatteras Financial Corp
|
(Amounts are unaudited and subject to change)
|
(Dollars in thousands)
|
|
Table 9
|
|
Components of Gain (Loss) on Derivative Instruments, Net
|
|
|
Three Months Ended June 30
|
|
|
Six Months Ended June 30
|
|
|
2014
|
|
|
2013
|
|
|
2014
|
|
|
2013
|
Interest rate swaps – fair value adjustments
|
$
|
8,525
|
|
|
$
|
-
|
|
|
$
|
24,388
|
|
|
$
|
-
|
|
Interest rate swaptions – fair value adjustments
|
|
(2,679
|
)
|
|
|
-
|
|
|
|
(2,679
|
)
|
|
|
-
|
|
Interest rate swaps – monthly net settlements
|
|
(29,754
|
)
|
|
|
-
|
|
|
|
(59,166
|
)
|
|
|
-
|
|
Futures Contracts – fair value adjustments
|
|
(90,005
|
)
|
|
|
5,537
|
|
|
|
(107,387
|
)
|
|
|
5,537
|
|
Futures Contracts – realized gains (losses)
|
|
(3,647
|
)
|
|
|
(52
|
)
|
|
|
(22,253
|
)
|
|
|
(1
|
)
|
TBA dollar roll income
|
|
25,622
|
|
|
|
-
|
|
|
|
46,443
|
|
|
|
-
|
|
Realized and unrealized gains on TBA dollar rolls
|
|
36,678
|
|
|
|
-
|
|
|
|
23,779
|
|
|
|
-
|
|
Gain (loss) on derivative instruments, net
|
$
|
(55,260
|
)
|
|
$
|
5,485
|
|
|
$
|
(96,875
|
)
|
|
$
|
5,536
|
|
Hatteras Financial Corp
(Amounts are unaudited and subject to change)
(Dollars in thousands)
|
|
|
|
Table 10
|
|
|
Reconciliation of GAAP Interest Expense to
Effective Interest Expense and Effective Cost of Funds
|
|
|
|
|
|
Three Months Ended
|
|
|
June 30,
2014
|
|
|
March 31,
2014
|
|
|
Dec. 31,
2013
|
|
|
Sept. 30,
2013
|
|
|
June 30,
2013
|
|
|
Amount
|
|
% (1)
|
|
|
Amount
|
|
% (1)
|
|
|
Amount
|
|
% (1)
|
|
|
Amount
|
|
% (1)
|
|
|
Amount
|
|
% (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense
|
$
|
35,128
|
|
|
0.92
|
%
|
|
$
|
38,451
|
|
|
0.97
|
%
|
|
$
|
40,754
|
|
|
0.90
|
%
|
|
$
|
51,599
|
|
|
0.94
|
%
|
|
$
|
52,079
|
|
|
0.92
|
%
|
Less: reclassification of deferred swap losses included in interest
expense (after hedge de-designation)
|
|
(22,923
|
)
|
|
-0.60
|
%
|
|
|
(24,684
|
)
|
|
-0.63
|
%
|
|
|
(24,328
|
)
|
|
-0.54
|
%
|
|
|
-
|
|
|
-
|
|
|
|
-
|
|
|
-
|
|
Interest rate swaps – monthly net settlements (after hedge
de-designation)
|
|
29,754
|
|
|
0.77
|
%
|
|
|
29,412
|
|
|
0.75
|
%
|
|
|
30,985
|
|
|
0.69
|
%
|
|
|
-
|
|
|
-
|
|
|
|
-
|
|
|
-
|
|
Effective interest expense and cost of funds
|
$
|
41,959
|
|
|
1.09
|
%
|
|
$
|
43,179
|
|
|
1.09
|
%
|
|
$
|
47,411
|
|
|
1.05
|
%
|
|
$
|
51,599
|
|
|
0.94
|
%
|
|
$
|
52,079
|
|
|
0.92
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average repo and dollar roll liability
|
$
|
15,349,322
|
|
|
|
|
|
$
|
15,787,282
|
|
|
|
|
|
$
|
18,013,431
|
|
|
|
|
|
$
|
21,990,508
|
|
|
|
|
|
$
|
22,701,463
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Dollar amount on an annualized basis as a percentage
of our average repurchase agreements and dollar roll liability
|
|
|
|
|
Six Months Ended June 30
|
|
|
2014
|
|
|
2013
|
|
|
Amount
|
|
% (1)
|
|
|
Amount
|
|
% (1)
|
|
Interest expense
|
$
|
73,579
|
|
|
0.94
|
%
|
|
$
|
105,356
|
|
|
0.94
|
%
|
Less: reclassification of deferred swap losses included in interest
expense (after hedge de-designation)
|
|
(47,607
|
)
|
|
-0.61
|
%
|
|
|
-
|
|
|
-
|
|
Interest rate swaps – monthly net settlements (after hedge
de-designation)
|
|
59,166
|
|
|
0.76
|
%
|
|
|
-
|
|
|
-
|
|
Effective interest expense and cost of funds
|
$
|
85,138
|
|
|
1.09
|
%
|
|
$
|
105,356
|
|
|
0.94
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average repo and dollar roll liability
|
$
|
15,567,092
|
|
|
|
|
|
$
|
22,523,131
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) Dollar amount on an annualized basis as a percentage
of our average repurchase agreements and dollar roll liability
|
|
Hatteras Financial Corp
(Amounts are unaudited and subject to change)
(Dollars in thousands)
|
|
|
|
Table 11
|
|
|
|
Reconciliation of GAAP Net Interest Margin to
Effective Net Interest Margin and Core Earnings
|
|
|
|
|
|
Three Months Ended
|
|
|
June 30,
2014
|
|
|
March 31,
2014
|
|
|
Dec. 31,
2013
|
|
|
Sept. 30,
2013
|
|
|
June 30,
2013
|
|
Net interest margin
|
$
|
54,677
|
|
|
$
|
58,138
|
|
|
$
|
64,014
|
|
|
$
|
55,744
|
|
|
$
|
63,395
|
|
Less: reclassification of deferred swap losses included in interest
expense
|
|
22,923
|
|
|
|
24,684
|
|
|
|
24,328
|
|
|
|
-
|
|
|
|
-
|
|
Interest rate swaps – monthly net settlements (after hedge
de-designation)
|
|
(29,754
|
)
|
|
|
(29,412
|
)
|
|
|
(30,985
|
)
|
|
|
-
|
|
|
|
-
|
|
Dollar roll income
|
|
25,622
|
|
|
|
20,821
|
|
|
|
5,605
|
|
|
|
-
|
|
|
|
-
|
|
Effective net interest margin
|
|
73,468
|
|
|
|
74,231
|
|
|
|
62,962
|
|
|
|
55,744
|
|
|
|
63,395
|
|
Total operating expenses
|
|
(7,310
|
)
|
|
|
(7,161
|
)
|
|
|
(7,508
|
)
|
|
|
(6,697
|
)
|
|
|
(6,943
|
)
|
Dividends on preferred stock
|
|
(5,481
|
)
|
|
|
(5,480
|
)
|
|
|
(5,481
|
)
|
|
|
(5,481
|
)
|
|
|
(5,480
|
)
|
Core earnings
|
$
|
60,677
|
|
|
$
|
61,590
|
|
|
$
|
49,973
|
|
|
$
|
43,566
|
|
|
$
|
50,972
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Core earnings per common share, basic and diluted
|
$
|
0.63
|
|
|
$
|
0.64
|
|
|
$
|
0.51
|
|
|
$
|
0.44
|
|
|
$
|
0.52
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30
|
|
|
2014
|
|
|
2013
|
|
Net interest margin
|
$
|
112,815
|
|
|
$
|
134,801
|
|
Less: reclassification of deferred swap losses included in interest
expense
|
|
47,607
|
|
|
|
-
|
|
Interest rate swaps – monthly net settlements (after hedge
de-designation)
|
|
(59,166
|
)
|
|
|
-
|
|
Dollar roll income
|
|
46,443
|
|
|
|
-
|
|
Effective net interest margin
|
|
147,699
|
|
|
|
134,801
|
|
Total operating expenses
|
|
(14,471
|
)
|
|
|
(13,661
|
)
|
Dividends on preferred stock
|
|
(10,961
|
)
|
|
|
(10,960
|
)
|
Core earnings
|
$
|
122,267
|
|
|
$
|
110,180
|
|
|
|
|
|
|
|
|
|
Core earnings per common share, basic and diluted
|
$
|
1.27
|
|
|
$
|
1.11
|
|
Copyright Business Wire 2014