[X] |
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
[ ] |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Maryland (State or other jurisdiction of incorporation or organization) 350 Park Avenue, 21st Floor, New York, New York (Address of principal executive offices) |
13-3974868 (I.R.S. Employer Identification No.) 10022 (Zip Code) |
Page |
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PART I Financial Information |
|||||||||||
Item 1. |
Financial Statements |
||||||||||
Consolidated Balance Sheets as of June 30, 2007 (Unaudited) and December 31, 2006 |
1 | ||||||||||
Consolidated Statements of Results of Operations (Unaudited) for the Three and Six Months Ended June 30, 2007 and June 30,
2006 |
2 | ||||||||||
Consolidated Statement of Changes in Stockholders Equity (Unaudited) for the Six Months Ended June 30, 2007 |
3 | ||||||||||
Consolidated Statements of Cash Flows (Unaudited) for the Six Months Ended June 30, 2007 and June 30, 2006 |
4 | ||||||||||
Consolidated Statements of Comprehensive Income (Unaudited) for the Three and Six Months Ended June 30, 2007 and June 30,
2006 |
5 | ||||||||||
Notes to the Consolidated Financial Statements (Unaudited) |
6 | ||||||||||
Item 2. |
Managements Discussion and Analysis of Financial Condition and Results of Operations |
24 | |||||||||
Item 3. |
Quantitative and Qualitative Disclosures About Market Risk |
32 | |||||||||
Item 4. |
Controls and Procedures |
35 | |||||||||
PART II Other Information |
|||||||||||
Item 1. |
Legal Proceedings |
36 | |||||||||
Item 1A. |
Risk Factors |
36 | |||||||||
Item 4. |
Submission of Matters to a Vote of Security Holders |
36 | |||||||||
Item 6. |
Exhibits |
37 | |||||||||
Signatures |
39 |
(In Thousands, Except Per Share
Amounts) |
June 30, 2007 |
December 31, 2006 |
||||||||
(Unaudited) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Assets: |
||||||||||
Mortgage-backed securities (MBS), at fair value (including pledged MBS of $6,713,606 and $6,065,021 at June 30, 2007 and December
31, 2006, respectively) (Notes 3 and 6) |
$ | 6,994,244 | $ | 6,340,668 | ||||||
Income notes
(Note 3) |
1,890 | | ||||||||
Cash and cash
equivalents |
54,329 | 47,200 | ||||||||
Accrued
interest receivable |
36,352 | 33,182 | ||||||||
Interest rate
cap agreements (Caps), at fair value (Note 4) |
| 361 | ||||||||
Swap
agreements (Swaps), at fair value (Note 4) |
15,759 | 2,412 | ||||||||
Real estate
(Note 5) |
11,693 | 11,789 | ||||||||
Goodwill |
7,189 | 7,189 | ||||||||
Prepaid and
other assets |
1,370 | 1,166 | ||||||||
Total
Assets |
$ | 7,122,826 | $ | 6,443,967 | ||||||
Liabilities: |
||||||||||
Repurchase
agreements (Note 6) |
$ | 6,379,485 | $ | 5,722,711 | ||||||
Accrued
interest payable |
26,311 | 23,164 | ||||||||
Mortgages
payable on real estate |
9,532 | 9,606 | ||||||||
Swaps, at
fair value (Note 4) |
735 | 1,893 | ||||||||
Dividends
payable |
| 4,899 | ||||||||
Accrued
expenses and other liabilities |
2,460 | 3,136 | ||||||||
Total
Liabilities |
6,418,523 | 5,765,409 | ||||||||
Commitments
and contingencies (Note 7) |
||||||||||
Stockholders Equity: |
||||||||||
Preferred
stock, $.01 par value; series A 8.50% cumulative redeemable; 5,000 shares authorized; 3,840 shares issued and outstanding at June 30, 2007 and December
31, 2006 ($96,000 aggregate liquidation preference) (Note 8) |
38 | 38 | ||||||||
Common stock,
$.01 par value; 370,000 shares authorized; 82,937 and 80,695 issued and outstanding at June 30, 2007 and December 31, 2006, respectively (Note
8) |
829 | 807 | ||||||||
Additional
paid-in capital, in excess of par |
793,308 | 776,743 | ||||||||
Accumulated
deficit |
(59,249 | ) | (68,637 | ) | ||||||
Accumulated
other comprehensive loss (Note 10) |
(30,623 | ) | (30,393 | ) | ||||||
Total
Stockholders Equity |
704,303 | 678,558 | ||||||||
Total
Liabilities and Stockholders Equity |
$ | 7,122,826 | $ | 6,443,967 |
Three Months Ended June 30, |
Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
2006 |
2007 |
2006 |
||||||||||||||||
(In Thousands, Except Per Share
Amounts) |
(Unaudited) | ||||||||||||||||||
Interest
Income: |
|||||||||||||||||||
MBS income
(Note 3) |
$ | 90,341 | $ | 45,645 | $ | 174,682 | $ | 98,974 | |||||||||||
Interest
income on short-term cash investments |
634 | 540 | 1,082 | 1,206 | |||||||||||||||
Interest
income on income notes |
51 | | 57 | | |||||||||||||||
Interest
Income |
91,026 | 46,185 | 175,821 | 100,180 | |||||||||||||||
Interest
Expense |
78,348 | 38,818 | 150,608 | 81,603 | |||||||||||||||
Net
Interest Income |
12,678 | 7,367 | 25,213 | 18,577 | |||||||||||||||
Other
Income: |
|||||||||||||||||||
Net loss on
sale of MBS (Note 3) |
(116 | ) | (24,746 | ) | (113 | ) | (23,149 | ) | |||||||||||
Revenue from
operations of real estate (Note 5) |
413 | 388 | 826 | 770 | |||||||||||||||
Gain on
termination of Swap |
176 | | 176 | | |||||||||||||||
Miscellaneous
other income, net |
109 | 205 | 224 | 444 | |||||||||||||||
Other
Income (Loss) |
582 | (24,153 | ) | 1,113 | (21,935 | ) | |||||||||||||
Operating
and Other Expense: |
|||||||||||||||||||
Compensation
and benefits |
1,409 | 1,530 | 3,021 | 3,088 | |||||||||||||||
Mortgage
interest and real estate operating expense |
429 | 400 | 849 | 818 | |||||||||||||||
Other general
and administrative expense |
1,244 | 961 | 2,428 | 2,078 | |||||||||||||||
Operating
and Other Expense |
3,082 | 2,891 | 6,298 | 5,984 | |||||||||||||||
Income
(Loss) from Continuing Operations |
10,178 | (19,677 | ) | 20,028 | (9,342 | ) | |||||||||||||
Discontinued Operations: (Note 5) |
|||||||||||||||||||
Loss from
discontinued operations, net |
| (56 | ) | | (133 | ) | |||||||||||||
Mortgage
prepayment penalty |
| | | (135 | ) | ||||||||||||||
Gain on sale
of real estate, net of tax |
| | | 4,840 | |||||||||||||||
Income
(Loss) from Discontinued Operations |
| (56 | ) | | 4,572 | ||||||||||||||
Income
(Loss) Before Preferred Stock Dividends |
10,178 | (19,733 | ) | 20,028 | (4,770 | ) | |||||||||||||
Less:
Preferred Stock Dividends |
2,040 | 2,040 | 4,080 | 4,080 | |||||||||||||||
Net Income
(Loss) Available to Common Stockholders |
$ | 8,138 | $ | (21,773 | ) | $ | 15,948 | $ | (8,850 | ) | |||||||||
Earnings
(Loss) Per Share of Common Stock: (Note 9) |
|||||||||||||||||||
Income (loss)
from continuing operations basic and diluted |
$ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.17 | ) | |||||||||
Income from
discontinued operations basic and diluted |
| | | 0.06 | |||||||||||||||
Earnings
(loss) per share basic and diluted |
$ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.11 | ) | |||||||||
Dividends
declared per share of common stock (Note 8c) |
$ | 0.08 | $ | 0.05 | $ | 0.08 | $ | 0.05 |
For the Six Months Ended June 30, 2007 |
||||||
---|---|---|---|---|---|---|
(In Thousands, Except Per Share
Amounts) |
(Unaudited) | |||||
Preferred
Stock, Series A 8.50% Cumulative Redeemable Liquidation Preference $25.00 per share: |
||||||
Balance at
June 30, 2007 and December 31, 2006 (3,840 shares) |
$ | 38 | ||||
Common
Stock, Par Value $0.01: |
||||||
Balance at
December 31, 2006 (80,695 shares) |
807 | |||||
Issuance of
common stock (2,242 shares) |
22 | |||||
Balance at
June 30, 2007 (82,937 shares) |
829 | |||||
Additional
Paid-in Capital, in Excess of Par: |
||||||
Balance at
December 31, 2006 |
776,743 | |||||
Issuance of
common stock, net of expenses |
16,339 | |||||
Share-based
compensation expense |
226 | |||||
Balance at
June 30, 2007 |
793,308 | |||||
Accumulated Deficit: |
||||||
Balance at
December 31, 2006 |
(68,637 | ) | ||||
Net
income |
20,028 | |||||
Dividends on
common stock |
(6,484 | ) | ||||
Dividends on
preferred stock |
(4,080 | ) | ||||
Payments on
dividend equivalent rights (DERs) |
(76 | ) | ||||
Balance at
June 30, 2007 |
(59,249 | ) | ||||
Accumulated Other Comprehensive Loss: |
||||||
Balance at
December 31, 2006 |
(30,393 | ) | ||||
Unrealized
losses on investment securities, net |
(14,652 | ) | ||||
Unrealized
losses on Caps, net |
(83 | ) | ||||
Unrealized
gains on Swaps, net |
14,505 | |||||
Balance at
June 30, 2007 |
(30,623 | ) | ||||
Total
Stockholders Equity at June 30, 2007 |
$ | 704,303 |
Six Months Ended June 30, |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) |
2007 |
2006 |
|||||||||
(Unaudited) | |||||||||||
Cash Flows
From Operating Activities: |
|||||||||||
Net
income/(loss) |
$ | 20,028 | $ | (4,770 | ) | ||||||
Adjustments
to reconcile net income/(loss) to net cash provided by operating activities: |
|||||||||||
Losses on
sale of MBS |
116 | 25,245 | |||||||||
Gains on
sales of MBS |
(3 | ) | (2,096 | ) | |||||||
Gain on
termination of Swap |
(176 | ) | | ||||||||
Amortization
of purchase premiums on MBS, net of accretion of discounts |
16,504 | 15,992 | |||||||||
Amortization
of premium cost for Caps |
278 | 837 | |||||||||
(Increase)/decrease in interest receivable |
(3,170 | ) | 7,774 | ||||||||
Depreciation
and amortization on real estate, including discontinued operations |
205 | 358 | |||||||||
Increase in
other assets and other |
(313 | ) | (1,207 | ) | |||||||
Decrease in
accrued expenses and other liabilities |
(676 | ) | (1,544 | ) | |||||||
Increase/(decrease) in accrued interest payable |
3,147 | (30,836 | ) | ||||||||
Gain on sale
of real estate from discontinued operations |
| (6,660 | ) | ||||||||
Share-based
compensation expense |
226 | 340 | |||||||||
Negative
amortization on investment securities |
(176 | ) | (1,480 | ) | |||||||
Net cash
provided by operating activities |
35,990 | 1,953 | |||||||||
Cash Flows
From Investing Activities: |
|||||||||||
Principal
payments on MBS and other investment securities |
976,331 | 832,260 | |||||||||
Proceeds from
sale of MBS |
55,296 | 1,823,361 | |||||||||
Purchases of
MBS and other investment securities |
(1,718,186 | ) | (394,700 | ) | |||||||
Proceeds from
termination of Swap |
176 | | |||||||||
Proceeds from
sale of real estate |
| 15,958 | |||||||||
Net cash
(used)/provided by investing activities |
(686,383 | ) | 2,276,879 | ||||||||
Cash Flows
From Financing Activities: |
|||||||||||
Principal
payments made on repurchase agreements |
(18,275,825 | ) | (11,878,087 | ) | |||||||
Proceeds from
borrowings under repurchase agreements |
18,932,599 | 9,613,755 | |||||||||
Proceeds from
issuance of common stock |
16,361 | | |||||||||
Dividends
paid on preferred stock |
(4,080 | ) | (4,080 | ) | |||||||
Common stock
repurchased |
| (5,697 | ) | ||||||||
Dividends
paid on common stock and DERs |
(11,459 | ) | (8,070 | ) | |||||||
Principal
payments on and satisfaction of mortgages, including discontinued operations |
(74 | ) | (6,075 | ) | |||||||
Net cash
provided/(used) by financing activities |
657,522 | (2,288,254 | ) | ||||||||
Net
increase/(decrease) in cash and cash equivalents |
7,129 | (9,422 | ) | ||||||||
Cash and cash
equivalents at beginning of period |
47,200 | 64,301 | |||||||||
Cash and cash
equivalents at end of period |
$ | 54,329 | $ | 54,879 |
Three Months Ended June 30, |
Six Months Ended June 30, |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars In Thousands) |
2007 |
2006 |
2007 |
2006 |
|||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||
Net
income/(loss) before preferred stock dividends |
$ | 10,178 | $ | (19,733 | ) | $ | 20,028 | $ | (4,770 | ) | |||||||||||||
Other
Comprehensive Income: |
|||||||||||||||||||||||
Unrealized
loss on investment securities, net |
(27,152 | ) | (1,594 | ) | (14,652 | ) | (10,058 | ) | |||||||||||||||
Reclassification adjustment for net loss included in net income |
| 24,568 | | 24,568 | |||||||||||||||||||
Unrealized
(loss)/gain on Caps, net |
(32 | ) | 12 | (83 | ) | 357 | |||||||||||||||||
Unrealized
gain/(loss) on Swaps, net |
19,205 | (766 | ) | 14,505 | (769 | ) | |||||||||||||||||
Comprehensive
income before preferred stock dividends |
$ | 2,199 | $ | 2,487 | $ | 19,798 | $ | 9,328 | |||||||||||||||
Dividends on
preferred stock |
(2,040 | ) | (2,040 | ) | (4,080 | ) | (4,080 | ) | |||||||||||||||
Comprehensive
Income |
$ | 159 | $ | 447 | $ | 15,718 | $ | 5,248 |
June 30, 2007 |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) |
Amortized Cost (1) |
Carrying Value/ Estimated Fair Value |
Net Unrealized (Loss)/Gain |
||||||||||||
Agency
MBS: |
|||||||||||||||
Fannie Mae
Certificates |
$ | 5,667,528 | $ | 5,631,068 | $ | (36,460 | ) | ||||||||
Ginnie Mae
Certificates |
225,474 | 223,605 | (1,869 | ) | |||||||||||
Freddie Mac
Certificates |
230,882 | 229,425 | (1,457 | ) | |||||||||||
Non-Agency
MBS (2): |
|||||||||||||||
AAA |
905,751 | 898,495 | (7,256 | ) | |||||||||||
AA |
2,014 | 2,053 | 39 | ||||||||||||
Single A and
A- |
1,398 | 1,436 | 38 | ||||||||||||
BBB and
BBB- |
1,704 | 1,736 | 32 | ||||||||||||
BB and
below |
2,112 | 2,223 | 111 | ||||||||||||
Non-rated |
3,004 | 4,203 | 1,199 | ||||||||||||
Total
MBS |
$ | 7,039,867 | $ | 6,994,244 | $ | (45,623 | ) | ||||||||
Other
investments: |
|||||||||||||||
Non-rated
securities |
1,914 | 1,890 | (24 | ) | |||||||||||
Total
Investment Securities |
$ | 7,041,781 | $ | 6,996,134 | $ | (45,647 | ) | ||||||||
December 31, 2006 |
|||||||||||||||
Amortized Cost (1) |
Carrying Value/ Estimated Fair Value |
Net Unrealized (Loss)/Gain |
|||||||||||||
Agency
MBS: |
|||||||||||||||
Fannie Mae
Certificates |
$ | 5,506,188 | $ | 5,482,112 | $ | (24,076 | ) | ||||||||
Ginnie Mae
Certificates |
307,472 | 304,826 | (2,646 | ) | |||||||||||
Freddie Mac
Certificates |
301,016 | 299,505 | (1,511 | ) | |||||||||||
Non-Agency
MBS (2): |
|||||||||||||||
AAA |
237,805 | 234,275 | (3,530 | ) | |||||||||||
AA |
2,253 | 2,218 | (35 | ) | |||||||||||
Single A and
A- |
3,029 | 3,014 | (15 | ) | |||||||||||
BBB and
BBB- |
9,007 | 8,972 | (35 | ) | |||||||||||
BB and
below |
2,140 | 2,255 | 115 | ||||||||||||
Non-rated |
2,753 | 3,491 | 738 | ||||||||||||
Total
MBS |
$ | 6,371,663 | $ | 6,340,668 | $ | (30,995 | ) |
(In Thousands) |
June 30, 2007 |
December 31, 2006 |
||||||||
Principal/notional balance |
$ | 6,938,720 | $ | 6,257,047 | ||||||
Principal
payment receivable |
13,726 | 15,819 | ||||||||
Unamortized
premium |
92,310 | 98,838 | ||||||||
Unaccreted
discount |
(2,975 | ) | (41 | ) | ||||||
Gross
unrealized gains |
2,693 | 3,193 | ||||||||
Gross
unrealized (losses) |
(48,340 | ) | (34,188 | ) | ||||||
Carrying
value/estimated fair value |
$ | 6,996,134 | $ | 6,340,668 |
|
Unrealized Loss Position for: |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Less than 12 Months |
12 Months or more |
Total |
|||||||||||||||||||||||||
(In Thousands) |
Estimated Fair Value |
Unrealized losses |
Estimated Fair Value |
Unrealized losses |
Estimated Fair Value |
Unrealized losses |
|||||||||||||||||||||
Agency
MBS: |
|||||||||||||||||||||||||||
Fannie
Mae |
$ | 4,239,192 | $ | 22,110 | $ | 871,495 | $ | 15,314 | $ | 5,110,687 | $ | 37,424 | |||||||||||||||
Ginnie
Mae |
20,845 | 56 | 158,961 | 1,942 | 179,806 | 1,998 | |||||||||||||||||||||
Freddie
Mac |
131,732 | 700 | 73,414 | 819 | 205,146 | 1,519 | |||||||||||||||||||||
AAA rated
MBS |
457,060 | 3,786 | 184,361 | 3,470 | 641,421 | 7,256 | |||||||||||||||||||||
Non-rated
MBS |
77 | 118 | | | 77 | 118 | |||||||||||||||||||||
Non-rated
other securities |
1,890 | 25 | | | 1,890 | 25 | |||||||||||||||||||||
Total
temporarily impaired securities |
$ | 4,850,796 | $ | 26,795 | $ | 1,288,231 | $ | 21,545 | $ | 6,139,027 | $ | 48,340 |
Three Months Ended June 30, |
Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) |
2007 |
2006 |
2007 |
2006 |
|||||||||||||||
Coupon
interest on MBS |
$ | 98,501 | $ | 53,514 | $ | 191,186 | $ | 114,966 | |||||||||||
Premium
amortization |
(8,215 | ) | (7,869 | ) | (16,560 | ) | (16,111 | ) | |||||||||||
Discount
accretion |
55 | | 56 | 119 | |||||||||||||||
Interest
income on MBS, net |
$ | 90,341 | $ | 45,645 | $ | 174,682 | $ | 98,974 |
June 30, 2007 |
December 31, 2006 |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) Months to Coupon Reset or Contractual Payment |
Fair Value (1) |
% of Total |
WAC (2) |
Fair Value (1) |
% of Total |
WAC (2) |
|||||||||||||||||||||
Within 30
Days |
$ | 672,585 | 9.6 | % | 6.67 | % | $ | 972,867 | 15.4 | % | 6.32 | % | |||||||||||||||
30 to 90
Days |
212,349 | 3.0 | 6.04 | 71,657 | 1.1 | 6.03 | |||||||||||||||||||||
Three to 12
Months |
556,029 | 8.0 | 6.12 | 759,762 | 12.0 | 5.91 | |||||||||||||||||||||
12 to 24
Months |
99,678 | 1.4 | 5.09 | 142,191 | 2.3 | 4.86 | |||||||||||||||||||||
24 to 36
Months |
429,570 | 6.2 | 5.05 | 318,940 | 5.0 | 4.93 | |||||||||||||||||||||
36 to 60
Months |
2,847,017 | 40.8 | 6.19 | 3,220,190 | 50.9 | 6.16 | |||||||||||||||||||||
Over 60
Months |
2,163,290 | 31.0 | 5.98 | 839,242 | 13.3 | 6.16 | |||||||||||||||||||||
Total |
$ | 6,980,518 | 100.0 | % | 6.08 | % | $ | 6,324,849 | 100.0 | % | 6.06 | % |
MBS Pledged Under Repurchase Agreements |
MBS Pledged Under Swaps |
|||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBS Pledged |
Estimated Fair Value/ Carrying Value |
Amortized Cost |
Estimated Fair Value/ Carrying Value |
Amortized Cost |
Total Fair Value of MBS Pledged |
|||||||||||||||||||
(In Thousands) |
||||||||||||||||||||||||
Fannie
Mae |
$ | 5,426,775 | $ | 5,461,430 | $ | 2,941 | $ | 2,932 | $ | 5,429,716 | ||||||||||||||
Freddie
Mac |
210,709 | 212,138 | | | 210,709 | |||||||||||||||||||
Ginnie
Mae |
186,405 | 188,052 | | | 186,405 | |||||||||||||||||||
AAA
Rated |
886,776 | 893,955 | | | 886,776 | |||||||||||||||||||
$ | 6,710,665 | $ | 6,755,575 | $ | 2,941 | $ | 2,932 | $ | 6,713,606 |
For the Three Months Ended June 30, |
For the Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
2006 |
2007 |
2006 |
||||||||||||||||
(In Thousands) |
|||||||||||||||||||
Accumulated
Other Comprehensive Income/(Loss) from Hedging Instruments: |
|||||||||||||||||||
Balance at
beginning of period |
$ | (4,149 | ) | $ | 3,859 | $ | 602 | $ | 3,517 | ||||||||||
Unrealized
(losses)/gains on Hedging Instruments, net |
19,173 | (754 | ) | 14,422 | (412 | ) | |||||||||||||
Balance at
the end of period |
$ | 15,024 | $ | 3,105 | $ | 15,024 | $ | 3,105 |
Notional Amount |
Weighted Average Swap Rate |
Estimated Fair Value/Carrying Value |
Gross Unrealized Gains |
Gross Unrealized (Losses) |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(Dollars in Thousands) |
||||||||||||||||||||||
Currently
Active |
$ | 2,954,102 | 5.02 | % | $ | 15,024 | $ | 15,760 | $ | (736 | ) |
For the Three Months Ended June 30, |
For the Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
2006 |
2007 |
2006 |
||||||||||||||||
(In Thousands) |
|||||||||||||||||||
Premium
amortization on Caps |
$ | 97 | $ | 453 | $ | 278 | $ | 837 | |||||||||||
Payments
earned on Caps |
(131 | ) | (812 | ) | (327 | ) | (1,388 | ) | |||||||||||
Net decrease
to interest expense related to Caps |
$ | (34 | ) | $ | (359 | ) | $ | (49 | ) | $ | (551 | ) |
June 30, 2007 |
December 31, 2006 |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) |
||||||||||
Real Estate
Assets and Liabilities: |
||||||||||
Land and
buildings |
$ | 11,693 | $ | 11,789 | ||||||
Cash |
397 | 126 | ||||||||
Prepaid and
other assets |
158 | 146 | ||||||||
Mortgage
payable (1) |
(9,532 | ) | (9,606 | ) | ||||||
Accrued
interest and other payables |
(191 | ) | (122 | ) | ||||||
Real estate
assets, net |
$ | 2,525 | $ | 2,333 |
(1) |
The mortgage collateralized by Lealand Place is non-recourse, subject to customary non-recourse exceptions, which generally means that the lenders final source of repayment in the event of default is foreclosure of the property securing such loan. At June 30, 2007 and December 31, 2006, the mortgage had a fixed interest rate of 6.87%, contractually matures on February 1, 2011 and is subject to a penalty if prepaid. In January 2005, the Company loaned Lealand Place $150,000 to fund operations, of which $140,000 and $150,000 remained outstanding at June 30, 2007 and December 31, 2006, respectively. This loan and the related interest are eliminated in consolidation. |
Three Months Ended June 30, |
Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
2006 |
2007 |
2006 |
||||||||||||||||
(In Thousands) |
|||||||||||||||||||
Revenue from
operations of real estate |
$ | 413 | $ | 388 | $ | 826 | $ | 770 | |||||||||||
Interest
expense for mortgages on real estate |
(164 | ) | (163 | ) | (331 | ) | (336 | ) | |||||||||||
Other real
estate operations expense |
(265 | ) | (237 | ) | (518 | ) | (482 | ) | |||||||||||
Loss from
Real Estate Operations, net |
$ | (16 | ) | $ | (12 | ) | $ | (23 | ) | $ | (48 | ) |
June 30, 2007 |
December 31, 2006 |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance |
Weighted Average Contractual Rate |
Balance |
Weighted Average Contractual Rate |
||||||||||||||||
(In Thousands) |
|||||||||||||||||||
Within 30
days |
$ | 3,644,300 | 5.30 | % | $ | 2,848,300 | 5.30 | % | |||||||||||
30 days to 3
months |
907,300 | 5.32 | 1,017,900 | 5.10 | |||||||||||||||
Over 3 months
to 6 months |
117,400 | 5.29 | 37,200 | 3.98 | |||||||||||||||
Over 6 months
to 12 months |
364,900 | 5.26 | | | |||||||||||||||
Over 12
months to 24 months |
1,077,585 | 5.12 | 1,505,311 | 5.16 | |||||||||||||||
Over 24
months to 36 months |
268,000 | 5.44 | 314,000 | 5.33 | |||||||||||||||
$ | 6,379,485 | 5.28 | % | $ | 5,722,711 | 5.22 | % |
Collateral Pledged |
Term to Maturity of Repurchase Agreement |
|||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBS Pledged |
Fair Value of MBS Pledged as Collateral |
Up to 30 Days |
30 to 90 Days |
Over 90 Days |
Total |
|||||||||||||||||||
(In Thousands) |
||||||||||||||||||||||||
Fannie
Mae |
$ | 5,426,775 | $ | 2,820,900 | $ | 638,400 | $ | 1,718,555 | $ | 5,177,855 | ||||||||||||||
Freddie
Mac |
210,709 | 41,400 | | 109,330 | 150,730 | |||||||||||||||||||
Ginnie
Mae |
186,405 | 83,900 | 107,900 | | 191,800 | |||||||||||||||||||
AAA
Rated |
886,776 | 698,100 | 161,000 | | 859,100 | |||||||||||||||||||
$ | 6,710,665 | $ | 3,644,300 | $ | 907,300 | $ | 1,827,885 | $ | 6,379,485 |
Declaration Date |
Record Date |
Payment Date |
Dividend Per share |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
||||||||||||||
May 21,
2007 |
June 1,
2007 |
June 29,
2007 |
$ | 0.53125 | ||||||||||
February 16,
2007 |
March 1,
2007 |
March 30,
2007 |
0.53125 | |||||||||||
2006 |
||||||||||||||
February 17,
2006 |
March 1,
2006 |
March 31,
2006 |
$ | 0.53125 | ||||||||||
May 19,
2006 |
June 1,
2006 |
June 30,
2006 |
0.53125 | |||||||||||
August 21,
2006 |
September 1,
2006 |
September 29,
2006 |
0.53125 | |||||||||||
November 20,
2006 |
December 1,
2006 |
December 29,
2006 |
0.53125 |
Declaration Date |
Record Date |
Payment Date |
Dividend Per share |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
||||||||||||||
April 3,
2007 |
April 13,
2007 |
April 30,
2007 |
$ | 0.080 | ||||||||||
2006 |
||||||||||||||
April 3,
2006 |
April 17,
2006 |
April 28,
2006 |
$ | 0.050 | ||||||||||
July 5,
2006 |
July 17,
2006 |
July 31,
2006 |
0.050 | |||||||||||
October 2,
2006 |
October 13,
2006 |
October 31,
2006 |
0.050 | |||||||||||
December 14,
2006 |
December 29,
2006 |
January 31,
2007 |
0.060 |
Three Months Ended June 30, |
Six Months Ended June 30, |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2007 |
2006 |
2007 |
2006 |
||||||||||||||||
(In Thousands, Except Per Share
Amounts) |
|||||||||||||||||||
Numerator: |
|||||||||||||||||||
Net
income/(loss) allocable to common stockholders: |
|||||||||||||||||||
Net
income/(loss) |
$ | 10,178 | $ | (19,733 | ) | $ | 20,028 | $ | (4,770 | ) | |||||||||
Net
income/(loss) from discontinued operations |
| (56 | ) | | 4,572 | ||||||||||||||
Net
income/(loss) from continuing operations |
10,178 | (19,677 | ) | 20,028 | (9,342 | ) | |||||||||||||
Dividends
declared on preferred stock |
(2,040 | ) | (2,040 | ) | (4,080 | ) | (4,080 | ) | |||||||||||
Net
income/(loss) available to common stockholders from continuing operations for basic and diluted earnings per share |
8,138 | (21,717 | ) | 15,948 | (13,422 | ) | |||||||||||||
Net
income/(loss) from discontinued operations |
| (56 | ) | | 4,572 | ||||||||||||||
Net
income/(loss) available to common stockholders from continuing operations |
$ | 8,138 | $ | (21,773 | ) | $ | 15,948 | $ | (8,850 | ) | |||||||||
Denominator: |
|||||||||||||||||||
Weighted
average common shares for basic earnings per share |
81,874 | 79,254 | 81,321 | 79,600 | |||||||||||||||
Weighted
average effect of dilutive employee stock options |
34 | 26 | 35 | 24 | |||||||||||||||
Denominator
for diluted earnings per share (1) |
81,908 | 79,280 | 81,356 | 79,624 | |||||||||||||||
Basic and
diluted net earnings (loss) per share: |
|||||||||||||||||||
Continuing
operations |
$ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.17 | ) | |||||||||
Discontinued
operations |
| | | 0.06 | |||||||||||||||
Total Basic
and Diluted earnings per share |
$ | 0.10 | $ | (0.27 | ) | $ | 0.20 | $ | (0.11 | ) |
June 30, 2007 |
December 31, 2006 |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|
(In Thousands) |
||||||||||
Available-for-sale Investment Securities: |
||||||||||
Unrealized
gains |
$ | 2,693 | $ | 3,193 | ||||||
Unrealized
(losses) |
(48,340 | ) | (34,188 | ) | ||||||
(45,647 | ) | (30,995 | ) | |||||||
Hedging
Instruments: |
||||||||||
Unrealized
(losses) gains on Swaps, net |
15,024 | 519 | ||||||||
Unrealized
gains on Caps |
| 83 | ||||||||
15,024 | 602 | |||||||||
Accumulated
other comprehensive (loss) |
$ | (30,623 | ) | $ | (30,393 | ) |
(In Thousands) |
June 30, 2007 |
December 31, 2006 |
||||||||
Directors deferred |
$ | 573 | $ | 594 | ||||||
Officers deferred |
267 | 277 | ||||||||
$ | 840 | $ | 871 |
Quarter Ended |
Stated Coupon |
Net Premium Amortization |
Cost of Delay for Principal Receivable |
Net Yield |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
June 30,
2007 |
6.09 | % | (0.50 | )% | (0.19 | )% | 5.40 | % | ||||||||||
March 31,
2007 |
6.11 | (0.55 | ) | (0.21 | ) | 5.35 | ||||||||||||
December 31,
2006 |
6.04 | (0.64 | ) | (0.22 | ) | 5.18 | ||||||||||||
September 30,
2006 |
5.74 | (0.70 | ) | (0.21 | ) | 4.83 | ||||||||||||
June 30,
2006 |
5.16 | (0.76 | ) | (0.19 | ) | 4.21 |
For the Quarter Ended | |
Average Amortized Cost of MBS (1) |
|
Interest Income on MBS |
|
Average Cash and Cash Equivalents |
|
Total Interest Income |
|
Yield on Average Interest- Earning Assets |
|
Average Balance of Repurchase Agreements |
|
Interest Expense |
|
Average Cost of Funds |
|
Net Interest Income |
||||||||||||||||||||
(Dollars in Thousands) |
||||||||||||||||||||||||||||||||||||||
June 30,
2007 |
$ | 6,696,979 | $ | 90,341 | $ | 51,160 | $ | 91,026 | 5.39 | % | $ | 6,051,209 | $ | 78,348 | 5.19 | % | $ | 12,678 | ||||||||||||||||||||
March 31,
2007 |
6,300,491 | 84,341 | 34,443 | 84,795 | 5.35 | 5,647,700 | 72,260 | 5.19 | 12,535 | |||||||||||||||||||||||||||||
December 31,
2006 |
5,469,461 | 70,836 | 52,412 | 71,480 | 5.18 | 4,833,897 | 62,114 | 5.10 | 9,366 | |||||||||||||||||||||||||||||
September 30,
2006 |
3,899,728 | 47,061 | 39,240 | 47,532 | 4.83 | 3,245,774 | 38,205 | 4.67 | 9,327 | |||||||||||||||||||||||||||||
June 30,
2006 |
4,337,887 | 45,645 | 47,266 | 46,185 | 4.21 | 3,672,905 | 38,818 | 4.24 | 7,367 |
For the Quarter Ended |
Net Interest Spread |
Net Interest Margin |
||||||||
---|---|---|---|---|---|---|---|---|---|---|
June 30,
2007 |
0.20 | % | 0.74 | % | ||||||
March 31,
2007 |
0.16 | 0.73 | ||||||||
December 31,
2006 |
0.08 | 0.72 | ||||||||
September 30,
2006 |
0.16 | 0.98 | ||||||||
June 30,
2006 |
(0.03 | ) | 0.66 |
CPR |
Estimated Months to Asset Reset |
Estimated Months to Liabilities Reset (1) |
Repricing Gap in Months |
|||||||||
0%(2) |
49 |
18 |
31 |
|||||||||
15% |
33 |
18 |
15 |
|||||||||
25% |
25 |
18 |
7 |
Gap Table |
|||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
At June 30, 2007 |
|||||||||||||||||||||||||||
(In Thousands) |
Less than 3 Months |
Three Months to One Year |
One Year to Two Years |
Two Years to Year Three |
Beyond Three Years |
Total |
|||||||||||||||||||||
Interest-Earning Assets: |
|||||||||||||||||||||||||||
ARM-MBS |
$ | 1,321,234 | $ | 1,516,794 | $ | 1,093,573 | $ | 945,336 | $ | 2,117,307 | $ | 6,994,244 | |||||||||||||||
Income
notes |
| | | | 1,890 | 1,890 | |||||||||||||||||||||
Cash |
54,329 | | | | | 54,329 | |||||||||||||||||||||
Total
interest-earning assets |
$ | 1,375,563 | $ | 1,516,794 | $ | 1,093,573 | $ | 945,336 | $ | 2,119,197 | $ | 7,050,463 | |||||||||||||||
Interest-Bearing Liabilities: |
|||||||||||||||||||||||||||
Repurchase
agreements |
$ | 4,551,600 | $ | 482,300 | $ | 1,077,585 | $ | 268,000 | $ | | $ | 6,379,485 | |||||||||||||||
Mortgage
loans |
| | | | 9,532 | 9,532 | |||||||||||||||||||||
Total
interest-bearing liabilities |
$ | 4,551,600 | $ | 482,300 | $ | 1,077,585 | $ | 268,000 | $ | 9,532 | $ | 6,389,017 | |||||||||||||||
Gap before
Hedging Instruments |
$ | (3,176,037 | ) | $ | 1,034,494 | $ | 15,988 | $ | 677,336 | $ | 2,109,665 | $ | 661,446 | ||||||||||||||
Swaps,
notional amount |
2,954,102 | (50,000 | ) | | (662,480 | ) | (2,241,622 | ) | | ||||||||||||||||||
Cumulative
Difference Between Interest-Earnings Assets and Interest Bearing Liabilities after Hedging Instruments |
$ | (221,935 | ) | $ | 762,559 | $ | 778,547 | $ | 793,403 | $ | 661,446 | $ | |
Change in Interest Rates |
Percentage Change in Net Interest Income |
Percentage Change in Portfolio Value |
||||||||
---|---|---|---|---|---|---|---|---|---|---|
+1.00% |
(18.17%) | (1.34%) | ||||||||
+0.50% |
(8.22%) | (0.56%) | ||||||||
0.50% |
5.27% | 0.35% | ||||||||
1.00% |
8.51% | 0.48% |
Name of Class III Nominees |
For |
Withheld |
||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Stewart
Zimmerman |
69,338,223 | 4,130,176 | ||||||||||||||||
James A.
Brodsky |
72,558,988 | 909,411 | ||||||||||||||||
Alan L.
Gosule |
69,969,151 | 3,499,248 |
Date: July 31,
2007 |
MFA
MORTGAGE INVESTMENTS, INC. |
|
By:/s/ Stewart Zimmerman Stewart Zimmerman President and Chief Executive Officer |
||
By:/s/ William S. Gorin William S. Gorin Executive Vice President Chief Financial Officer (Principal Financial Officer) |
||
By:/s/ Teresa D. Covello Teresa D. Covello Senior Vice President Chief Accounting Officer and Treasurer (Principal Accounting Officer) |