MARYLAND
|
26-0630461
|
(State or other jurisdiction of incorporation of organization)
|
(I.R.S. Employer Identification Number)
|
1211 Avenue of the Americas, Suite 2902
|
|
New York, New York
|
10036
|
(Address of Principal Executive Offices)
|
(Zip Code)
|
|
●
|
our business and investment strategy;
|
|
●
|
our ability to maintain existing financing arrangements, obtain future financing arrangements and the terms of such arrangements, particularly in light of the Restatement and other matters discussed above under “Explanatory Note”;
|
|
●
|
our ability to timely file our periodic reports with the SEC
|
|
●
|
general volatility of the securities markets in which we invest;
|
|
●
|
the impact of and changes to various government programs;
|
|
●
|
our expected investments;
|
|
●
|
changes in the value of our investments;
|
|
●
|
interest rate mismatches between our investments and our borrowings used to fund such purchases;
|
|
●
|
changes in interest rates and mortgage prepayment rates;
|
|
●
|
effects of interest rate caps on our adjustable-rate investments;
|
|
●
|
rates of default or decreased recovery rates on our investments;
|
|
●
|
prepayments of the mortgage and other loans underlying our mortgage-backed or other asset-backed securities;
|
|
●
|
the degree to which our hedging strategies may or may not protect us from interest rate volatility;
|
|
●
|
impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters;
|
|
●
|
availability of investment opportunities in real estate-related and other securities;
|
|
●
|
availability of qualified personnel;
|
|
●
|
estimates relating to our ability to make distributions to our stockholders in the future;
|
|
●
|
our understanding of our competition;
|
|
●
|
market trends in our industry, interest rates, the debt securities markets or the general economy;
|
|
●
|
our ability to maintain our classification as a REIT for federal income tax purposes; and
|
|
●
|
our ability to maintain our exemption from registration under the Investment Company Act of 1940.
|
Asset Class
|
Principal Investments
|
||
RMBS
|
● |
Non-Agency RMBS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated and non-rated classes.
|
|
● |
Agency RMBS.
|
||
Residential Mortgage Loans
|
● |
Prime mortgage loans, which are mortgage loans that conform to the underwriting guidelines of Fannie Mae and Freddie Mac, which we refer to as Agency Guidelines; and jumbo prime mortgage loans, which are mortgage loans that conform to the Agency Guidelines except as to loan size.
|
|
● |
Alt-A mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than the documentation standards applied by certain other first lien mortgage loan purchase programs, such as the Agency Guidelines, but have one or more compensating factors such as a borrower with a strong credit or mortgage history or significant assets.
|
||
● | FHA/VA insured loans, which are mortgage loans that comply to the underwriting guidelines of the Federal Housing Administration (FHA) or Department of Veteran Affairs (VA) and which are guaranteed by the FHA or VA, respectively. | ||
● | Mortgage servicing rights associated with residential mortgage loans, which reflect the value of the future stream of expected cash flows from the contractual rights to service a given pool of residential mortgage loans. |
Commercial Mortgage Loans
|
● |
First or second lien loans secured by multifamily properties, which are residential rental properties consisting of five or more dwelling units; and mixed residential or other commercial properties; retail properties; office properties; or industrial properties, which may or may not conform to the Agency Guidelines.
|
|
Other Asset-Backed Securities | ● |
CMBS.
|
|
● |
Debt and equity tranches of CDOs.
|
||
● |
Consumer and non-consumer ABS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated and non-rated classes.
|
|
●
|
No investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes;
|
|
●
|
No investment shall be made that would cause us to be regulated as an investment company under the 1940 Act;
|
|
●
|
With the exception of real estate and housing, no single industry shall represent greater than 20% of the securities or aggregate risk exposure in our portfolio; and
|
|
●
|
Investments in non-rated or deeply subordinated ABS or other securities that are non-qualifying assets for purposes of the 75% REIT asset test will be limited to an amount not to exceed 50% of our stockholders’ equity.
|
|
●
|
Repurchase Agreements. We have financed certain of our assets through the use of repurchase agreements. We anticipate that repurchase agreements will be one of the sources we will use to achieve our desired amount of leverage for our residential real estate assets. We maintain formal relationships with multiple counterparties to obtain financing on favorable terms.
|
|
●
|
Warehouse Facilities. We have utilized and may in the future utilize credit facilities for capital needed to fund our assets. We intend to maintain formal relationships with multiple counterparties to maintain warehouse lines on favorable terms.
|
|
●
|
Securitization. We have acquired and may in the future acquire residential mortgage loans for our portfolio with the intention of securitizing them and retaining a portion of the securitized mortgage loans in our portfolio. To facilitate the securitization or financing of our loans, we generally create subordinate certificates, providing a specified amount of credit enhancement, which we intend to retain in our portfolio.
|
|
●
|
Re-REMICs. We have acquired and may in the future acquire Non-Agency RMBS for our portfolio with the intention of re-securitizing them and retaining a portion of the re-securitized Non-Agency RMBS in our portfolio, typically the subordinate certificates. To facilitate the re-securitization, we transfer Non-Agency RMBS to a special purpose entity that has been formed as a securitization vehicle that will issue multiple classes of securities secured by and payable from cash flows on the underlying Non-Agency RMBS.
|
|
●
|
Asset-Backed Commercial Paper. We may finance certain of our assets using asset-backed commercial paper, or ABCP, conduits, which are bankruptcy-remote special purpose vehicles that issue commercial paper and the proceeds of which are used to fund assets, either through repurchase or secured lending programs. We may utilize ABCP conduits of third parties or create our own conduit.
|
|
●
|
Term Financing CDOs. We may finance certain of our assets using term financing strategies, including CDOs and other match-funded financing structures. CDOs are multiple class debt securities, or bonds, secured by pools of assets, such as mortgage-backed securities and corporate debt. Like typical securitization structures, in a CDO:
|
|
o
|
the assets are pledged to a trustee for the benefit of the holders of the bonds;
|
|
o
|
one or more classes of the bonds are rated by one or more rating agencies; and
|
|
o
|
one or more classes of the bonds are marketed to a wide variety of fixed-income investors which enables the CDO sponsor to achieve a relatively low cost of long-term financing.
|
|
●
|
puts and calls on securities or indices of securities;
|
|
●
|
Eurodollar futures contracts and options on such contracts;
|
|
●
|
interest rate caps, swaps and swaptions;
|
|
●
|
U.S. Treasury securities and options on U.S. Treasury securities; and
|
|
●
|
other similar transactions.
|
|
●
|
general market conditions;
|
|
●
|
the market’s perception of our growth potential;
|
|
●
|
our current and potential future earnings and cash distributions;
|
|
●
|
the market price of the shares of our capital stock; and
|
|
●
|
the market’s view of the quality of our assets.
|
|
●
|
the issuer issues securities the payment of which depends primarily on the cash flow from “eligible assets” that by their terms convert into cash within a finite time period;
|
|
●
|
the securities sold are fixed income securities rated investment grade by at least one rating agency (fixed income securities which are unrated or rated below investment grade may be sold to institutional accredited investors and any securities may be sold to “qualified institutional buyers” and to persons involved in the organization or operation of the issuer);
|
|
●
|
the issuer acquires and disposes of eligible assets (1) only in accordance with the agreements pursuant to which the securities are issued, (2) so that the acquisition or disposition does not result in a downgrading of the issuer’s fixed income securities and (3) the eligible assets are not acquired or disposed of for the primary purpose of recognizing gains or decreasing losses resulting from market value changes; and
|
|
●
|
unless the issuer is issuing only commercial paper, the issuer appoints an independent trustee, takes reasonable steps to transfer to the trustee an ownership or perfected security interest in the eligible assets, and meets rating agency requirements for commingling of cash flows.
|
|
●
|
incur or guarantee additional debt;
|
|
●
|
make certain investments or acquisitions;
|
|
●
|
make distributions on or repurchase or redeem capital stock;
|
|
●
|
engage in mergers or consolidations;
|
|
●
|
finance mortgage loans with certain attributes;
|
|
●
|
reduce liquidity below certain levels;
|
|
●
|
grant liens;
|
|
●
|
incur operating losses for more than a specified period;
|
|
●
|
enter into transactions with affiliates; and
|
|
●
|
hold mortgage loans for longer than established time periods.
|
|
●
|
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
|
|
●
|
available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought;
|
|
●
|
the duration of the hedging may not match the duration of the related liability;
|
|
●
|
the amount of income that a REIT may earn from hedging transactions (other than through TRSs) to offset interest rate losses is limited by federal tax provisions governing REITs;
|
|
●
|
the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
|
●
|
the party owing money in the hedging transaction may default on its obligation to pay.
|
|
●
|
available interest rate hedging may not correspond directly with the interest rate risk for which protection is sought;
|
|
●
|
the duration of the hedge may not match the duration of the related liability;
|
|
●
|
as explained in further detail in the risk factor immediately below, the party owing money in the hedging transaction may default on its obligation to pay;
|
|
●
|
the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
|
●
|
the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments, or “mark-to-market losses,” would reduce our stockholders’ equity.
|
|
●
|
acts of God, including earthquakes, hurricanes, floods and other natural disasters, that may result in uninsured losses;
|
|
●
|
acts of war or terrorism, including the consequences of terrorist attacks, such as those that occurred on September 11, 2001;
|
|
●
|
adverse changes in national and local economic and market conditions;
|
|
●
|
changes in governmental laws and regulations, fiscal policies and zoning ordinances and the related costs of compliance with laws and regulations, fiscal policies and ordinances;
|
|
●
|
costs of remediation and liabilities associated with environmental conditions such as indoor mold; and
|
|
●
|
the potential for uninsured or under-insured property losses.
|
|
●
|
the ability of the homeowner to rescind, or cancel, the loan;
|
|
●
|
the inability of the holder of the loan to collect all of the principal and interest otherwise due on the loan;
|
|
●
|
the right of the homeowner to collect a refund of amounts previously paid (which may include amounts financed by the loan), or to set off those amounts against his or her future loan obligations; and
|
|
●
|
the liability of the servicer and the owner of the loan for actual damages, statutory damages and punitive damages, civil or criminal penalties, costs and attorneys’ fees.
|
|
●
|
actual or anticipated variations in our quarterly operating results or business prospects;
|
|
●
|
changes in our earnings estimates or publication of research reports about us or the real estate industry;
|
|
●
|
an inability to meet or exceed securities analysts' estimates or expectations;
|
|
●
|
increases in market interest rates;
|
|
●
|
hedging or arbitrage trading activity in our shares of common stock;
|
|
●
|
capital commitments;
|
|
●
|
changes in market valuations of similar companies;
|
|
●
|
changes in valuations of our assets;
|
|
●
|
adverse market reaction to any increased indebtedness we incur in the future;
|
|
●
|
additions or departures of management personnel;
|
|
●
|
actions by institutional shareholders;
|
|
●
|
speculation in the press or investment community;
|
|
●
|
changes in our distribution policy;
|
|
●
|
regulatory changes affecting our industry generally or our business;
|
|
●
|
general market and economic conditions; and
|
|
●
|
future sales of our shares of common stock or securities convertible into, or exchangeable or exercisable for, our shares of common stock.
|
|
●
|
the profitability of the investments of net proceeds from our equity raises;
|
|
●
|
our ability to make profitable investments;
|
|
●
|
margin calls or other expenses that reduce our cash flow;
|
|
●
|
defaults in our asset portfolio or decreases in the value of our portfolio; and
|
|
●
|
the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates.
|
|
●
|
There are ownership limits and restrictions on transferability and ownership in our charter. To qualify as a REIT for each taxable year after 2007, not more than 50% of the value of our outstanding stock may be owned, directly or constructively, by five or fewer individuals during the second half of any calendar year. In addition, our shares must be beneficially owned by 100 or more persons during at least 335 days of a taxable year of 12 months or during a proportionate part of a shorter taxable year for each taxable year after 2007. To assist us in satisfying these tests, our charter generally prohibits any person from beneficially or constructively owning more than 9.8% in value or number of shares, whichever is more restrictive, of any class or series of our outstanding capital stock. These restrictions may discourage a tender offer or other transactions or a change in the composition of our board of directors or control that might involve a premium price for our shares or otherwise be in the best interests of our stockholders and any shares issued or transferred in violation of such restrictions being automatically transferred to a trust for a charitable beneficiary, thereby resulting in a forfeiture of the additional shares.
|
|
●
|
Our charter permits our board of directors to issue stock with terms that may discourage a third party from acquiring us. Our charter permits our board of directors to amend the charter without stockholder approval to increase the total number of authorized shares of stock or the number of shares of any class or series and to issue common or preferred stock, having preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications, or terms or conditions of redemption as determined by our board. Thus, our board could authorize the issuance of stock with terms and conditions that could have the effect of discouraging a takeover or other transaction in which holders of some or a majority of our shares might receive a premium for their shares over the then-prevailing market price of our shares.
|
|
●
|
Maryland Control Share Acquisition Act. Maryland law provides that ‘‘control shares’’ of a corporation acquired in a ‘‘control share acquisition’’ will have no voting rights except to the extent approved by a vote of two-thirds of the votes eligible to be cast on the matter under the Maryland Control Share Acquisition Act. ‘‘Control shares’’ means voting shares of stock that, if aggregated with all other shares of stock owned by the acquirer or in respect of which the acquirer is able to exercise or direct the exercise of voting power (except solely by a revocable proxy), would entitle the acquirer to exercise voting power in electing directors within one of the following ranges of voting power: one-tenth or more but less than one-third, one-third or more but less than a majority, or a majority or more of all voting power. A ‘‘control share acquisition’’ means the acquisition of control shares, subject to certain exceptions.
|
|
●
|
Business Combinations. Under Maryland law, ‘‘business combinations’’ between a Maryland corporation and an interested stockholder or an affiliate of an interested stockholder are prohibited for five years after the most recent date on which the interested stockholder becomes an interested stockholder. These business combinations include a merger, consolidation, share exchange or, in circumstances specified in the statute, an asset transfer or issuance or reclassification of equity securities. An interested stockholder is defined as:
|
|
o
|
any person who beneficially owns 10% or more of the voting power of the corporation’s shares; or
|
|
o
|
an affiliate or associate of the corporation who, at any time within the two-year period before the date in question, was the beneficial owner of 10% or more of the voting power of the then outstanding voting stock of the corporation.
|
|
o
|
80% of the votes entitled to be cast by holders of outstanding shares of voting stock of the corporation; and
|
|
o
|
two-thirds of the votes entitled to be cast by holders of voting stock of the corporation, other than shares held by the interested stockholder with whom or with whose affiliate the business combination is to be effected or held by an affiliate or associate of the interested stockholder.
|
|
●
|
Staggered board. Our board of directors is divided into three classes of directors. The current terms of the directors expire in 2012, 2013 and 2014 respectively. Directors of each class are chosen for three-year terms upon the expiration of their current terms, and each year one class of directors is elected by the stockholders. The staggered terms of our directors may reduce the possibility of a tender offer or an attempt at a change in control, even though a tender offer or change in control might be in the best interests of our stockholders.
|
|
●
|
Our charter and bylaws contain other possible anti-takeover provisions. Our charter and bylaws contains other provisions that may have the effect of delaying, deferring or preventing a change in control of us or the removal of existing directors and, as a result, could prevent our stockholders from being paid a premium for their common stock over the then-prevailing market price.
|
|
●
|
actual receipt of an improper benefit or profit in money, property or services; or
|
|
●
|
a final judgment based upon a finding of active and deliberate dishonesty by the director or officer that was material to the cause of action adjudicated for which Maryland law prohibits such exemption from liability.
|
|
●
|
not be allowed to be offset by a stockholder’s net operating losses;
|
|
●
|
be subject to a tax as unrelated business income if a stockholder were a tax-exempt stockholder;
|
|
●
|
be subject to the application of federal income tax withholding at the maximum rate (without reduction for any otherwise applicable income tax treaty) with respect to amounts allocable to foreign stockholders; and
|
|
●
|
be taxable (at the highest corporate tax rate) to us, rather than to our stockholders, to the extent the excess inclusion income relates to stock held by disqualified organizations (generally, tax-exempt organizations not subject to tax on unrelated business income, including governmental organizations).
|
|
●
|
85% of our REIT ordinary income for that year;
|
|
●
|
95% of our REIT capital gain net income for that year; and
|
|
●
|
any undistributed taxable income from prior years.
|
Stock Price
|
||||||||||||
High
|
Low
|
Close
|
||||||||||
Quarter Ended December 31, 2011
|
$ | 3.04 | $ | 2.51 | $ | 2.51 | ||||||
Quarter Ended September 30, 2011
|
$ | 3.54 | $ | 2.77 | $ | 2.77 | ||||||
Quarter Ended June 30, 2011
|
$ | 4.05 | $ | 3.40 | $ | 3.46 | ||||||
Quarter Ended March 31, 2011
|
$ | 4.31 | $ | 3.96 | $ | 3.96 | ||||||
Quarter Ended December 31, 2010
|
$ | 4.30 | $ | 3.86 | $ | 4.11 | ||||||
Quarter Ended September 30, 2010
|
$ | 4.17 | $ | 3.51 | $ | 3.95 | ||||||
Quarter Ended June 30, 2010
|
$ | 4.18 | $ | 3.61 | $ | 3.61 | ||||||
Quarter Ended March 31, 2010
|
$ | 4.14 | $ | 3.56 | $ | 3.89 |
Common Dividends
Declared Per Share
|
|
Quarter Ended December 31, 2011
|
$0.11
|
Quarter Ended September 30, 2011
|
$0.13
|
Quarter Ended June 30, 2011
|
$0.13
|
Quarter Ended March 31, 2011
|
$0.14
|
Quarter Ended December 31, 2010
|
$0.17
|
Quarter Ended September 30, 2010
|
$0.18
|
Quarter Ended June 30, 2010
|
$0.17
|
Quarter Ended March 31, 2010
|
$0.17
|
11/16/2007
|
12/31/2007
|
12/31/2008
|
12/31/2009
|
12/31/2010
|
12/31/2011
|
|
Chimera
|
100
|
119
|
27
|
33
|
39
|
32
|
S&P 500 Index
|
100
|
101
|
64
|
81
|
92
|
94
|
BBG REIT Index
|
100
|
105
|
65
|
78
|
91
|
90
|
Plan Category
|
Number of Securities
to be Issued Upon
Exercise of
Outstanding Options,
Warrants, and Rights
|
Weighted Average
Exercise Price of
Outstanding
Options, Warrants,
and Rights
|
Number of Securities
Remaining Available
for Future Issuance
Under Equity
Compensation Plans
|
|||||||||
Equity Compensation Plans Approved
by Stockholders
|
- | - | 38,508,179 | |||||||||
Equity Compensation Plans Not
Approved by Stockholders (1)
|
- | - | - | |||||||||
Total
|
- | - | 38,508,179 | |||||||||
(1) We do not have any equity plans that have not been approved by our stockholders.
|
Consolidated Statements of Financial Condition Highlights
|
||||||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||||||
December 31,
|
December 31,
|
December 31,
|
December 31,
|
December 31,
|
||||||||||||||||
2011
|
2010
|
2009
|
2008
|
2007
|
||||||||||||||||
(restated)
|
(restated)
|
(restated)
|
(restated)
|
|||||||||||||||||
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||
Senior
|
$ | 1,020 | $ | 342,578 | $ | 2,022,412 | $ | 603,250 | $ | 1,124,290 | ||||||||||
Senior, interest only
|
$ | 188,679 | $ | 160,964 | $ | - | $ | 2,106 | $ | - | ||||||||||
Subordinated
|
$ | 606,895 | $ | 635,452 | $ | 361,077 | $ | 7,749 | $ | - | ||||||||||
Subordinated, interest only
|
$ | 22,019 | $ | 32,449 | $ | 15,376 | $ | - | $ | - | ||||||||||
RMBS transferred to consolidated variable interest entities (VIEs)
|
$ | 3,270,332 | $ | 4,357,666 | $ | - | $ | - | $ | - | ||||||||||
Agency Mortgage-Backed securities
|
$ | 3,144,531 | $ | 2,133,584 | $ | 1,690,029 | $ | 242,362 | $ | - | ||||||||||
Mortgage loans held for investment
|
$ | - | $ | - | $ | - | $ | - | $ | 162,371 | ||||||||||
Securitized loans held for investment
|
$ | 256,632 | $ | 349,112 | $ | 470,533 | $ | 583,346 | $ | - | ||||||||||
Total assets
|
$ | 7,747,135 | $ | 8,069,280 | $ | 4,618,328 | $ | 1,477,501 | $ | 1,565,636 | ||||||||||
Repurchase agreements
|
$ | 2,672,989 | $ | 1,808,797 | $ | 1,716,398 | $ | - | $ | 270,584 | ||||||||||
Repurchase agreements with affiliates
|
$ | - | $ | - | $ | 259,004 | $ | 562,119 | $ | - | ||||||||||
Securitized debt, loans held for investment
|
$ | 212,778 | $ | 289,236 | $ | 390,350 | $ | 488,743 | $ | - | ||||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
$ | 1,630,276 | $ | 1,956,079 | $ | - | $ | - | $ | - | ||||||||||
Total liabilities
|
$ | 4,699,516 | $ | 4,390,694 | $ | 2,491,766 | $ | 1,063,046 | $ | 1,026,747 | ||||||||||
Shareholders' equity
|
$ | 3,047,619 | $ | 3,678,586 | $ | 2,126,562 | $ | 414,455 | $ | 538,889 | ||||||||||
Book value per share (1)
|
$ | 2.97 | $ | 3.58 | $ | 3.17 | $ | 2.34 | $ | 14.29 | ||||||||||
Number of shares outstanding
|
1,027,467,089 | 1,027,034,357 | 670,371,587 | 177,198,212 | 37,705,563 | |||||||||||||||
(1) See discussion of Estimated Economic Book Value in Management's Discussion and Analysis of Financial Condition and Results of Operations.
|
Consolidated Statements of Operations and Comprehensive Income (Loss) Highlights
|
||||||||||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||||||||||
For the
|
For the
|
For the
|
For the
|
For the period
|
||||||||||||||||
Year Ended
|
Year Ended
|
Year Ended
|
Year Ended
|
November 21, 2007 to
|
||||||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
December 31, 2008
|
December 31, 2007
|
||||||||||||||||
(restated)
|
(restated)
|
(restated)
|
(restated)
|
|||||||||||||||||
Interest income
|
$ | 705,024 | $ | 576,100 | $ | 287,683 | $ | 114,383 | $ | 3,384 | ||||||||||
Income expense
|
$ | 134,858 | $ | 146,448 | $ | 35,083 | $ | 53,874 | $ | 415 | ||||||||||
Net interest income
|
$ | 570,166 | $ | 429,652 | $ | 252,600 | $ | 60,509 | $ | 2,969 | ||||||||||
Net income (loss)
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | $ | (136,117 | ) | $ | (2,840 | ) | ||||||||
Income (loss) per share-basic
|
$ | 0.13 | $ | 0.30 | $ | 0.46 | $ | (2.20 | ) | $ | (0.08 | ) | ||||||||
Average shares-basic
|
1,026,365,197 | 821,675,803 | 505,962,840 | 61,949,622 | 37,401,737 | |||||||||||||||
Dividends declared per share (1)
|
$ | 0.51 | $ | 0.69 | $ | 0.43 | $ | 0.62 | $ | 0.025 | ||||||||||
(1) For applicable period as reported in our earnings announcements.
|
Asset Class
|
Principal Investments | ||
RMBS
|
● |
Non-Agency RMBS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated and non-rated classes.
|
|
● |
Agency RMBS.
|
||
Residential Mortgage Loans
|
● |
Prime mortgage loans, which are mortgage loans that conform to the underwriting guidelines of Fannie Mae and Freddie Mac, which we refer to as Agency Guidelines; and jumbo prime mortgage loans, which are mortgage loans that conform to the Agency Guidelines except as to loan size.
|
|
● |
Alt-A mortgage loans, which are mortgage loans that may have been originated using documentation standards that are less stringent than the documentation standards applied by certain other first lien mortgage loan purchase programs, such as the Agency Guidelines, but have one or more compensating factors such as a borrower with a strong credit or mortgage history or significant assets.
|
||
● | FHA/VA insured loans, which are mortgage loans that comply to the underwriting guidelines of the Federal Housing Administration (FHA) or Department of Veteran Affairs (VA) and which are guaranteed by the FHA or VA, respectively. | ||
● | Mortgage servicing rights associated with residential mortgage loans, which reflect the value of the future stream of expected cash flows from the contractual rights to service a given pool of residential mortgage loans. |
Commercial Mortgage Loans
|
● |
First or second lien loans secured by multifamily properties, which are residential rental properties consisting of five or more dwelling units; and mixed residential or other commercial properties; retail properties; office properties; or industrial properties, which may or may not conform to the Agency Guidelines.
|
|
Other Asset-Backed Securities | ● |
CMBS.
|
|
● |
Debt and equity tranches of CDOs.
|
||
● |
Consumer and non-consumer ABS, including investment-grade and non-investment grade classes, including the BB-rated, B-rated and non-rated classes.
|
December 31, 2011
|
||||||||||||
GAAP Book
Value
|
Adjustments
|
Estimated
Economic Book
Value
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 1,020 | $ | - | $ | 1,020 | ||||||
Senior interest-only
|
188,679 | - | 188,679 | |||||||||
Subordinated
|
606,895 | - | 606,895 | |||||||||
Subordinated interest-only
|
22,019 | - | 22,019 | |||||||||
RMBS transferred to consolidated VIEs
|
3,270,332 | (1,789,514 | ) | 1,480,818 | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
3,144,531 | - | 3,144,531 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
256,632 | - | 256,632 | |||||||||
Other assets
|
257,027 | - | 257,027 | |||||||||
Total assets
|
$ | 7,747,135 | $ | (1,789,514 | ) | $ | 5,957,621 | |||||
Liabilities:
|
||||||||||||
Repurchase agreements, Agency RMBS
|
2,672,989 | - | 2,672,989 | |||||||||
Securitized debt, Non-Agency RMBS transferred to consolidated VIEs
|
1,630,276 | (1,630,276 | ) | - | ||||||||
Securitized debt, loans held for investment
|
212,778 | - | 212,778 | |||||||||
Other liabilities
|
183,473 | - | 183,473 | |||||||||
Total liabilities
|
4,699,516 | (1,630,276 | ) | 3,069,240 | ||||||||
Total stockholders' equity
|
3,047,619 | (159,238 | ) | 2,888,381 | ||||||||
Total liabilities and stockholders' equity
|
$ | 7,747,135 | $ | (1,789,514 | ) | $ | 5,957,621 | |||||
Book Value Per Share
|
$ | 2.97 | $ | (0.15 | ) | $ | 2.81 |
December 31, 2010
|
||||||||||||
GAAP Book
Value
|
Adjustments
|
Estimated
Economic Book
Value
|
||||||||||
(dollars in thousands, except per share data)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency Mortgage-Backed Securities, at fair value
|
||||||||||||
Senior
|
$ | 342,578 | $ | - | $ | 342,578 | ||||||
Senior interest-only
|
160,964 | - | 160,964 | |||||||||
Subordinated
|
635,452 | - | 635,452 | |||||||||
Subordinated interest-only
|
32,449 | - | 32,449 | |||||||||
RMBS transferred to consolidated VIEs
|
4,357,666 | (2,330,568 | ) | 2,027,098 | ||||||||
Agency Mortgage-Backed Securities, at fair value
|
2,133,584 | - | 2,133,584 | |||||||||
Securitized loans held for investment, net of allowance for loan losses
|
349,112 | - | 349,112 | |||||||||
Other assets
|
57,475 | - | 57,475 | |||||||||
Total assets
|
$ | 8,069,280 | $ | (2,330,568 | ) | $ | 5,738,712 | |||||
Repurchase agreements, Agency RMBS
|
1,600,078 | - | 1,600,078 | |||||||||
Repurchase agreements, non-Agency RMBS
|
208,719 | - | 208,719 | |||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
1,956,079 | (1,956,079 | ) | - | ||||||||
Securitized debt, loans held for investment
|
289,236 | - | 289,236 | |||||||||
Other liabilities
|
336,582 | - | 336,582 | |||||||||
Total liabilities
|
4,390,694 | (1,956,079 | ) | 2,434,615 | ||||||||
Total stockholders' equity
|
3,678,586 | (374,489 | ) | 3,304,097 | ||||||||
Total liabilities and stockholders' equity
|
$ | 8,069,280 | $ | (2,330,568 | ) | $ | 5,738,712 | |||||
Book Value Per Share
|
$ | 3.58 | $ | (0.36 | ) | $ | 3.22 |
December 31, 2011
|
December 31, 2010
|
||||||||
(dollars in thousands) | |||||||||
Interest earning assets at period-end *
|
$ | 7,490,108 | $ | 8,011,805 | |||||
Interest bearing liabilities at period-end
|
$ | 4,516,043 | $ | 4,054,112 | |||||
Leverage at period-end
|
1.5:1
|
1.1:1
|
|||||||
Leverage at period-end (recourse)
|
0.9:1
|
0.5:1
|
|||||||
Portfolio Composition, at principal value
|
|||||||||
Non-Agency RMBS
|
75.4 | % | 79.5 | % | |||||
Senior
|
0.0 | % | 2.5 | % | |||||
Senior, interest only
|
26.1 | % | 20.0 | % | |||||
Subordinated
|
9.7 | % | 8.9 | % | |||||
Subordinated, interest only
|
1.9 | % | 2.1 | % | |||||
RMBS transferred to consolidated variable interest entities
|
37.7 | % | 46.0 | % | |||||
Agency RMBS
|
21.1 | % | 15.5 | % | |||||
Securitized loans
|
3.5 | % | 5.0 | % | |||||
Fixed-rate percentage of portfolio
|
74.9 | % | 50.1 | % | |||||
Adjustable-rate percentage of portfolio
|
25.1 | % | 49.9 | % | |||||
Annualized yield on average interest earning assets for the year ended
|
6.16 | % | 6.79 | % | |||||
Annualized cost of funds on average borrowed funds for the year ended**
|
2.52 | % | 4.01 | % | |||||
*
|
Excludes cash and cash equivalents.
|
||||||||
**
|
Includes the effect of realized losses on interest rate swaps.
|
December 31, 2011
|
||||||||||||||||||||||||||||||||||||||||||||
Principal or
Notional Value at
Period-End
(dollars in
thousands)
|
Weighted
Average
Amortized
Cost Basis
|
Weighted
Average Fair
Value
|
Weighted
Average
Coupon
|
Weighted
Average Yield
at Period-End
(1)
|
Weighted
Average 3
Month CPR at
Period-End
|
Weighted
Average 12
Month CPR at
Period-End
|
Weighted
Average
Delinquency
Pipeline 60+
|
Weighted
Average
Loss
Severity (2)
|
Weighted
Average
Credit
Enhancement
|
Principal
Writedowns
(dollars in
thousands)
|
||||||||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
Senior
|
$ | 1,115 | $ | 95.13 | $ | 91.55 | 1.02 | % | 2.95 | % | 20.23 | % | 14.55 | % | 30.99 | % | 68.49 | % | 75.11 | % | $ | - | ||||||||||||||||||||||
Senior, interest only
|
$ | 3,734,452 | $ | 5.34 | $ | 5.05 | 1.96 | % | 13.28 | % | 15.80 | % | 17.02 | % | 19.77 | % | 49.98 | % | 0.00 | % | $ | - | ||||||||||||||||||||||
Subordinated
|
$ | 1,378,891 | $ | 47.44 | $ | 44.01 | 3.44 | % | 9.57 | % | 16.48 | % | 17.56 | % | 19.48 | % | 50.07 | % | 19.03 | % | $ | 19,964 | ||||||||||||||||||||||
Subordinated, interest only
|
$ | 277,560 | $ | 7.89 | $ | 7.93 | 2.94 | % | 9.93 | % | 13.31 | % | 15.07 | % | 24.30 | % | 45.80 | % | 0.00 | % | $ | - | ||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 5,265,128 | $ | 55.14 | $ | 62.11 | 5.32 | % | 14.56 | % | 12.40 | % | 14.70 | % | 32.26 | % | 57.61 | % | 4.15 | % | $ | 161,263 | ||||||||||||||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,937,041 | $ | 103.07 | $ | 107.06 | 4.66 | % | 3.83 | % | 28.49 | % | 24.59 | % | 1.76 | % | 0.00 | % | 100.00 | % | $ | - | ||||||||||||||||||||||
(1) Bond Equivalent Yield at period end.
|
||||||||||||||||||||||||||||||||||||||||||||
(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.).
|
December 31, 2010
|
||||||||||||||||||||||||||||||||||||||||||||
Principal or
Notional Value at
Period-End
(dollars in
thousands)
|
Weighted
Average
Amortized
Cost Basis
|
Weighted
Average Fair
Value
|
Weighted
Average
Coupon
|
Weighted
Average Yield
at Period-End
(1)
|
Weighted
Average 3
Month CPR at
Period-End
|
Weighted
Average 12
Month CPR at
Period-End
|
Weighted
Average
Delinquency
Pipeline 60+
|
Weighted
Average
Loss
Severity (2)
|
Weighted
Average
Credit
Enhancement
|
Principal Writedowns
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||||||||||||||||||||||||||
Senior
|
$ | 343,203 | $ | 99.88 | $ | 99.82 | 3.62 | % | 3.34 | % | 17.50 | % | 16.93 | % | 14.34 | % | 39.75 | % | 50.25 | % | $ | 204 | ||||||||||||||||||||||
Senior, interest only
|
$ | 2,699,496 | $ | 5.88 | $ | 5.96 | 2.25 | % | 14.45 | % | 18.94 | % | 17.14 | % | 19.29 | % | 49.15 | % | 1.31 | % | $ | - | ||||||||||||||||||||||
Subordinated
|
$ | 1,197,998 | $ | 52.81 | $ | 53.04 | 2.59 | % | 6.91 | % | 18.01 | % | 17.34 | % | 21.41 | % | 50.15 | % | 24.53 | % | $ | 1,820 | ||||||||||||||||||||||
Subordinated, interest only
|
$ | 282,364 | $ | 10.11 | $ | 11.49 | 3.21 | % | 9.73 | % | 16.70 | % | 16.63 | % | 23.49 | % | 44.15 | % | 0.00 | % | $ | - | ||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 6,094,172 | $ | 60.83 | $ | 71.53 | 5.77 | % | 12.03 | % | 14.61 | % | 15.07 | % | 33.17 | % | 54.17 | % | 6.69 | % | $ | 69,478 | ||||||||||||||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,035,824 | $ | 103.30 | $ | 104.80 | 4.91 | % | 4.23 | % | 37.81 | % | 33.41 | % | 1.16 | % | 0.00 | % | 100.00 | % | $ | - | ||||||||||||||||||||||
(1) Bond Equivalent Yield at period end.
|
||||||||||||||||||||||||||||||||||||||||||||
(2) Calculated based on reported losses to date, utilizing widest data set available (i.e., life-time losses, 12-month loss, etc.).
|
For the Year Ended December 31, 2011
|
For the Year Ended December 31, 2010
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||
Accretable
Discount
|
Non-Accretable
Difference
|
Accretable
Discount
|
Non-Accretable
Difference
|
|||||||||||||
Balance at beginning of period
|
$ | 1,098,061 | $ | 1,879,475 | $ | 723,876 | $ | 1,257,451 | ||||||||
Accretion of discount
|
(142,136 | ) | - | (103,261 | ) | - | ||||||||||
Principal Writedowns
|
- | (181,227 | ) | - | (71,502 | ) | ||||||||||
Purchases
|
(11,414 | ) | 265,384 | 925,626 | 1,612,441 | |||||||||||
Sales
|
12,821 | (169,931 | ) | (500,604 | ) | (998,113 | ) | |||||||||
Net other-than-temporary credit impairment losses
|
- | 356,916 | - | 131,622 | ||||||||||||
Transfers from credit reserve
|
503,869 | (503,869 | ) | 176,728 | (176,728 | ) | ||||||||||
Transfers to credit reserve
|
(285,182 | ) | 285,182 | (124,304 | ) | 124,304 | ||||||||||
Balance at end of period
|
$ | 1,176,019 | $ | 1,931,930 | $ | 1,098,061 | $ | 1,879,475 |
●
|
If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes must be considered significant for Non-Agency RMBS accounted for under ASC 310-30 for the effective interest rate in future accounting periods to increase. An other-than-temporary impairment loss will not be recorded in earnings in the period we determine there is a positive change in the amount and timing of future estimated cash flows. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from declines in estimates of future defaults). Furthermore, a positive change could occur on an overall basis in situations where the positive impact of a change in the timing of cash flows exceeds the negative impact of increased defaults, or when the positive impact of a decline in estimated defaults exceeds the negative impact of an extension of the timing of receipt of cash flows.
|
●
|
If there is a negative (or adverse) change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, and the securities’ fair value is below its amortized cost, an other-than-temporary impairment loss equal to the adverse change in cash flows expected to be collected, discounted using the securities’ effective rate before impairment, is required to be recorded in current period earnings. For Non-Agency RMBS accounted for under ASC 310-30, while the effective interest rate used to accrete interest income after an other-than-temporary impairment has been recognized will be the same, the amount of interest income recorded in future periods will decline because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. Additionally, for Non-Agency RMBS accounted for under ASC 325-40, while the effective interest rate used to accrete interest income during the period directly after an other-than-temporary impairment has been recognized will be the same, the amount of interest income recorded in such future period will decline, absent an increase in cash flows expected to be collected, because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. An adverse change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has decreased from the most previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from increases in estimates of future defaults). Furthermore, an adverse change could occur on an overall basis in situations where the negative impact of a change in the timing of cash flows exceeds the positive impact of a decline in estimated defaults, or when the negative impact of a increase in estimated defaults exceeds the positive impact of an shortening of the timing of receipt of cash flows.
|
●
|
Our assessment of the credit quality of the asset, including its credit rating at the acquisition date and whether the security has experienced deterioration in credit quality since its inception.
|
●
|
Our assessment of the probability of collection of all contractual cash flows.
|
●
|
Our assessment of whether the security can be contractually prepaid such that we would not recover our initial investment.
|
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
|
1 | $ | 240,622 | $ | - | $ | 12,561 | 0.16% | ||||||||||
Germany
|
1 | 341,471 | (14,499 | ) | 23,685 | 0.31% | ||||||||||||
Netherlands
|
1 | 318,375 | - | 16,621 | 0.21% | |||||||||||||
Switzerland
|
2 | 491,215 | (29,968 | ) | 26,288 | 0.34% | ||||||||||||
United Kingdom
|
1 | 252,164 | - | 8,713 | 0.11% | |||||||||||||
Total
|
6 | $ | 1,643,847 | $ | (44,467 | ) | $ | 87,868 | 1.13% | |||||||||
(1) Represents the amount of securities pledged as collateral to each counterparty less the aggregate of repurchase agreement financing and unrelated loss on swaps for each counterparty.
|
GAAP
Interest
Expense
|
Add: Realized
Losses on
Interest Rate
Swaps
|
Equals:
Economic
Interest
Expense
|
GAAP Net
Interest
Income
|
Less:
Realized
Losses on
Interest Rate
Swaps
|
Equals:
Economic
Net Interest
Income (1)
|
|||||||||||||||||||
For the Year Ended December 31, 2011
|
$ | 134,858 | $ | 15,929 | $ | 150,787 | $ | 570,166 | $ | 15,929 | $ | 554,223 | ||||||||||||
For the Year Ended December 31, 2010
|
$ | 146,448 | $ | 5,788 | $ | 152,236 | $ | 429,652 | $ | 5,788 | $ | 423,824 | ||||||||||||
For the Year Ended December 31, 2009
|
$ | 35,083 | $ | - | $ | 35,083 | $ | 252,600 | $ | - | $ | 252,523 | ||||||||||||
For the Quarter Ended December 31, 2011
|
$ | 30,696 | $ | 4,285 | $ | 34,981 | $ | 136,845 | $ | 4,285 | $ | 132,559 | ||||||||||||
For the Quarter Ended September 30, 2011
|
$ | 32,792 | $ | 4,500 | $ | 37,292 | $ | 152,789 | $ | 4,500 | $ | 148,289 | ||||||||||||
For the Quarter Ended June 30, 2011
|
$ | 35,793 | $ | 4,297 | $ | 40,090 | $ | 144,066 | $ | 4,297 | $ | 139,767 | ||||||||||||
For the Quarter Ended March 31, 2011
|
$ | 35,577 | $ | 2,847 | $ | 38,424 | $ | 136,466 | $ | 2,847 | $ | 133,608 | ||||||||||||
(1) Excludes cash and cash equivalents.
|
Net Income (Loss)
|
||||||||||||
(dollars in thousands)
|
||||||||||||
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
Net Interest Income:
|
||||||||||||
Interest income
|
$ | 254,028 | $ | 103,360 | $ | 261,243 | ||||||
Less: interest expense
|
11,941 | 7,749 | 9,871 | |||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
450,996 | 472,740 | 26,440 | |||||||||
Less: interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
122,917 | 138,699 | 25,212 | |||||||||
Net interest income (expense)
|
570,166 | 429,652 | 252,600 | |||||||||
Other-than-temporary impairments:
|
||||||||||||
Total other-than-temporary impairment losses
|
(418,119 | ) | (295,386 | ) | (290,228 | ) | ||||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
61,014 | 163,541 | 179,357 | |||||||||
Net other-than-temporary credit impairment losses
|
(357,105 | ) | (131,845 | ) | (110,871 | ) | ||||||
Other gains (losses):
|
||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(34,478 | ) | (9,989 | ) | - | |||||||
Realized gains (losses) on interest rate swaps
|
(15,929 | ) | (5,788 | ) | - | |||||||
Gains (losses) on interest rate swaps
|
(50,407 | ) | (15,777 | ) | - | |||||||
Net unrealized gains (losses) on interest-only RMBS
|
(14,545 | ) | 3,846 | 2,920 | ||||||||
Realized gains (losses) on sales of investments, net
|
54,353 | 17,333 | 118,915 | |||||||||
Total other gains (losses)
|
(10,599 | ) | 5,402 | 121,835 | ||||||||
Net investment income (loss)
|
202,462 | 303,209 | 263,564 | |||||||||
Other expenses:
|
||||||||||||
Management fee to affiliate
|
51,969 | 40,924 | 25,704 | |||||||||
Provision for loan losses
|
5,291 | 7,109 | 3,102 | |||||||||
General and administrative expenses
|
7,267 | 6,015 | 4,061 | |||||||||
Total other expenses
|
64,527 | 54,048 | 32,867 | |||||||||
Income (loss) before income taxes
|
137,935 | 249,161 | 230,697 | |||||||||
Income taxes
|
606 | 756 | 1 | |||||||||
Net income (loss)
|
$ | 137,329 | $ | 248,405 | $ | 230,696 |
Economic Net Interest Income
|
|||||||||||||||||||||||||||||||||
Average
Earning Assets
Held (1)
|
Interest
Earned on
Assets (1)
|
Yield on
Average
Interest
Earning
Assets
|
Average Debt
Balance
|
Economic
Interest
Expense
(2)
|
Average Cost
of Funds
|
Economic Net
Interest
Income (1) (2)
|
Net Interest
Rate Spread
|
||||||||||||||||||||||||||
(Ratios have been annualized, dollars in thousands) | |||||||||||||||||||||||||||||||||
For the year ended
December 31, 2011 |
$ | 11,438,442 | $ | 705,010 | 6.16 | % | $ | 5,989,117 | $ | 150,787 | 2.52 | % | $ | 554,223 | 3.64 | % | |||||||||||||||||
For the year ended
December 31, 2010 |
$ | 8,479,109 | $ | 576,060 | 6.79 | % | $ | 3,793,049 | $ | 152,236 | 4.01 | % | $ | 423,824 | 2.78 | % | |||||||||||||||||
For the year ended
December 31, 2009 |
$ | 4,328,892 | $ | 287,606 | 6.64 | % | $ | 1,724,698 | $ | 35,083 | 2.03 | % | $ | 252,523 | 4.61 | % | |||||||||||||||||
For the quarter ended
December 31, 2011 |
$ | 10,636,688 | $ | 167,540 | 6.30 | % | $ | 5,317,006 | $ | 34,981 | 2.63 | % | $ | 132,559 | 3.67 | % | |||||||||||||||||
For the quarter ended
September 30, 2011 |
$ | 11,803,044 | $ | 185,581 | 6.29 | % | $ | 6,390,222 | $ | 37,292 | 2.33 | % | $ | 148,289 | 3.96 | % | |||||||||||||||||
For the quarter ended
June 30, 2011 |
$ | 12,078,396 | $ | 179,857 | 5.96 | % | $ | 6,560,926 | $ | 40,090 | 2.44 | % | $ | 139,767 | 3.52 | % | |||||||||||||||||
For the quarter ended
March 31, 2011 |
$ | 11,235,639 | $ | 172,032 | 6.12 | % | $ | 5,688,313 | $ | 38,424 | 2.70 | % | $ | 133,608 | 3.42 | % | |||||||||||||||||
(1) Excludes cash and cash equivalents.
|
|||||||||||||||||||||||||||||||||
(2) Includes effect of realized losses on interest rate swaps.
|
Average Cost of Funds
|
||||||||||||||||||||||||||||||||
Average
Borrowed
Funds
|
Economic
Interest
Expense (1)
|
Average
Cost of
Funds
|
Average
One-
Month
LIBOR
|
Average
Six-
Month
LIBOR
|
Average One-
Month
LIBOR
In Excess of
Average Six-
Month
LIBOR
|
Average Cost
of Funds
In Excess of
Average One-
Month
LIBOR
|
Average Cost
of Funds
In Excess of
Average Six-
Month
LIBOR
|
|||||||||||||||||||||||||
(Ratios have been annualized, dollars in thousands) | ||||||||||||||||||||||||||||||||
For the year ended
December 31, 2011 |
$ | 5,989,117 | $ | 150,787 | 2.52 | % | 0.23 | % | 0.51 | % | (0.28 | %) | 2.29 | % | 2.01 | % | ||||||||||||||||
For the year ended
December 31, 2010 |
$ | 3,793,049 | $ | 152,236 | 4.01 | % | 0.27 | % | 0.52 | % | (0.25 | %) | 3.74 | % | 3.49 | % | ||||||||||||||||
For the year ended
December 31, 2009 |
$ | 1,724,698 | $ | 35,083 | 2.03 | % | 0.33 | % | 1.11 | % | (0.78 | %) | 1.70 | % | 0.92 | % | ||||||||||||||||
For the quarter ended
December 31, 2011 |
$ | 5,317,006 | $ | 34,981 | 2.63 | % | 0.26 | % | 0.68 | % | (0.42 | %) | 2.37 | % | 1.95 | % | ||||||||||||||||
For the quarter ended
September 30, 2011 |
$ | 6,390,222 | $ | 37,292 | 2.33 | % | 0.21 | % | 0.47 | % | (0.26 | %) | 2.12 | % | 1.86 | % | ||||||||||||||||
For the quarter ended
June 30, 2011 |
$ | 6,560,926 | $ | 40,090 | 2.44 | % | 0.20 | % | 0.42 | % | (0.22 | %) | 2.24 | % | 2.02 | % | ||||||||||||||||
For the quarter ended
March 31, 2011 |
$ | 5,688,313 | $ | 38,424 | 2.70 | % | 0.26 | % | 0.46 | % | (0.20 | %) | 2.44 | % | 2.24 | % | ||||||||||||||||
(1) Includes effect of realized losses on interest rate swaps.
|
Management Fees, G&A Expenses and Operating Expense Ratios
|
||||||||||||
Total Management
Fee and G&A
Expenses
|
Total Management
Fee and G&A
Expenses/Total Assets
|
Total Management
Fee and G&A
Expenses/Average
Equity
|
||||||||||
(Ratios have been annualized, dollars in thousands)
|
||||||||||||
For the year ended December 31, 2011
|
$ | 59,236 | 0.75% | 1.76% | ||||||||
For the year ended December 31, 2010
|
$ | 46,939 | 0.74% | 1.62% | ||||||||
For the year ended December 31, 2009
|
$ | 29,765 | 0.90% | 2.04% | ||||||||
For the quarter ended December 31, 2011
|
$ | 14,945 | 0.68% | 1.87% | ||||||||
For the quarter ended September 30, 2011
|
$ | 15,082 | 0.61% | 1.78% | ||||||||
For the quarter ended June 30, 2011
|
$ | 14,972 | 0.59% | 1.72% | ||||||||
For the quarter ended March 31, 2011
|
$ | 14,237 | 0.62% | 1.58% |
Components of Return on Average Equity
|
||||||
Economic Net
Interest
Income/Average
Equity *
|
Realized Gains
(Losses) on
Sales and
OTTI/Average
Equity
|
Realized and
Unrealized
Gains (Losses)
on Interest
Rate Swaps and
IOs/Average
Equity
|
Total Management
Fee & G&A
Expenses/Average
Equity
|
Income
Tax/Average
Equity
|
Return on
Average
Equity
|
|
(Ratios have been annualized) | ||||||
For the year ended December 31, 2011
|
16.47%
|
(9.16%)
|
(1.46%)
|
(1.76%)
|
(0.02%)
|
4.08%
|
For the year ended December 31, 2010
|
14.60%
|
(4.19%)
|
(0.21%)
|
(1.62%)
|
(0.02%)
|
8.56%
|
For the year ended December 31, 2009
|
17.30%
|
0.33%
|
0.20%
|
(2.04%)
|
0.00%
|
15.80%
|
For the quarter ended December 31, 2011
|
16.59%
|
(7.82%)
|
(1.55%)
|
(1.87%)
|
0.00%
|
5.35%
|
For the quarter ended September 30, 2011
|
17.49%
|
(17.75%)
|
(5.06%)
|
(1.78%)
|
0.02%
|
(7.08%)
|
For the quarter ended June 30, 2011
|
16.04%
|
(7.23%)
|
(0.87%)
|
(1.72%)
|
(0.01%)
|
6.19%
|
For the quarter ended March 31, 2011
|
14.81%
|
(3.55%)
|
1.55%
|
(1.58%)
|
(0.07%)
|
11.16%
|
* Includes the effect of realized losses on interest rate swaps
|
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,368,945 | 232,265 | ||||||
30 to 59 days
|
836,007 | 970,394 | ||||||
60 to 89 days
|
- | 545,442 | ||||||
90 to 119 days
|
171,836 | 60,696 | ||||||
Greater than or equal to 120 days
|
296,201 | - | ||||||
Total
|
$ | 2,672,989 | $ | 1,808,797 |
Period
|
Average Repurchase
Balance
|
Repurchase Balance at
Period End
|
||||||
(dollars in thousands)
|
||||||||
Year Ended December 31, 2011
|
$ | 3,843,683 | $ | 2,672,989 | ||||
Year Ended December 31, 2010
|
$ | 1,892,100 | $ | 1,808,797 | ||||
Quarter Ended December 31, 2011
|
$ | 3,379,539 | $ | 2,672,989 | ||||
Quarter Ended September 30, 2011
|
$ | 4,301,251 | $ | 4,171,190 | ||||
Quarter Ended June 30, 2011
|
$ | 4,308,787 | $ | 4,320,487 | ||||
Quarter Ended March 31, 2011
|
$ | 3,385,155 | $ | 3,870,407 |
December 31, 2011
|
||||||||||||||||||||
Contractual Obligations
|
Within One
Year
|
One to Three
Years
|
Three to Five
Years
|
Greater Than
or Equal to
Five Years
|
Total
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Repurchase agreements for RMBS
|
$ | 2,672,989 | $ | - | $ | - | $ | - | $ | 2,672,989 | ||||||||||
Securitized debt
|
488,886 | 598,921 | 276,966 | 404,385 | 1,769,158 | |||||||||||||||
Interest expense on RMBS repurchase agreements (1)
|
1,349 | - | - | - | 1,349 | |||||||||||||||
Interest expense on securitized debt (1)
|
79,558 | 107,369 | 69,826 | 244,069 | 500,822 | |||||||||||||||
Total
|
$ | 3,242,782 | $ | 706,290 | $ | 346,792 | $ | 648,454 | $ | 4,944,318 | ||||||||||
(1) Interest is based on variable rates in effect as of December 31, 2011.
|
||||||||||||||||||||
December 31, 2010
|
||||||||||||||||||||
Contractual Obligations
|
Within One
Year
|
One to Three
Years
|
Three to Five
Years
|
Greater Than
or Equal to
Five Years
|
Total
|
|||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Repurchase agreements for RMBS
|
$ | 1,808,797 | $ | - | $ | - | $ | - | $ | 1,808,797 | ||||||||||
Securitized debt
|
634,988 | 831,306 | 305,953 | 417,976 | 2,190,223 | |||||||||||||||
Interest expense on RMBS repurchase agreements (1)
|
1,223 | - | - | - | 1,223 | |||||||||||||||
Interest expense on securitized debt (1)
|
86,453 | 113,635 | 68,335 | 171,042 | 439,465 | |||||||||||||||
Total
|
$ | 2,531,461 | $ | 944,941 | $ | 374,288 | $ | 589,018 | $ | 4,439,708 | ||||||||||
(1) Interest is based on variable rates in effect as of December 31, 2010.
|
December 31, 2011
|
||
Change in Interest Rate
|
Projected Percentage
Change in Net Interest
Income
|
Projected Percentage
Change in Portfolio Value
|
-75 Basis Points
|
5.31%
|
1.31%
|
-50 Basis Points
|
3.16%
|
1.10%
|
-25 Basis Points
|
1.38%
|
0.58%
|
Base Interest Rate
|
-
|
-
|
+25 Basis Points
|
(0.93%)
|
(0.62%)
|
+50 Basis Points
|
(2.03%)
|
(1.33%)
|
+75 Basis Points
|
(3.57%)
|
(2.13%)
|
|
●
|
monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings;
|
|
●
|
attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods;
|
|
●
|
using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings;
|
|
●
|
using securitization financing to lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive terms for an extended period of time in contrast to short term financing and maturity dates of the investments included in the securitization; and
|
|
●
|
actively managing, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings.
|
(dollars in thousands) | ||||||||||||||||||||
Within 3
Months
|
3-12 Months
|
1 Year to 3
Years
|
Greater than 3
Years
|
Total
|
||||||||||||||||
Rate sensitive assets
|
$ | 1,554,086 | $ | 1,488,534 | $ | 1,430,601 | $ | 9,807,795 | $ | 14,281,016 | ||||||||||
Cash equivalents
|
206,299 | - | - | - | 206,299 | |||||||||||||||
Total rate sensitive assets
|
1,760,385 | 1,488,534 | 1,430,601 | 9,807,795 | 14,487,315 | |||||||||||||||
Rate sensitive liabilities
|
1,336,728 | 862,959 | 176,668 | 1,238,665 | 3,615,020 | |||||||||||||||
Interest rate sensitivity gap
|
$ | 423,657 | $ | 625,575 | $ | 1,253,933 | $ | 8,569,130 | $ | 10,872,295 | ||||||||||
Cumulative rate sensitivity gap
|
$ | 423,657 | $ | 1,049,232 | $ | 2,303,165 | $ | 10,872,295 | ||||||||||||
Cumulative interest rate sensitivity gap as a
|
||||||||||||||||||||
percentage of total rate sensitive assets
|
3 | % | 7 | % | 16 | % | 75 | % |
(a)
|
Restatement
|
Name
|
Age
|
Position Held with Us
|
|
Matthew Lambiase
|
46
|
Chief Executive Officer, President and Director
|
|
Christian J. Woschenko
|
52
|
Head of Investments
|
|
William B. Dyer
|
66
|
Head of Underwriting
|
|
A. Alexandra Denahan
|
42
|
Chief Financial Officer and Secretary
|
|
●
|
evaluate the performance of our officers;
|
|
●
|
evaluate the performance of our Manager;
|
|
●
|
review the compensation and fees payable to our Manager under our management agreement;
|
|
●
|
recommend to the board of directors the compensation for our independent directors; and
|
|
●
|
administer the issuance of any securities under our equity incentive plan to our executives or the employees of our Manager.
|
|
●
|
our accounting and financial reporting processes;
|
|
●
|
the integrity and audits of our consolidated financial statements;
|
|
●
|
our compliance with legal and regulatory requirements;
|
|
●
|
the qualifications and independence of our independent registered public accounting firm; and
|
|
●
|
the performance of our independent registered public accounting firm.
|
Name and Principal Position | Year | Total |
Matthew Lambiase
|
2011
|
$0
|
Chief Executive Officer and President
|
2010
|
$0
|
2009
|
$0
|
|
Christian Woschenko
|
2011
|
$0
|
Head of Investments
|
2010
|
$0
|
2009
|
$0
|
|
William Dyer
|
2011
|
$0
|
Head of Underwriting
|
2010
|
$0
|
2009
|
$0
|
|
A. Alexandra Denahan
|
2011
|
$0
|
Chief Financial Officer and Secretary
|
2010
|
$0
|
2009
|
$0
|
Stock Awards | ||
Name | Equity Incentive Plan
Awards: Number of
Unearned Shares,
Units or Other Rights
That Have Not
Vested(#)(1)
|
Equity Incentive Plan Awards: Market
or Payout Value of Unearned Shares,
Units or Other Rights That Have Not Yet
Vested($)(2)
|
Matthew Lambiase
|
54,000
|
$135,540
|
Christian Woschenko
|
54,000
|
$135,540
|
William Dyer
|
42,000
|
$105,420
|
A. Alexandra Denahan
|
42,000
|
$105,420
|
Stock Awards
|
||
Name
|
Number of
Shares
Acquired on
Vesting (#)
|
Value
Realized on
Vesting(1)
($)
|
Matthew Lambiase
|
9,000
|
$32,085
|
Christian Woschenko
|
9,000
|
$32,085
|
William Dyer
|
7,000
|
$24,955
|
A. Alexandra Denahan
|
7,000
|
$24,955
|
|
(1)
|
Reflects fair value of vested shares using closing price on date of vesting.
|
Name
|
Benefit
|
Termination
with Cause or
Voluntary
Termination
|
Termination
without
Cause or for
Good Reason
|
Death or
Disability
(1)
|
Other Post
Employment
Obligations
|
||||||||||||
Matthew Lambiase
|
Stock vesting
|
$ | - | $ | - | $ | 135,540 | $ | - | ||||||||
Christian Woschenko
|
Stock vesting
|
$ | - | $ | - | $ | 135,540 | $ | - | ||||||||
William Dyer
|
Stock vesting
|
$ | - | $ | - | $ | 105,420 | $ | - | ||||||||
A. Alexandra Denahan
|
Stock vesting
|
$ | - | $ | - | $ | 105,420 | $ | - |
Name
|
Fees
Earned or
Paid in
Cash
|
Stock
Awards
(2)
|
Option
Awards
|
Non-
Equity
Incentive
Plan
Compen-
sation
|
Change in
Pension
Value and
Deferred
Compen-
sation
Earnings
|
All Other
Compen-
sation
|
Total
|
|||||||||||||||||
Mark Abrams(1)
|
$ | 54,889 | $ | 45,000 | - | - | - | - | $ | 99,889 | ||||||||||||||
Gerard Creagh(1)
|
$ | 52,750 | $ | 45,000 | - | - | - | - | $ | 97,750 | ||||||||||||||
Paul Donlin(1)
|
$ | 53,500 | $ | 45,000 | - | - | - | - | $ | 98,500 | ||||||||||||||
Paul A. Keenan(1)
|
$ | 53,500 | $ | 45,000 | - | - | - | - | $ | 98,500 | ||||||||||||||
Dennis M. Mahoney
|
$ | 61,611 | $ | 45,000 | - | - | - | - | $ | 106,611 | ||||||||||||||
John P. Reilly(1)
|
$ | 52,250 | $ | 45,000 | - | - | - | - | $ | 97,250 |
Name of Beneficial Owner
|
Amount and Nature of
Beneficial Ownership
|
Percent of
Class
|
||||||
Matthew Lambiase(1)
|
525,000 | * | ||||||
Christian J. Woschenko(2)
|
158,973 | * | ||||||
William B. Dyer(3)
|
99,649 | * | ||||||
A. Alexandra Denahan(4)
|
90,000 | * | ||||||
Mark Abrams(5)
|
76,996 | * | ||||||
Gerard Creagh(6)
|
193,134 | * | ||||||
Jeremy Diamond(7)
|
96,678 | * | ||||||
Paul Donlin(8)
|
619,101 | * | ||||||
Paul A. Keenan(9)
|
101,321 | * | ||||||
Dennis M. Mahoney(10)
|
45,346 | * | ||||||
John P. Reilly(11)
|
95,891 | * | ||||||
All Directors and Officers As a Group
|
2,102,089 | * | ||||||
Wells Fargo & Company(12) | 62,509,380 | 6.14 | % | |||||
BlackRock, Inc. (13) | 56,082,750 | 5.46 | % | |||||
Thornburg Investment Management Inc. (14) | 64,181,670 | 6.25 | % | |||||
Leon G. Cooperman (15)
|
55,120,975 | 5.40 | % |
(1)
|
Mr. Lambiase, our Chief Executive Officer, President and one of our directors, is the beneficial owner of 90,000 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 47,250 shares of restricted common stock that have vested as of February 28, 2013; 2,250 shares of restricted common stock that will vest within 60 days after February 28, 2013; and 40,500 shares which vest more than 60 days after February 28, 2013. Includes 43,000 shares of common stock held by Mr. Lambiase in a 401(K) plan.
|
(2)
|
Mr. Woschenko, our Head of Investments, is the beneficial owner of 88,973 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 47,250 shares of restricted common stock that have vested as of February 28, 2013; 2,250 shares of restricted common stock that will vest within 60 days after February 28, 2013; and 40,500 shares which vest more than 60 days after February 28, 2013. Includes 20,000 shares of common stock held by Mr. Woschenko in a 401(K) plan.
|
(3)
|
Mr. Dyer, our Head of Underwriting, is the beneficial owner of 69,649 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 36,750 shares of restricted common stock that have vested as of February 28, 2013; 1,750 shares of restricted common stock that will vest within 60 days after February 28, 2013; and 31,500 shares which vest more than 60 days after February 28, 2013.
|
(4)
|
Ms. Denahan, our Chief Financial Officer and Secretary, is the beneficial owner of 70,000 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 36,750 shares of restricted common stock that have vested as of February 28, 2013; 1,750 shares of restricted common stock that will vest within 60 days after February 28, 2013; and 31,500 shares which vest more than 60 days after November 30, 2012.
|
(5)
|
Mr. Abrams is one of our directors.
|
(6)
|
Mr. Creagh is one of our directors.
|
|
(7)
|
Mr. Diamond, one of our directors, is the beneficial owner of 68,524 shares of restricted common stock issued under our equity incentive plan which vests in equal installments on the first business day of each fiscal quarter over a period of ten years beginning on January 2, 2008. Includes 36,750 shares of restricted common stock that have vested as of February 28, 2013; 1,750 shares of restricted common stock that will vest within 60 days after February 28, 2013; and 31,500 shares which vest more than 60 days after February 28, 2013.
|
(8)
|
Mr. Donlin is one of our directors. Includes 20,000 shares of common stock held by Mr. Donlin in a Family Trust.
|
(9)
|
Mr. Keenan is one of our directors.
|
(10)
|
Mr. Mahoney is one of our directors.
|
|
(11)
|
Mr. Reilly is one of our directors. Includes 14,500 shares of common stock held by a member of Mr. Reilly’s immediate family.
|
(12)
|
The address for this stockholder is 420 Montgomery Street, San Francisco, CA 94104. The shares shown as beneficially owned by Wells Fargo & Company reflect shares owned on its own behalf and on behalf of the following subsidiaries: Wells Capital Management Incorporated; Wells Fargo Advisors Financial Network, LLC; Wells Fargo Advisors, LLC; Wells Fargo Funds Management, LLC and Wells Fargo Bank, National Association. Aggregate beneficial ownership reported by Wells Fargo & Company is on a consolidated basis and includes any beneficial ownership of a subsidiary. Wells Capital Management Incorporated reported beneficially owning 61,316,782 shares of common stock with the sole power to vote or to direct the vote of zero shares, the shared power to vote or to direct the vote of 12,636,442 of common stock, the sole power to dispose or to direct the disposition of zero shares of common stock and the shared power to dispose or to direct the disposition of 61,316,782 shares of common stock. Wells Fargo & Company reported beneficially owning 62,509,380 shares of common stock with the sole power to vote or to direct the vote of 2 shares of common stock, the shared power to vote or to direct the vote of 62,989,808 of common stock, the sole power to dispose or to direct the disposition of 2 shares of common stock and the shared power to dispose or to direct the disposition of 111,700,197 shares of common stock. Based solely on information contained in a Schedule 13G/A filed by Wells Fargo & Company on February 13, 2013.
|
(13)
|
The address for this stockholder is 40 East 52nd Street, New York, NY 10022. The shares shown as beneficially owned by BlackRock, Inc. reflect shares owned on its own behalf and on behalf of the following subsidiaries: BlackRock Advisors, LLC; BlackRock Investment Management, LLC; BlackRock Life Limited; BlackRock Asset Management Australia Limited; BlackRock Asset Management Canada Limited; BlackRock Advisors (UK) Limited; BlackRock Fund Advisors; BlackRock International Limited; BlackRock Institutional Trust Company, N.A.; BlackRock Japan Co. Ltd. and BlackRock Investment Management (UK) Limited. Aggregate beneficial ownership reported by BlackRock, Inc. includes any beneficial ownership of a subsidiary. BlackRock, Inc. reported beneficially owning 56,082,750 shares of common stock with the sole power to vote or to direct the vote of 56,082,750 shares of common stock, the shared power to vote or to direct the vote of zero shares of common stock, the sole power to dispose or to direct the disposition of 56,082,750 shares of common stock and the shared power to dispose or to direct the disposition of zero shares of common stock. Based solely on information contained in a Schedule 13G filed by BlackRock, Inc. on January 30, 2013.
|
(14)
|
The address for this stockholder is 2300 North Ridgetop Road Santa Fe, NM 87506. Thornburg Investment Management Inc. reported beneficially owning shares of common stock with the sole power to vote or to direct the vote of 64,181,670 shares of common stock, the shared power to vote or to direct the vote of zero shares of common stock, the sole power to dispose or to direct the disposition of 64,181,670 shares of common stock and the shared power to dispose or to direct the disposition of zero shares of common stock. Based solely on information contained in a Schedule 13G filed by Thornburg Investment Management Inc. on January 30, 2013.
|
(15)
|
The address for this stockholder is 2700 No. Military Trail, Suite 230, Boca Raton FL 33431. The shares shown as beneficially owned by Leon G. Cooperman reflect shares owned on his own behalf and on behalf of the following entities: Omega Capital Partners, L.P.; Omega Capital Investors, L.P.; Omega Equity Investors, L.P.; Omega Overseas Partners, Ltd.; a limited number of Managed Accounts; JCF Metrowest of NJ; the Cooperman Family Fund for a Jewish Future; the Michael S. Cooperman WRA Trust; the UTMA account for Asher Silvin Cooperman; Toby Cooperman and Michael S. Cooperman. Mr. Cooperman was deemed to have beneficial ownership of 55,120,978 shares of common stock with the sole power to vote or to direct the vote of 37,959,486 shares of common stock, the shared power to vote or to direct the vote of 17,161,489 shares of common stock, the sole power to dispose or to direct the disposition of 37,959,486 shares of common stock and the shared power to dispose or to direct the disposition of 17,161,489 shares of common stock. This consists of 9,598,400 shares owned by Omega Capital Partners, L.P.; 2,706,053 shares owned by Omega Capital Investors, L.P.; 3,920,380 shares owned by Omega Equity Investors, L.P.; 8,989,553 Shares owned by Omega Overseas Partners, Ltd.; 17,161,489 Shares owned by the Managed Accounts; 50,000 Shares owned by the Cooperman Family Fund for a Jewish Future; 10,019,200 Shares owned by Mr. Cooperman; 600,000 Shares owned by Toby Cooperman; 11,900 Shares owned by the UTMA account for Asher Silvin Cooperman; 64,000 Shares owned by JCF Metrowest of NJ; 1,000,000 Shares owned by Michael S. Cooperman and 1,000,000 Shares owned by the Michael S. Cooperman WRA Trust. Based solely on information contained in a Schedule 13G filed by Leon G. Cooperman on February 11, 2013.
|
Plan Category
|
Number of Securities
to be Issued Upon
Exercise of
Outstanding Options,
Warrants, and Rights
|
Weighted Average
Exercise Price of
Outstanding
Options, Warrants,
and Rights
|
Number of Securities
Remaining Available
for Future Issuance
Under Equity
Compensation Plans
|
||||||
Equity Compensation Plans Approved by Stockholders
|
- | - | 38,508,179 | ||||||
Equity Compensation Plans Not Approved by Stockholders (1)
|
- | - | - | ||||||
Total
|
- | - | 38,508,179 | ||||||
(1) We do not have any equity plans that have not been approved by our stockholders.
|
Exhibit
Number
|
Description
|
|
3.1
|
Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
3.2
|
Articles of Amendment of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on May 28, 2009 and incorporated herein by reference)
|
|
3.3
|
Amended and Restated Bylaws of Chimera Investment Corporation (filed as Exhibit 3.2 to the Company’s Report on Form 8-K filed on December 19, 2011 and incorporated herein by reference)
|
|
4.1
|
Specimen Common Stock Certificate of Chimera Investment Corporation (filed as Exhibit 4.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.1
|
Form of Management Agreement between Chimera Investment Corporation and Fixed Income Discount Advisory Company (filed as Exhibit 10.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.2
|
Form of Amendment No. 1 to the Management Agreement between Chimera Investment Corporation and Fixed Income Discount Advisory Company (filed as Exhibit 10.2 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-151403) filed on October 14, 2008 and incorporated herein by reference)
|
|
10.3
|
Form of Amendment No. 2 to the Management Agreement between Chimera Investment Corporation and Fixed Income Discount Advisory Company (filed as Exhibit 10.1 to the Company’s Current Report on Form 8-K filed on October 20, 2008 and incorporated herein by reference)
|
|
10.4
|
Amendment No. 3 to the Management Agreement between Chimera Investment Corporation and Fixed Income Discount Advisory Company.
|
|
10.5†
|
Form of Equity Incentive Plan (filed as Exhibit 10.2 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.6†
|
Form of Restricted Common Stock Award (filed as Exhibit 10.3 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.7†
|
Form of Stock Option Grant (filed as Exhibit 10.4 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference)
|
|
10.8
|
Form of Master Securities Repurchase Agreement (filed as Exhibit 10.5 to the Company’s Registration Statement on Amendment No. 3 to Form S-11 (File No. 333-145525) filed on November 13, 2007 and incorporated herein by reference)
|
|
12.1
|
Computation of Ratio of Earnings to Fixed Charges
|
|
21.1
|
Subsidiaries of Registrant
|
|
31.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
31.2
|
Certification of A. Alexandra Denahan, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
32.1
|
Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
|
|
32.2
|
Certification of A. Alexandra Denahan, Chief Financial 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.
|
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 **
|
Reports of Independent Registered Public Accounting Firm
|
F-1
|
|
Consolidated Financial Statements
|
||
Consolidated Statements of Financial Condition as of December 31, 2011 and 2010 (Restated)
|
F-4
|
|
Consolidated Statements of Operations and Comprehensive Income (Loss) For the Years
|
||
Ended December 31, 2011, 2010 (Restated) and 2009 (Restated)
|
F-5
|
|
Consolidated Statements of Changes In Stockholders' Equity For the Years Ended
|
||
December 31, 2011, 2010 (Restated) and 2009 (Restated)
|
F-6
|
|
|
||
Consolidated Statements of Cash Flows For the Years Ended December 31, 2011, 2010
|
||
(Restated) and 2009 (Restated)
|
F-7
|
|
Notes to Consolidated Financial Statements (Restated as to note 16)
|
F-8
|
|
The design and operating effectiveness of the Company’s controls over the selection, application and review of the implementation of accounting policies in accordance with generally accepted accounting principles were insufficient. Specifically:
|
●
|
The Company’s resources and level of technical accounting expertise within the accounting function were insufficient to properly evaluate and account for the complexity of the Company’s investments in Non-Agency RMBS securities, Interest-Only Strips, impairment of securitized loans held for investment, and related disclosures in accordance with generally accepted accounting principles.
|
●
|
The Company’s review controls over significant estimates and the financial reporting process were not designed precisely enough to prevent or detect a material misstatement. There was no precise and direct independent review and validation of inputs used in significant estimates such as the determination of the fair value, impairment, or interest income related to investments in RMBS and securitized loans held for investment. There was no evidence of independent validation of calculations used in significant accounting estimates to ensure the accounting policies were appropriately implemented. In addition, there was no evidence of review of the schedules supporting the amounts and disclosures in the consolidated financial statements by a person, other than the preparer, with the necessary competency and authority.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
|
||||||||
(dollars in thousands, except share and per share data)
|
||||||||
December 31, 2011
|
December 31,
2010 (restated)
|
|||||||
Assets:
|
||||||||
Cash and cash equivalents
|
$ | 206,299 | $ | 7,173 | ||||
Non-Agency RMBS, at fair value
|
||||||||
Senior
|
1,020 | 342,578 | ||||||
Senior interest-only
|
188,679 | 160,964 | ||||||
Subordinated
|
606,895 | 635,452 | ||||||
Subordinated interest-only
|
22,019 | 32,449 | ||||||
Agency RMBS, at fair value
|
3,144,531 | 2,133,584 | ||||||
Accrued interest receivable
|
22,709 | 17,640 | ||||||
Other assets
|
1,403 | 1,214 | ||||||
Subtotal
|
4,193,555 | 3,331,054 | ||||||
Assets of Consolidated VIEs:
|
||||||||
Non-Agency RMBS transferred to consolidated variable interest entities ("VIEs"), at fair value
|
3,270,332 | 4,357,666 | ||||||
Securitized loans held for investment, net of allowance for loan losses of $13.9 million and $11.0 million, respectively
|
256,632 | 349,112 | ||||||
Accrued interest receivable
|
26,616 | 31,448 | ||||||
Subtotal
|
3,553,580 | 4,738,226 | ||||||
Total assets
|
$ | 7,747,135 | $ | 8,069,280 | ||||
Liabilities:
|
||||||||
Repurchase agreements, Agency RMBS ($2.9 billion and $1.7 billion pledged as collateral, respectively)
|
$ | 2,672,989 | $ | 1,600,078 | ||||
Repurchase agreements, Non-Agency RMBS ($0 and $249.4 million pledged as collateral, respectively)
|
- | 208,719 | ||||||
Payable for investments purchased
|
- | 127,693 | ||||||
Accrued interest payable
|
3,294 | 1,675 | ||||||
Dividends payable
|
112,937 | 174,445 | ||||||
Accounts payable and other liabilities
|
1,687 | 393 | ||||||
Investment management fees payable to affiliate
|
12,958 | 12,422 | ||||||
Interest rate swaps, at fair value
|
44,467 | 9,988 | ||||||
Subtotal
|
2,848,332 | 2,135,413 | ||||||
Non-Recourse Liabilities of Consolidated VIEs
|
||||||||
Securitized debt, Non-Agency RMBS transferred to consolidated VIEs ($3.3 billion and $4.4 billion pledged as collateral, respectively)
|
1,630,276 | 1,956,079 | ||||||
Securitized debt, loans held for investment ($238.0 million and $327.2 million pledged as collateral, respectively)
|
212,778 | 289,236 | ||||||
Accrued interest payable
|
8,130 | 9,966 | ||||||
Subtotal
|
1,851,184 | 2,255,281 | ||||||
Total liabilities
|
$ | 4,699,516 | $ | 4,390,694 | ||||
Commitments and Contingencies (See Note 15)
|
||||||||
Stockholders' Equity:
|
||||||||
Common stock: par value $0.01 per share; 1,500,000,000 shares authorized, 1,027,467,089 and 1,027,034,357 shares issued and outstanding, respectively
|
$ | 10,267 | $ | 10,261 | ||||
Additional paid-in-capital
|
3,603,739 | 3,601,890 | ||||||
Accumulated other comprehensive income (loss)
|
433,453 | 680,123 | ||||||
Retained earnings (accumulated deficit)
|
(999,840 | ) | (613,688 | ) | ||||
Total stockholders' equity
|
$ | 3,047,619 | $ | 3,678,586 | ||||
Total liabilities and stockholders' equity
|
$ | 7,747,135 | $ | 8,069,280 | ||||
|
CONSOLIDATED STATEMENTS OF OPERATIONS AND COMPREHENSIVE INCOME (LOSS)
|
||||||||||||
(dollars in thousands, except share and per share data)
|
||||||||||||
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
(restated)
|
December 31, 2009
(restated)
|
||||||||||
Net Interest Income:
|
||||||||||||
Interest income
|
$ | 254,028 | $ | 103,360 | $ | 261,243 | ||||||
Less: interest expense
|
11,941 | 7,749 | 9,871 | |||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
450,996 | 472,740 | 26,440 | |||||||||
Less: interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
122,917 | 138,699 | 25,212 | |||||||||
Net interest income (expense)
|
570,166 | 429,652 | 252,600 | |||||||||
Other-than-temporary impairments:
|
||||||||||||
Total other-than-temporary impairment losses
|
(418,119 | ) | (295,386 | ) | (290,228 | ) | ||||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
61,014
|
163,541 | 179,357 | |||||||||
Net other-than-temporary credit impairment losses
|
(357,105 | ) | (131,845 | ) | (110,871 | ) | ||||||
Other gains (losses):
|
||||||||||||
Unrealized gains (losses) on interest rate swaps
|
(34,478 | ) | (9,989 | ) | - | |||||||
Realized gains (losses) on interest rate swaps
|
(15,929 | ) | (5,788 | ) | - | |||||||
Gains (losses) on interest rate swaps
|
(50,407 | ) | (15,777 | ) | - | |||||||
Net unrealized gains (losses) on interest-only RMBS
|
(14,545 | ) | 3,846 | 2,920 | ||||||||
Realized gains (losses) on sales of investments, net
|
54,353 | 17,333 | 118,915 | |||||||||
Total other gains (losses)
|
(10,599 | ) | 5,402 | 121,835 | ||||||||
Net investment income (loss)
|
202,462 | 303,209 | 263,564 | |||||||||
Other expenses:
|
||||||||||||
Management fee to affiliate
|
51,969 | 40,924 | 25,704 | |||||||||
Provision for loan losses
|
5,291 | 7,109 | 3,102 | |||||||||
General and administrative expenses
|
7,267 | 6,015 | 4,061 | |||||||||
Total other expenses
|
64,527 | 54,048 | 32,867 | |||||||||
Income (loss) before income taxes
|
137,935 | 249,161 | 230,697 | |||||||||
Income taxes
|
606 | 756 | 1 | |||||||||
Net income (loss)
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | ||||||
Net income (loss) available per share to common shareholders:
|
||||||||||||
Basic
|
$ | 0.13 | $ | 0.30 | $ | 0.46 | ||||||
Diluted
|
$ | 0.13 | $ | 0.30 | $ | 0.45 | ||||||
Weighted average number of common shares outstanding:
|
||||||||||||
Basic
|
1,026,365,197 | 821,675,803 | 505,962,840 | |||||||||
Diluted
|
1,027,171,387 | 822,617,319 | 507,042,421 | |||||||||
Comprehensive income (loss):
|
||||||||||||
Net income (loss)
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | ||||||
Other comprehensive income (loss):
|
||||||||||||
Unrealized gains (losses) on available-for-sale securities, net
|
(549,422 | ) | 555,835 | 268,245 | ||||||||
Reclassification adjustment for net losses included in net income (loss) for other-than-temporary credit impairment losses
|
357,105
|
131,845 | 110,871 | |||||||||
Reclassification adjustment for net realized losses (gains) included in net income (loss)
|
(54,353
|
) | (17,333 | ) | (118,915 | ) | ||||||
Other comprehensive income (loss)
|
(246,670 | ) | 670,347 | 260,201 | ||||||||
Comprehensive income (loss)
|
$ | (109,341 | ) | $ | 918,752 | $ | 490,897 | |||||
See notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
|
||||||||||||||||||||
(dollars in thousands, except per share data)
|
||||||||||||||||||||
Common Stock
Par Value
|
Additional Paid-
in Capital
|
Accumulated
Other
Comprehensive
Income (Loss)
|
Retained
Earnings
(Accumulated
Deficit) |
Total
|
||||||||||||||||
Balance, December 31, 2008
|
$ | 1,760 | $ | 831,966 | $ | (266,668 | ) | $ | (152,603 | ) | $ | 414,455 | ||||||||
Cumulative effect of prior period adjustment (see Note 16)
|
- | - | 16,243 | (16,243 | ) | - | ||||||||||||||
Balance, December 31, 2008 (restated)
|
1,760 | 831,966 | (250,425 | ) | (168,846 | ) | 414,455 | |||||||||||||
Net income (loss) (restated)
|
- | - | - | 230,696 | 230,696 | |||||||||||||||
Other comprehensive income (loss) (restated)
|
- | - | 260,201 | - | 260,201 | |||||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
- | 50 | - | - | 50 | |||||||||||||||
Proceeds from common stock offerings
|
4,634 | 1,368,247 | - | - | 1,372,881 | |||||||||||||||
Proceeds from common stock offerings to affiliates
|
297 | 89,781 | - | - | 90,078 | |||||||||||||||
Equity-based compensation
|
2 | 570 | - | - | 572 | |||||||||||||||
Common dividends declared, $0.43 per share
|
- | - | - | (242,371 | ) | (242,371 | ) | |||||||||||||
Balance, December 31, 2009 (restated)
|
$ | 6,693 | $ | 2,290,614 | $ | 9,776 | $ | (180,521 | ) | $ | 2,126,562 | |||||||||
Net income (loss) (restated)
|
- | - | - | 248,405 | 248,405 | |||||||||||||||
Cumulative effect of change in accounting principle (restated)
|
- | - | - | (104,103 | ) | (104,103 | ) | |||||||||||||
Other comprehensive income (loss) (restated)
|
- | - | 670,347 | - | 670,347 | |||||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
- | 504 | - | - | 504 | |||||||||||||||
Proceeds from common stock offerings
|
3,567 | 1,310,057 | - | - | 1,313,624 | |||||||||||||||
Equity-based compensation
|
1 | 715 | - | - | 716 | |||||||||||||||
Common dividends declared, $0.69 per share
|
- | - | - | (577,469 | ) | (577,469 | ) | |||||||||||||
Balance, December 31, 2010 (restated)
|
$ | 10,261 | $ | 3,601,890 | $ | 680,123 | $ | (613,688 | ) | $ | 3,678,586 | |||||||||
Net income (loss)
|
- | - | - | 137,329 | 137,329 | |||||||||||||||
Other comprehensive income (loss)
|
- | - | (246,670 | ) | - | (246,670 | ) | |||||||||||||
Proceeds from direct purchase and dividend reinvestment
|
4 | 1,116 | - | - | 1,120 | |||||||||||||||
Proceeds from common stock offerings
|
- | 22 | - | - | 22 | |||||||||||||||
Equity-based compensation
|
2 | 711 | - | - | 713 | |||||||||||||||
Common dividends declared, $0.51 per share
|
- | - | - | (523,481 | ) | (523,481 | ) | |||||||||||||
Balance, December 31, 2011
|
$ | 10,267 | $ | 3,603,739 | $ | 433,453 | $ | (999,840 | ) | $ | 3,047,619 | |||||||||
See notes to consolidated financial statements.
|
CHIMERA INVESTMENT CORPORATION
|
||||||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS
|
||||||||||||
(dollars in thousands)
|
||||||||||||
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
(restated) |
December 31, 2009
(restated) |
||||||||||
Cash Flows From Operating Activities:
|
||||||||||||
Net income (loss)
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | ||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
|
||||||||||||
(Accretion) amortization of investment discounts/premiums, net
|
(60,705 | ) | (66,483 | ) | (42,393 | ) | ||||||
Amortization of debt issue costs of securitized debt
|
12,551 | 16,655 | 4,000 | |||||||||
Unrealized losses (gains) on interest rate swaps
|
34,478 | 9,989 | - | |||||||||
Net unrealized losses (gains) on interest-only RMBS
|
14,545 | (3,846 | ) | (2,920 | ) | |||||||
Realized losses (gains) on sales of investments, net
|
(54,353 | ) | (17,333 | ) | (118,915 | ) | ||||||
Net other-than-temporary credit impairment losses
|
357,105 | 131,845 | 110,871 | |||||||||
Provision for loan losses
|
5,291 | 7,109 | 3,102 | |||||||||
Equity-based compensation expense
|
713 | 716 | 572 | |||||||||
Changes in operating assets:
|
||||||||||||
Decrease (increase) in accrued interest receivable, net
|
(672 | ) | (17,570 | ) | (23,177 | ) | ||||||
Decrease (increase) in other assets
|
(190 | ) | 282 | (237 | ) | |||||||
Changes in operating liabilities:
|
||||||||||||
Increase (decrease) in accounts payable and other liabilities
|
1,294 | (79 | ) | 85 | ||||||||
Increase (decrease) in investment management fees payable to affiliate
|
536 | 3,903 | 6,227 | |||||||||
Increase (decrease) in accrued interest payable, net
|
(217 | ) | 8,406 | 770 | ||||||||
Net cash provided by (used in) operating activities
|
$ | 447,705 | 321,999 | 168,681 | ||||||||
Cash Flows From Investing Activities:
|
||||||||||||
RMBS portfolio:
|
||||||||||||
Purchases
|
(4,174,746 | ) | (4,022,951 | ) | (5,324,267 | ) | ||||||
Sales
|
2,628,994 | 896,261 | 1,857,210 | |||||||||
Principal payments
|
677,190 | 808,678 | 548,048 | |||||||||
RMBS transferred to consolidated VIEs:
|
||||||||||||
Principal payments
|
668,924 | 619,795 | - | |||||||||
Securitized loans:
|
||||||||||||
Principal payments
|
85,526 | 113,330 | 108,850 | |||||||||
Net cash provided by (used in) investing activities
|
$ | (114,112 | ) | $ | (1,584,887 | ) | $ | (2,810,159 | ) | |||
Cash Flows From Financing Activities:
|
||||||||||||
Proceeds from repurchase agreements
|
15,247,543 | 15,370,110 | 59,370,624 | |||||||||
Payments on repurchase agreements
|
(14,383,351 | ) | (15,536,715 | ) | (57,957,341 | ) | ||||||
Net proceeds from common stock offerings
|
22 | 1,313,623 | 1,372,881 | |||||||||
Net proceeds from common stock offerings to affiliates
|
- | - | 90,078 | |||||||||
Payments on securitized debt borrowings, loans held for investment
|
(80,181 | ) | (106,186 | ) | (102,393 | ) | ||||||
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs
|
310,972 | 1,295,657 | - | |||||||||
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs
|
(645,603 | ) | (574,399 | ) | - | |||||||
Net proceeds from direct purchase and dividend reinvestment
|
1,120 | 504 | 50 | |||||||||
Common dividends paid
|
(584,989 | ) | (516,812 | ) | (135,622 | ) | ||||||
Net cash provided by (used in) financing activities
|
$ | (134,467 | ) | $ | 1,245,782 | $ | 2,638,277 | |||||
Net increase (decrease) in cash and cash equivalents
|
199,126 | (17,106 | ) | (3,201 | ) | |||||||
Cash and cash equivalents at beginning of period
|
7,173 | 24,279 | 27,480 | |||||||||
Cash and cash equivalents at end of period
|
$ | 206,299 | $ | 7,173 | $ | 24,279 | ||||||
Supplemental disclosure of cash flow information:
|
||||||||||||
Interest received
|
$ | 640,199 | $ | 521,643 | $ | 221,617 | ||||||
Interest paid
|
$ | 120,688 | $ | 129,419 | $ | 29,805 | ||||||
Taxes paid
|
$ | - | $ | 756 | $ | 1 | ||||||
Management fees paid
|
$ | 51,383 | $ | 37,212 | $ | 19,479 | ||||||
Non-cash investing activities:
|
||||||||||||
Payable for investments purchased
|
$ | - | $ | 127,693 | $ | - | ||||||
Net change in unrealized gain (loss) on available-for sale securities
|
$ | (246,670 | ) | $ | 670,347 | $ | 260,201 | |||||
Non-cash financing activities:
|
||||||||||||
Common dividends declared, not yet paid
|
$ | 112,937 | $ | 174,445 | $ | 113,789 | ||||||
See notes to consolidated financial statements.
|
|
·
|
Agency RMBS
|
|
·
|
Non-Agency RMBS that meet each of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”):
|
|
1.
|
Rated AA or higher by a nationally recognized credit rating agency.
|
|
2.
|
We expect to collect substantially all of the security’s contractual cash flows.
|
|
3.
|
The security cannot be contractually prepaid such that we would not recover our initial investment.
|
|
1.
|
There is evidence of deterioration in credit quality of the security from its inception.
|
|
2.
|
It is probable that we will not collect all contractual cash flows on the security.
|
|
1.
|
The security is rated below AA (or is unrated) or the security can be contractually prepaid such that we would not recover our initial investment.
|
|
2.
|
We expect to collect substantially all contractual cash flows.
|
December 31, 2011
|
|||||||||||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||||||||||
Principal or Notional Value
|
Total
Premium
|
Total
Discount
|
Amortized
Cost
|
Fair
Value
|
Gross
Unrealized
Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||
Senior
|
$ | 1,115 | $ | - | $ | (56 | ) | $ | 1,059 | $ | 1,020 | $ | 2 | $ | (41 | ) | $ | (39 | ) | ||||||||||||||
Senior interest-only
|
3,734,452 | 199,288 | - | 199,288 | 188,679 | 11,308 | (21,917 | ) | (10,609 | ) | |||||||||||||||||||||||
Subordinated
|
1,378,891 | - | (724,739 | ) | 654,152 | 606,895 | 30,997 | (78,254 | ) | (47,257 | ) | ||||||||||||||||||||||
Subordinated interest-only
|
277,560 | 21,910 | - | 21,910 | 22,019 | 1,663 | (1,554 | ) | 109 | ||||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities ("VIEs")
|
5,265,128 | 19,869 | (2,382,995 | ) | 2,902,002 | 3,270,332 | 420,505 | (52,175 | ) | 368,330 | |||||||||||||||||||||||
Agency RMBS
|
2,937,041 | 90,403 | (159 | ) | 3,027,285 | 3,144,531 | 117,601 | (355 | ) | 117,246 | |||||||||||||||||||||||
Total
|
$ | 13,594,187 | $ | 331,470 | $ | (3,107,949 | ) | $ | 6,805,696 | $ | 7,233,476 | $ | 582,076 | $ | (154,296 | ) | $ | 427,780 | |||||||||||||||
December 31, 2010
|
|||||||||||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||||||||||
Principal or Notional Value
|
Total
Premium
|
Total
Discount
|
Amortized
Cost
|
Fair
Value
|
Gross
Unrealized
Gains
|
Gross Unrealized Losses
|
Net Unrealized Gain/(Loss)
|
||||||||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||||||||||
Senior
|
$ | 343,203 | $ | 53 | $ | (477 | ) | $ | 342,779 | $ | 342,578 | $ | 100 | $ | (301 | ) | $ | (201 | ) | ||||||||||||||
Senior interest-only
|
2,699,496 | 158,728 | - | 158,728 | 160,964 | 5,968 | (3,732 | ) | 2,236 | ||||||||||||||||||||||||
Subordinated
|
1,197,998 | - | (565,301 | ) | 632,697 | 635,452 | 11,879 | (9,124 | ) | 2,755 | |||||||||||||||||||||||
Subordinated interest-only
|
282,364 | 28,556 | - | 28,556 | 32,449 | 3,893 | - | 3,893 | |||||||||||||||||||||||||
RMBS transferred to consolidated variable interest entities ("VIEs")
|
6,094,172 | 25,568 | (2,411,758 | ) | 3,707,982 | 4,357,666 | 710,223 | (60,539 | ) | 649,684 | |||||||||||||||||||||||
Agency RMBS
|
2,035,824 | 67,132 | - | 2,102,956 | 2,133,584 | 47,718 | (17,090 | ) | 30,628 | ||||||||||||||||||||||||
Total
|
$ | 12,653,057 | $ | 280,037 | $ | (2,977,536 | ) | $ | 6,973,698 | $ | 7,662,693 | $ | 779,781 | $ | (90,786 | ) | $ | 688,995 | |||||||||||||||
For the Year Ended
|
||||||||
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands)
|
||||||||
Balance at beginning of period
|
$ | 2,521,723 | $ | 2,438,605 | ||||
Purchases
|
139,347 | 1,054,800 | ||||||
Accretion
|
(392,779 | ) | (389,534 | ) | ||||
Reclassification (to) from non-accretable difference
|
127,978 | (311,763 | ) | |||||
Sales
|
(53,807 | ) | (270,385 | ) | ||||
Balance at end of period
|
$ | 2,342,462 | $ | 2,521,723 |
December 31, 2011
|
||||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
Unrealized Loss Position For:
|
||||||||||||||||||||||||||||||||||||
Less than 12 Months
|
12 Months or More
|
|||||||||||||||||||||||||||||||||||
Estimated
Fair Value
|
Unrealized
Losses
|
Number of Securities
|
Estimated
Fair Value
|
Unrealized
Losses
|
Number of Securities
|
Estimated
Fair Value
|
Gross
UnrealizedLosses
|
Number
of
Securities
|
||||||||||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||||||||||||||||||
Senior | $ | - | $ | - | - | $ | 127 | $ | (41 | ) | 1 | $ | 127 | $ | (41 | ) | 1 | |||||||||||||||||||
Senior interest-only | 99,351 | (18,756 | ) | 26 | 17,647 | (3,161 | ) | 12 | 116,998 | (21,917 | ) | 38 | ||||||||||||||||||||||||
Subordinated | 321,416 | (52,824 | ) | 33 | 111,167 | (25,430 | ) | 17 | 432,583 | (78,254 | ) | 50 | ||||||||||||||||||||||||
Subordinated interest-
only
|
16,300 | (1,554 | ) | 2 | - | - | - | 16,300 | (1,554 | ) | 2 | |||||||||||||||||||||||||
RMBS transferred to
consolidated VIEs
|
- | - | - | 594,369 | (52,175 | ) | 18 | 594,369 | (52,175 | ) | 18 | |||||||||||||||||||||||||
Agency RMBS
|
3,888 | (355 | ) | 2 | - | - | - | 3,888 | (355 | ) | 2 | |||||||||||||||||||||||||
Total
|
$ | 440,955 | $ | (73,489 | ) | 63 | $ | 723,310 | $ | (80,807 | ) | 48 | $ | 1,164,265 | $ | (154,296 | ) | 111 | ||||||||||||||||||
December 31, 2010
|
||||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
Unrealized Loss Position For:
|
||||||||||||||||||||||||||||||||||||
Less than 12 Months
|
12 Months or More
|
|||||||||||||||||||||||||||||||||||
Estimated
Fair Value
|
Unrealized
Losses
|
Number of Securities
|
Estimated
Fair Value
|
Unrealized
Losses
|
Number of Securities
|
Estimated
Fair Value
|
Gross
Unrealized
Losses
|
Number
of
Securities
|
||||||||||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||||||||||||||||||
Senior | $ | 32,882 | $ | (178 | ) | 4 | $ | 163 | $ | (123 | ) | 1 | $ | 33,045 | $ | (301 | ) | 5 | ||||||||||||||||||
Senior interest-only | 45,669 | (3,693 | ) | 18 | 37 | (39 | ) | 1 | 45,706 | (3,732 | ) | 19 | ||||||||||||||||||||||||
Subordinated | 179,368 | (9,077 | ) | 29 | 881 | (47 | ) | 5 | 180,249 | (9,124 | ) | 34 | ||||||||||||||||||||||||
RMBS transferred to
consolidated VIEs
|
266,933 | (10,621 | ) | 4 | 254,529 | (49,918 | ) | 12 | 521,462 | (60,539 | ) | 16 | ||||||||||||||||||||||||
Agency RMBS
|
598,352 | (16,927 | ) | 5 | 2,112 | (163 | ) | 1 | 600,464 | (17,090 | ) | 6 | ||||||||||||||||||||||||
Total
|
$ | 1,123,204 | $ | (40,496 | ) | 60 | $ | 257,722 | $ | (50,290 | ) | 20 | $ | 1,380,926 | $ | (90,786 | ) | 80 |
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
Other-than-temporary impairments
|
(dollars in thousands)
|
|||||||||||
Total other-than-temporary impairment losses
|
$ | (418,119 | ) | $ | (295,386 | ) | $ | (290,228 | ) | |||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
61,014 | 163,541 | 179,357 | |||||||||
Net other-than-temporary credit impairment losses
|
$ | (357,105 | ) | $ | (131,845 | ) | $ | (110,871 | ) |
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
(dollars in thousands)
|
||||||||||||
Cumulative credit impairment loss beginning balance
|
$ | 84,255 | $ | 60,043 | $ | 28,190 | ||||||
Additions:
|
||||||||||||
Other-than-temporary impairments not previously recognized
|
219,393 | 76,285 | 82,077 | |||||||||
Reductions for securities sold during the period
|
(6,918 | ) | (11,189 | ) | (310 | ) | ||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
137,712 | 55,560 | 28,794 | |||||||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities
|
(359,708 | ) | (96,444 | ) | (78,708 | ) | ||||||
Cumulative credit impairment loss ending balance
|
$ | 74,734 | $ | 84,255 | $ | 60,043 |
For the Year Ended | |||
December 31, 2011
|
December 31, 2010
|
||
Loss Severity
|
|||
Weighted Average
|
59%
|
50%
|
|
Range
|
34% - 97%
|
26% - 82%
|
|
60+ days delinquent
|
|||
Weighted Average
|
30%
|
32%
|
|
Range
|
0% - 68%
|
0% - 49%
|
|
Credit Enhancement (1)
|
|||
Weighted Average
|
10%
|
16%
|
|
Range
|
0% - 91%
|
0% - 86%
|
|
3 Month CPR
|
|||
Weighted Average
|
15%
|
16%
|
|
Range
|
0% - 83%
|
0% - 39%
|
|
12 Month CPR
|
|||
Weighted Average
|
16%
|
17%
|
|
Range
|
4% - 56%
|
1% - 35%
|
|
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.
|
December 31, 2011
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
Total Gross Unrealized Loss
|
||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 2 | $ | - | $ | 2 | $ | (41 | ) | $ | - | $ | (41 | ) | |||||||||||
Senior interest-only
|
- | 11,308 | 11,308 | - | (21,917 | ) | (21,917 | ) | |||||||||||||||||
Subordinated
|
30,997 | - | 30,997 | (78,254 | ) | - | (78,254 | ) | |||||||||||||||||
Subordinated interest-only
|
- | 1,663 | 1,663 | - | (1,554 | ) | (1,554 | ) | |||||||||||||||||
RMBS transferred to consolidated VIEs
|
415,688 | 4,817 | 420,505 | (52,175 | ) | - | (52,175 | ) | |||||||||||||||||
Agency RMBS
|
117,236 | 365 | 117,601 | - | (355 | ) | (355 | ) | |||||||||||||||||
Total
|
$ | 563,923 | $ | 18,153 | $ | 582,076 | $ | (130,470 | ) | $ | (23,826 | ) | $ | (154,296 | ) |
December 31, 2010
|
|||||||||||||||||||||||||
(dollars in thousands)
|
|||||||||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Gain Included in Accumulated Deficit
|
Total Gross Unrealized Gain
|
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income
|
Gross Unrealized Loss Included in Accumulated Deficit
|
Total Gross Unrealized Loss
|
||||||||||||||||||||
Non-Agency RMBS
|
|||||||||||||||||||||||||
Senior
|
$ | 100 | $ | - | $ | 100 | $ | (301 | ) | $ | - | $ | (301 | ) | |||||||||||
Senior interest-only
|
- | 5,968 | 5,968 | - | (3,732 | ) | (3,732 | ) | |||||||||||||||||
Subordinated
|
11,879 | - | 11,879 | (9,124 | ) | - | (9,124 | ) | |||||||||||||||||
Subordinated interest-only
|
- | 3,893 | 3,893 | - | - | - | |||||||||||||||||||
RMBS transferred to consolidated VIEs
|
707,317 | 2,906 | 710,223 | (60,539 | ) | - | (60,539 | ) | |||||||||||||||||
Agency RMBS
|
47,718 | - | 47,718 | (16,927 | ) | (163 | ) | (17,090 | ) | ||||||||||||||||
Total
|
$ | 767,014 | $ | 12,767 | $ | 779,781 | $ | (86,891 | ) | $ | (3,895 | ) | $ | (90,786 | ) |
December 31, 2011
|
||||||||||||||||||||
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
||||||||||||||||
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||
Senior
|
$ | 1,115 | $ | 95.13 | $ | 91.55 | 1.02 | % | 2.95 | % | ||||||||||
Senior, interest only
|
$ | 3,734,452 | $ | 5.34 | $ | 5.05 | 1.96 | % | 13.28 | % | ||||||||||
Subordinated
|
$ | 1,378,891 | $ | 47.44 | $ | 44.01 | 3.44 | % | 9.57 | % | ||||||||||
Subordinated, interest only
|
$ | 277,560 | $ | 7.89 | $ | 7.93 | 2.94 | % | 9.93 | % | ||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 5,265,128 | $ | 55.14 | $ | 62.11 | 5.32 | % | 14.56 | % | ||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,937,041 | $ | 103.07 | $ | 107.06 | 4.66 | % | 3.83 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
|
December 31, 2010
|
||||||||||||||||||||
Principal or Notional Value at Period-End
(dollars in thousands)
|
Weighted Average Amortized Cost Basis
|
Weighted Average Fair Value
|
Weighted Average Coupon
|
Weighted Average Yield at Period-End
(1)
|
||||||||||||||||
Non-Agency Mortgage-Backed Securities
|
||||||||||||||||||||
Senior
|
$ | 343,203 | $ | 99.88 | $ | 99.82 | 3.62 | % | 3.34 | % | ||||||||||
Senior, interest only
|
$ | 2,699,496 | $ | 5.88 | $ | 5.96 | 2.25 | % | 14.45 | % | ||||||||||
Subordinated
|
$ | 1,197,998 | $ | 52.81 | $ | 53.04 | 2.59 | % | 6.91 | % | ||||||||||
Subordinated, interest only
|
$ | 282,364 | $ | 10.11 | $ | 11.49 | 3.21 | % | 9.73 | % | ||||||||||
RMBS transferred to consolidated variable interest entities
|
$ | 6,094,172 | $ | 60.83 | $ | 71.53 | 5.77 | % | 12.03 | % | ||||||||||
Agency Mortgage-Backed Securities
|
$ | 2,035,824 | $ | 103.30 | $ | 104.80 | 4.91 | % | 4.23 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
|
December 31, 2011
|
December 31, 2010
|
|
AAA
|
0.53%
|
3.11%
|
AA
|
0.14%
|
1.61%
|
A
|
0.45%
|
1.19%
|
BBB
|
1.54%
|
0.45%
|
BB
|
0.00%
|
0.36%
|
B
|
0.43%
|
0.06%
|
Below B or not rated
|
96.91%
|
93.22%
|
Total
|
100.00%
|
100.00%
|
December 31, 2011
|
||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Weighted Average Life
|
||||||||||||||||||||
Less than one year
|
Greater than one year and less than five years
|
Greater than five years and less than ten years
|
Greater than ten years
|
Total
|
||||||||||||||||
Fair value
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 892 | $ | - | $ | 128 | $ | - | $ | 1,020 | ||||||||||
Senior interest-only
|
- | 85,633 | 69,204 | 33,842 | 188,679 | |||||||||||||||
Subordinated
|
6,530 | 101,984 | 259,549 | 238,832 | 606,895 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,812 | 20,207 | 22,019 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
25,375 | 338,616 | 2,119,030 | 787,311 | 3,270,332 | |||||||||||||||
Agency RMBS
|
17,932 | 1,735,106 | 824,645 | 566,848 | 3,144,531 | |||||||||||||||
Total fair value
|
$ | 50,729 | $ | 2,261,339 | $ | 3,274,368 | $ | 1,647,040 | $ | 7,233,476 | ||||||||||
Amortized cost
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 891 | $ | - | $ | 168 | $ | - | $ | 1,059 | ||||||||||
Senior interest-only
|
- | 95,974 | 69,953 | 33,361 | 199,288 | |||||||||||||||
Subordinated
|
5,616 | 98,657 | 300,489 | 249,390 | 654,152 | |||||||||||||||
Subordinated interest-only
|
- | - | 1,946 | 19,964 | 21,910 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
32,806 | 296,144 | 1,827,000 | 746,052 | 2,902,002 | |||||||||||||||
Agency RMBS
|
17,610 | 1,663,917 | 798,632 | 547,126 | 3,027,285 | |||||||||||||||
Total amortized cost
|
$ | 56,923 | $ | 2,154,692 | $ | 2,998,188 | $ | 1,595,893 | $ | 6,805,696 |
December 31, 2010
|
||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Weighted Average Life
|
||||||||||||||||||||
Less than one year
|
Greater than one year and less than five years
|
Greater than five years and less than ten years
|
Greater than ten years
|
Total
|
||||||||||||||||
Fair value
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 9,745 | $ | 332,670 | $ | 163 | $ | - | $ | 342,578 | ||||||||||
Senior interest-only
|
- | 27,382 | 106,561 | 27,021 | 160,964 | |||||||||||||||
Subordinated
|
242 | 79,417 | 128,089 | 427,704 | 635,452 | |||||||||||||||
Subordinated interest-only
|
- | - | - | 32,449 | 32,449 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
1,615 | 392,716 | 3,018,948 | 944,387 | 4,357,666 | |||||||||||||||
Agency RMBS
|
- | 1,560,859 | 572,725 | - | 2,133,584 | |||||||||||||||
Total fair value
|
$ | 11,602 | $ | 2,393,044 | $ | 3,826,486 | $ | 1,431,561 | $ | 7,662,693 | ||||||||||
Amortized cost
|
||||||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||||||
Senior
|
$ | 9,778 | $ | 332,715 | $ | 286 | $ | - | $ | 342,779 | ||||||||||
Senior interest-only
|
- | 25,547 | 106,255 | 26,926 | 158,728 | |||||||||||||||
Subordinated
|
9 | 76,797 | 125,928 | 429,963 | 632,697 | |||||||||||||||
Subordinated interest-only
|
- | - | - | 28,556 | 28,556 | |||||||||||||||
RMBS transferred to consolidated VIEs
|
13,021 | 365,109 | 2,464,348 | 865,504 | 3,707,982 | |||||||||||||||
Agency RMBS
|
- | 1,513,644 | 589,312 | - | 2,102,956 | |||||||||||||||
Total amortized cost
|
$ | 22,808 | $ | 2,313,812 | $ | 3,286,129 | $ | 1,350,949 | $ | 6,973,698 |
December 31, 2011
|
December 31, 2010
|
|||
Weighted average maturity (years)
|
25.7
|
26.9
|
||
Weighted average amortized loan to value (1)
|
71.5%
|
72.4%
|
||
Weighted average FICO (2)
|
718.4
|
718.7
|
||
Weighted average loan balance (in thousands)
|
$469.0
|
$472.0
|
||
Weighted average percentage owner occupied
|
85.3%
|
84.0%
|
||
Weighted average percentage single family residence
|
65.6%
|
63.8%
|
||
Weighted average current credit enhancement
|
4.5%
|
8.5%
|
||
Weighted average geographic concentration of top five states
|
CA
|
38.1%
|
CA
|
39.6%
|
FL
|
8.5%
|
FL
|
8.8%
|
|
NY
|
6.1%
|
NY
|
5.0%
|
|
NJ
|
2.7%
|
VA
|
2.6%
|
|
VA
|
2.4%
|
NJ
|
2.2%
|
|
(1) Value represents appraised value of the collateral at the time of loan origination.
|
||||
(2) FICO as determined at the time of loan origination.
|
Origination Year
|
December 31, 2011
|
December 31, 2010
|
2001
|
0.2%
|
0.0%
|
2003
|
0.9%
|
0.0%
|
2004
|
1.3%
|
0.1%
|
2005
|
13.8%
|
18.9%
|
2006
|
31.8%
|
36.7%
|
2007
|
48.7%
|
40.4%
|
2008
|
3.3%
|
3.9%
|
Total
|
100.0%
|
100.0%
|
For the Year Ended | |||||||
December 31, 2011
|
December 31, 2010
|
||||||
(dollars in thousands) | |||||||
Balance, beginning of period
|
$ | 349,112 | $ | 470,533 | |||
Principal paydowns
|
(85,526 | ) | (113,330 | ) | |||
Net periodic amortization (accretion)
|
(1,663 | ) | (982 | ) | |||
Change to loan loss provision
|
(2,932 | ) | (6,455 | ) | |||
Charge-offs
|
(2,359 | ) | (654 | ) | |||
Balance, end of period
|
$ | 256,632 | $ | 349,112 |
December 31, 2011
|
December 31, 2010
|
||||||
(dollars in thousands) | |||||||
Securitized loans, at amortized cost
|
$ | 270,570 | $ | 360,118 | |||
Less: allowance for loan losses
|
13,938 | 11,006 | |||||
Securitized loans held for investment
|
$ | 256,632 | $ | 349,112 |
December 31, 2011
|
December 31, 2010
|
|||
Number of loans
|
392
|
513
|
||
Weighted average maturity (years)
|
25.8
|
26.6
|
||
Weighted average loan to value (1)
|
75.5%
|
74.5%
|
||
Weighted average FICO (2)
|
752
|
755
|
||
Weighted average loan balance (in thousands)
|
$684.0
|
$694.3
|
||
Weighted average percentage owner occupied
|
91.1%
|
90.5%
|
||
Weighted average percentage single family residence
|
58.1%
|
58.2%
|
||
Weighted average geographic concentration of top five states
|
CA
|
36.0%
|
CA
|
33.3%
|
FL
|
6.1%
|
FL
|
6.7%
|
|
AZ
|
5.8%
|
NJ
|
5.3%
|
|
NJ
|
5.4%
|
IL
|
5.3%
|
|
IL
|
5.3%
|
AZ
|
5.2%
|
|
(1) Value represents appraised value of the collateral at the time of loan origination.
|
||||
(2) FICO as determined at the time of loan origination.
|
For the Year Ended
|
|||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
|||||||||
(dollars in thousands)
|
|||||||||||
Balance, beginning of period
|
$ | 11,006 | $ | 4,551 | $ | 1,621 | |||||
Provision for loan losses
|
5,291 | 7,109 | 3,102 | ||||||||
Charge-offs
|
(2,359 | ) | (654 | ) | (172 | ) | |||||
Balance, end of period
|
$ | 13,938 | $ | 11,006 | $ | 4,551 |
30 Days Delinquent
|
60 Days Delinquent
|
90+ Days Delinquent
|
Bankruptcy
|
Foreclosure
|
REO
|
Total
|
||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||
December 31, 2011
|
$ | 1,342 | $ | 1,828 | $ | 2,338 | $ | 1,659 | $ | 3,626 | $ | 5,201 | $ | 15,994 | ||||||||||||||
December 31, 2010
|
$ | 1,664 | $ | 1,554 | $ | 9,649 | $ | 937 | $ | 1,295 | $ | 1,120 | $ | 16,219 |
Number of Loans Modified During Period
|
Unpaid Principal Balance of Modified Loans (Pre-modification)
|
Unpaid Principal Balance of Modified Loans (Post-modification)
|
Amortized Cost of Modified Loans
|
Amortized Cost of Modified Loans For Which There is an Allowance for Loan Losses
|
Amortized Cost of Modified Loans For Which There is No Allowance for Loan Losses
|
|||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
December 31, 2011
|
7 | $ | 5,496 | $ | 5,798 | $ | 5,851 | $ | 5,851 | $ | 0 | |||||||||||||
December 31, 2010
|
14 | $ | 11,385 | $ | 11,975 | $ | 12,114 | $ | 12,114 | $ | 0 |
December 31, 2011
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | - | $ | 1,020 | ||||||
Senior interest-only
|
- | - | 188,679 | |||||||||
Subordinated
|
- | - | 606,895 | |||||||||
Subordinated interest-only
|
- | - | 22,019 | |||||||||
RMBS transferred to consolidated VIEs
|
- | - | 3,270,332 | |||||||||
Agency mortgage-backed securities
|
- | 3,144,531 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 44,467 | - |
December 31, 2010 (restated)
|
||||||||||||
Level 1
|
Level 2
|
Level 3
|
||||||||||
(dollars in thousands)
|
||||||||||||
Assets:
|
||||||||||||
Non-Agency RMBS
|
||||||||||||
Senior
|
$ | - | $ | - | $ | 342,578 | ||||||
Senior interest-only
|
- | - | 160,964 | |||||||||
Subordinated
|
- | - | 635,452 | |||||||||
Subordinated interest-only
|
- | - | 32,449 | |||||||||
RMBS transferred to consolidated VIEs
|
- | - | 4,357,666 | |||||||||
Agency mortgage-backed securities
|
- | 2,133,584 | - | |||||||||
Liabilities:
|
||||||||||||
Interest rate swaps
|
- | 9,988 | - |
Fair Value Reconciliation, Level 3
|
||||||||
(dollars in thousands)
|
||||||||
For the Year Ended | ||||||||
December 31, 2011
|
December 31, 2010 (restated)
|
|||||||
Non-Agency RMBS
|
||||||||
Beginning balance Level 3 assets
|
$ | 5,529,109 | 2,398,865 | |||||
Additions due to adoption of ASC 810
|
- | 1,899,971 | ||||||
Reductions due to adoption of ASC 810
|
- | (874,963 | ) | |||||
Purchases
|
446,207 | 3,092,549 | ||||||
Principal payments
|
(695,277 | ) | (869,418 | ) | ||||
Sales
|
(631,642 | ) | (835,355 | ) | ||||
Accretion of investment discounts
|
81,224 | 85,174 | ||||||
Gains (losses) included in net income
|
||||||||
Other than temporary credit impairment losses
|
(357,105 | ) | (131,845 | ) | ||||
Realized gains (losses) on sales
|
445 | 15,239 | ||||||
Net unrealized gains (losses) on interest-only RMBS
|
(14,717 | ) | 3,993 | |||||
Gains (losses) included in other comprehensive income
|
||||||||
Total unrealized gains (losses) for the period
|
(269,299 | ) | 744,899 | |||||
Ending balance Level 3 assets
|
$ | 4,088,945 | $ | 5,529,109 |
December 31, 2011
|
December 31, 2010
|
|||||||||||||||
Carrying
Amount |
Estimated Fair Value
|
Carrying
Amount |
Estimated Fair Value
|
|||||||||||||
(dollars in thousands) | ||||||||||||||||
Non-Agency RMBS
|
$ | 4,088,945 | $ | 4,088,945 | $ | 5,529,109 | $ | 5,529,109 | ||||||||
Agency RMBS
|
3,144,531 | 3,144,531 | 2,133,584 | 2,133,584 | ||||||||||||
Securitized loans held for investment
|
256,632 | 237,977 | 349,112 | 327,159 | ||||||||||||
Repurchase agreements
|
(2,672,989 | ) | (2,677,402 | ) | (1,808,797 | ) | (1,811,575 | ) | ||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
(1,630,276 | ) | (1,546,237 | ) | (1,956,079 | ) | (1,887,121 | ) | ||||||||
Securitized debt, loans held for investment
|
(212,778 | ) | (222,921 | ) | (289,236 | ) | (303,102 | ) | ||||||||
Interest rate swaps
|
(44,467 | ) | (44,467 | ) | (9,988 | ) | (9,988 | ) |
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Overnight
|
$ | - | $ | - | ||||
1-29 days
|
1,368,945 | 232,265 | ||||||
30 to 59 days
|
836,007 | 970,394 | ||||||
60 to 89 days
|
- | 545,442 | ||||||
90 to 119 days
|
171,836 | 60,696 | ||||||
Greater than or equal to 120 days
|
296,201 | - | ||||||
Total
|
$ | 2,672,989 | $ | 1,808,797 |
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands) | ||||||||
Within One Year
|
$ | 488,886 | $ | 634,988 | ||||
One to Three Years
|
598,921 | 831,305 | ||||||
Three to Five Years
|
276,965 | 305,953 | ||||||
Greater Than or Equal to Five Years
|
404,386 | 417,977 | ||||||
Total
|
$ | 1,769,158 | $ | 2,190,223 |
Carrying Value (1)
|
||||
(dollars in thousands)
|
||||
Assets
|
||||
Non-Agency RMBS transferred to consolidated VIEs
|
$ | 1,098,118 | ||
Liabilities
|
||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
1,202,221 | |||
Net assets and liabilities of newly consolidated entities
|
(104,103 | ) | ||
Cumulative effect of change in accounting principle
|
$ | (104,103 | ) | |
(1) Carrying value represents the amount the assets would have been recorded at in the consolidated financial statements at January 1, 2010 had they been recorded in the consolidated financial statements on the date the Company first met the conditions for consolidation under the new accounting principle.
|
December 31, 2011
|
December 31, 2010
|
|||||||
(dollars in thousands)
|
||||||||
Assets
|
||||||||
Non-Agency RMBS transferred to consolidated VIEs
|
$ | 3,270,332 | $ | 4,357,666 | ||||
Securitized loans
|
256,632 | 349,112 | ||||||
Accrued interest receivable
|
26,616 | 31,448 | ||||||
Liabilities
|
||||||||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs
|
$ | 1,630,276 | $ | 1,956,079 | ||||
Securitized debt, loans held for investment
|
212,778 | 289,236 | ||||||
Accrued interest payable
|
8,130 | 9,966 |
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
(dollars in thousands)
|
||||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
$ | 450,996 | $ | 472,740 | $ | 26,440 | ||||||
Less: interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs
|
122,917 | 138,699 | 25,212 | |||||||||
Net interest income
|
$ | 328,079 | $ | 334,041 | $ | 1,228 | ||||||
Total other-than-temporary impairment losses
|
$ | (239,828 | ) | $ | (183,746 | ) | $ | - | ||||
Non-credit portion of loss recognized in other comprehensive income (loss)
|
(18,731 | ) | 95,756 | - | ||||||||
Net other-than-temporary credit impairment losses
|
$ | (258,559 | ) | $ | (87,990 | ) | $ | - |
For the Year Ended
|
||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
(dollars in thousands)
|
||||||||||||
Amortization of debt issue costs of securitized debt
|
$ | 12,551 | $ | 16,655 | 4,000 | |||||||
Payments on securitized debt borrowings, loans held for investment
|
(80,181 | ) | (106,186 | ) | (102,393 | ) | ||||||
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs
|
310,972 | 1,295,657 | - | |||||||||
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs
|
(645,603 | ) | (574,399 | ) | - | |||||||
Decrease (increase) in accrued interest receivable
|
(4,832 | ) | 27,986 | 496 | ||||||||
Increase (decrease) in accrued interest payable
|
(1,836 | ) | 8,032 | 508 | ||||||||
Net cash provided by/(used in) consolidated VIEs
|
$ | (408,929 | ) | $ | 667,745 | $ | (97,389 | ) |
December 31, 2011
|
December 31, 2010
|
|||||||||||||||
Amortized Cost
|
Fair Value
|
Amortized Cost
|
Fair Value
|
|||||||||||||
(dollars in thousands)
|
||||||||||||||||
Assets
|
||||||||||||||||
Non-Agency RMBS
|
||||||||||||||||
Senior
|
$ | 168 | $ | 127 | $ | 286 | $ | 163 | ||||||||
Senior interest-only
|
128 | 266 | 128 | 397 | ||||||||||||
Subordinated
|
4,651 | 4,858 | 5,790 | 6,485 | ||||||||||||
Agency RMBS
|
1,890 | 2,273 | 2,680 | 2,530 | ||||||||||||
Total
|
$ | 6,837 | $ | 7,524 | $ | 8,884 | $ | 9,575 |
Location on Consolidated
Statement of Financial Condition
|
Notional Amount
|
Net Estimated Fair Value/Carrying Value
|
Net Estimated
Fair Value of RMBS Pledged as Collateral
|
||||||||||
(dollars in thousands)
|
|||||||||||||
December 31, 2011
|
Liabilities
|
$ | 950,000 | $ | (44,467 | ) | $ | 46,647 | |||||
December 31, 2010
|
Liabilities
|
$ | 450,000 | $ | (9,988 | ) | $ | 12,818 |
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) | ||||||||
Realized Gains (Losses) on Interest Rate Swaps |
Unrealized Gains (Losses) on Interest Rate Swaps
|
|||||||
(dollars in thousands)
|
||||||||
For the Year Ended:
|
||||||||
December 31, 2011
|
$ | (15,929 | ) | $ | (34,478 | ) | ||
December 31, 2010
|
$ | (5,788 | ) | $ | (9,989 | ) |
For the Year Ended | ||||||||||||
December 31, 2011
|
December 31, 2010
|
December 31, 2009
|
||||||||||
(dollars in thousands)
|
||||||||||||
Numerator:
|
||||||||||||
Net income
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | ||||||
Effect of dilutive securities:
|
- | - | - | |||||||||
Dilutive net income available to stockholders
|
$ | 137,329 | $ | 248,405 | $ | 230,696 | ||||||
Denominator:
|
||||||||||||
Average shares available to common stockholders
|
1,026,365,197 | 821,675,803 | 505,962,840 | |||||||||
Effect of dilutive securities:
|
806,190 | 941,516 | 1,079,581 | |||||||||
Weighted Average Dilutive Shares
|
1,027,171,387 | 822,617,319 | 507,042,421 | |||||||||
Net income per average share attributable to common stockholders - Basic
|
$ | 0.13 | $ | 0.30 | $ | 0.46 | ||||||
Net income per average share attributable to common stockholders - Diluted
|
$ | 0.13 | $ | 0.30 | $ | 0.45 |
For the Year Ended
|
||||||||||||||||
December 31, 2011
|
December 31, 2010
|
|||||||||||||||
Number of Shares
|
Weighted Average Grant Date Fair Value
|
Number of Shares
|
Weighted Average Grant Date Fair Value
|
|||||||||||||
Unvested shares outstanding - beginning of period
|
884,800 | 17.72 | 1,031,200 | 17.72 | ||||||||||||
Granted
|
98,544 | 2.74 | 57,483 | 4.11 | ||||||||||||
Vested
|
(222,994 | ) | 11.16 | (182,813 | ) | 13.88 | ||||||||||
Forfeited
|
(1,950 | ) | 17.72 | (21,070 | ) | 17.72 | ||||||||||
Unvested shares outstanding - end of period
|
758,400 | 17.72 | 884,800 | 17.72 |
At December 31, 2010
|
||||||||||||
(dollars in thousands)
|
||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||
Assets of Consolidated VIEs:
|
||||||||||||
Securitized loans held for investment, net of allowance for loan losses (1)
|
$ | 353,532 | $ | (4,420 | ) | $ | 349,112 | |||||
Total Assets
|
$ | 8,073,700 | $ | (4,420 | ) | $ | 8,069,280 | |||||
Stockholders' Equity:
|
||||||||||||
Accumulated other comprehensive income (loss) (2)
|
$ | 274,651 | $ | 405,472 | $ | 680,123 | ||||||
Retained earnings (accumulated deficit) (2)
|
$ | (203,796 | ) | $ | (409,892 | ) | $ | (613,688 | ) | |||
Total stockholders' equity
|
$ | 3,683,006 | $ | (4,420 | ) | $ | 3,678,586 |
At December 31, 2009
|
||||||||||||
(dollars in thousands)
|
||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||
Stockholders' Equity:
|
||||||||||||
Accumulated other comprehensive income (loss) (2)
|
$ | (99,754 | ) | $ | 109,530 | $ | 9,776 | |||||
Retained earnings (accumulated deficit) (2)
|
$ | (70,991 | ) | $ | (109,530 | ) | $ | (180,521 | ) | |||
Total stockholders' equity
|
$ | 2,126,562 | $ | - | $ | 2,126,562 |
(1) Adjustments to securitized loans held for investment are attributable to an increase in the provision for loan losses.
|
(2) Adjustments to accumulated other comprehensive income (loss) and retained earnings (accumulated deficit) are primarily attributable to the cumulative adjustments, primarily increases, to net other-than-temporary credit impairment losses recognized in earnings through each respective reporting period.
|
For the Year Ended December 31, 2010
|
For the Year Ended December 31, 2009
|
|||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
|||||||||||||||||||
Statement of Operations:
|
||||||||||||||||||||||||
Interest income (1) (3)
|
$ | 562,878 | $ | (459,518 | ) | $ | 103,360 | $ | 298,539 | $ | (37,296 | ) | $ | 261,243 | ||||||||||
Interest income, non-retained (1) (3)
|
$ | 192,560 | $ | (192,560 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated
VIEs (1) (3)
|
$ | - | $ | 472,740 | $ | 472,740 | $ | - | $ | 26,440 | $ | 26,440 | ||||||||||||
Interest expense (2) (3) (9)
|
$ | 37,175 | $ | (29,426 | ) | $ | 7,749 | $ | 35,083 | $ | (25,212 | ) | $ | 9,871 | ||||||||||
Interest expense, non-retained (3) (9)
|
$ | 115,061 | $ | (115,061 | ) | $ | - | $ | - | $ | - | $ | - | |||||||||||
Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated
VIEs (3) (9)
|
$ | - | $ | 138,699 | $ | 138,699 | $ | - | $ | 25,212 | $ | 25,212 | ||||||||||||
Net Interest Income (8)
|
$ | 603,202 | $ | (173,550 | ) | $ | 429,652 | $ | 263,456 | $ | (10,856 | ) | $ | 252,600 | ||||||||||
Total other-than-temporary impairment losses (1)
|
$ | (54,343 | ) | $ | (241,043 | ) | $ | (295,386 | ) | $ | (16,264 | ) | $ | (273,964 | ) | $ | (290,228 | ) | ||||||
Non-credit portion of loss recognized in other comprehensive income (1)
|
$ | 41,665 | $ | 121,876 | $ | 163,541 | $ | 6,268 | $ | 173,089 | $ | 179,357 | ||||||||||||
Net other-than-temporary credit impairment losses (1)
|
$ | (12,678 | ) | $ | (119,167 | ) | $ | (131,845 | ) | $ | (9,996 | ) | $ | (100,875 | ) | $ | (110,871 | ) | ||||||
Realized gains (losses) on interest rate swaps (2) (9)
|
$ | - | $ | (5,788 | ) | $ | (5,788 | ) | $ | - | $ | - | $ | - | ||||||||||
Gains (losses) on interest rate swaps (2) (9)
|
$ | - | $ | (15,777 | ) | $ | (15,777 | ) | $ | - | $ | - | $ | - | ||||||||||
Net unrealized gains (losses) on interest-only RMBS (4) (9)
|
$ | - | $ | 3,846 | $ | 3,846 | $ | - | $ | 2,920 | $ | 2,920 | ||||||||||||
Realized gains (losses) on sales of investments, net (5)
|
$ | 10,085 | $ | 7,248 | $ | 17,333 | $ | 103,646 | $ | 15,269 | $ | 118,915 | ||||||||||||
Realized losses on principal write-downs on non-Agency RMBS (5)
|
$ | (7,385 | ) | $ | 7,385 | $ | - | $ | (255 | ) | $ | 255 | $ | - | ||||||||||
Total other gains (losses) (8)
|
$ | (7,289 | ) | $ | 12,691 | $ | 5,402 | $ | 103,391 | $ | 18,444 | $ | 121,835 | |||||||||||
Net investment income (loss) (8)
|
$ | 583,235 | $ | (280,026 | ) | $ | 303,209 | $ | 356,851 | $ | (93,287 | ) | $ | 263,564 | ||||||||||
Provision for loan losses (6) (9)
|
$ | 2,689 | $ | 4,420 | $ | 7,109 | $ | 3,102 | $ | - | $ | 3,102 | ||||||||||||
Total other expenses (8)
|
$ | 49,628 | $ | 4,420 | $ | 54,048 | $ | 32,867 | $ | - | $ | 32,867 | ||||||||||||
Income (loss) before income taxes (8) | $ | 533,607 | $ | (284,446 | ) | $ | 249,161 | $ | 323,984 | $ | (93,287 | ) | $ | 230,697 | ||||||||||
Net Income (Loss) (8)
|
$ | 532,851 | $ | (284,446 | ) | $ | 248,405 | $ | 323,983 | $ | (93,287 | ) | $ | 230,696 | ||||||||||
Net income per share-basic (8)
|
$ | 0.65 | $ | (0.35 | ) | $ | 0.30 | $ | 0.64 | $ | (0.18 | ) | $ | 0.46 | ||||||||||
Net income per share-diluted (8)
|
$ | 0.65 | $ | (0.35 | ) | $ | 0.30 | $ | 0.64 | $ | (0.19 | ) | $ | 0.45 | ||||||||||
Comprehensive income:
|
||||||||||||||||||||||||
Net income (loss) (8)
|
$ | 532,851 | $ | (284,446 | ) | $ | 248,405 | $ | 323,983 | $ | (93,287 | ) | $ | 230,696 | ||||||||||
Unrealized gains (losses) on securities available-for-sale (7)
|
$ | 364,427 | $ | 191,408 | $ | 555,835 | $ | 260,309 | $ | 7,936 | $ | 268,245 | ||||||||||||
Reclassification adjustment for net losses included in the net income (loss) for other- than-temporary credit impairment losses (8)
|
$ | 12,678 | $ | 119,167 | $ | 131,845 | $ | 9,996 | $ | 100,875 | $ | 110,871 | ||||||||||||
Reclassification adjustment for realized losses (gains) included in net income (loss) (8)
|
$ | (2,700 | ) | $ | (14,633 | ) | $ | (17,333 | ) | $ | (103,391 | ) | $ | (15,524 | ) | $ | (118,915 | ) | ||||||
Other comprehensive income (loss) (8) (4)
|
$ | 374,405 | $ | 295,942 | $ | 670,347 | $ | 166,914 | $ | 93,287 | $ | 260,201 | ||||||||||||
Comprehensive income (loss) (8) (4)
|
$ | 907,256 | $ | 11,496 | $ | 918,752 | $ | 490,897 | $ | - | $ | 490,897 |
(1) Adjustments to interest income captions, Total other-than-temporary impairment losses, Non-credit portion of loss recognized in other comprehensive income, and Net other-than-temporary credit impairment losses are primarily attributable to the appropriate application of GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to realized gains (losses) on interest rates swaps are attributable to reclassifying prior period balances to conform to the current period presentation. Realized gains (losses) on interest rate swaps were previously recorded as a component of interest expense.
|
(3) Adjustments to Interest income, Interest income, non-retained, Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs, Interest expense, Interest expense, non-retained and Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs are also attributable to changes to correct the presentation of amounts related to consolidated VIEs.
|
(4) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(5) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(6) Adjustments to provision for loan losses are attributable to the increase in the provision for loan losses.
|
(7) Adjustments to unrealized gains (losses) on securities available for sale are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(8) Changes in these balances are directly attributable to other adjustments in this table.
|
(9) These adjustments represent other errors that were corrected in connection with the Restatement and are not the primary reason for the Restatement as further described in this Note 16.
|
Accumulated Other Comprehensive Income (Loss)
|
Retained Earnings (Accumulated Deficit)
|
Total Stockholders' Equity
|
||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Balance, December 31, 2008
|
$ | (266,668 | ) | $ | 16,243 | $ | (250,425 | ) | $ | (152,603 | ) | $ | (16,243 | ) | $ | (168,846 | ) | $ | 414,455 | $ | - | $ | 414,455 | |||||||||||||
Net income (loss) (1)
|
323,983 | (93,287 | ) | 230,696 | 323,983 | (93,287 | ) | 230,696 | ||||||||||||||||||||||||||||
Other comprehensive income (loss) (1)
|
166,914 | $ | 93,287 | 260,201 | 166,914 | 93,287 | 260,201 | |||||||||||||||||||||||||||||
Balance December 31, 2009
|
$ | (99,754 | ) | $ | 109,530 | $ | 9,776 | $ | (70,991 | ) | $ | (109,530 | ) | $ | (180,521 | ) | $ | 2,126,562 | $ | 0 | $ | 2,126,562 | ||||||||||||||
Net income (loss) (1)
|
532,851 | (284,446 | ) | 248,405 | 532,851 | (284,446 | ) | 248,405 | ||||||||||||||||||||||||||||
Cumulative effect of change in accounting principle (1)
|
(88,187 | ) | (15,916 | ) | (104,103 | ) | (88,187 | ) | (15,916 | ) | (104,103 | ) | ||||||||||||||||||||||||
Other comprehensive income (loss) (1)
|
374,405 | $ | 295,942 | 670,347 | 374,405 | 295,942 | 670,347 | |||||||||||||||||||||||||||||
Balance December 31, 2010
|
$ | 274,651 | $ | 405,472 | $ | 680,123 | $ | (203,796 | ) | $ | (409,892 | ) | $ | (613,688 | ) | $ | 3,683,006 | $ | (4,420 | ) | $ | 3,678,586 |
For the Year Ended December 31, 2010
|
For the Year Ended December 31, 2009
|
|||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||
As Previously
Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
|||||||||||||||||||
Cash Flows From Operating Activities:
|
||||||||||||||||||||||||
Net income (loss)
|
$ | 532,851 | $ | (284,446 | ) | $ | 248,405 | $ | 323,983 | $ | (93,287 | ) | $ | 230,696 | ||||||||||
(Accretion) amortization of investment discounts/premiums (1)
|
(247,435 | ) | 180,952 | (66,483 | ) | (49,249 | ) | 6,856 | (42,393 | ) | ||||||||||||||
(Accretion) amortization of debt issue costs of securitized debt (2) (7)
|
- | 16,655 | 16,655 | - | 4,000 | 4,000 | ||||||||||||||||||
Net unrealized losses (gains) on interest-only RMBS (3) (7)
|
- | (3,846 | ) | (3,846 | ) | - | (2,920 | ) | (2,920 | ) | ||||||||||||||
Realized losses (gains) on sales of investments (4)
|
(10,085 | ) | (7,248 | ) | (17,333 | ) | (103,646 | ) | (15,269 | ) | (118,915 | ) | ||||||||||||
Realized losses on principal write-downs of Non-Agency RMBS (4)
|
7,385 | (7,385 | ) | - | 255 | (255 | ) | - | ||||||||||||||||
Net other-than-temporary credit impairment losses (5)
|
12,678 | 119,167 | 131,845 | 9,996 | 100,875 | 110,871 | ||||||||||||||||||
Provision for loan losses (6) (7)
|
2,689 | 4,420 | 7,109 | 3,102 | - | 3,102 | ||||||||||||||||||
Equity-based compensation expense (7)
|
958 | (242 | ) | 716 | 572 | - | 572 | |||||||||||||||||
Changes in operating assets:
|
||||||||||||||||||||||||
Decrease (increase) in accrued interest receivable (7)
|
(15,960 | ) | (1,610 | ) | (17,570 | ) | (23,177 | ) | - | (23,177 | ) | |||||||||||||
Net cash provided by (used in) operating activities
|
$ | 305,582 | $ | 16,417 | $ | 321,999 | $ | 168,681 | $ | - | $ | 168,681 | ||||||||||||
Cash Flows From Financing Activities:
|
||||||||||||||||||||||||
Payments on securitized debt borrowings, loans held for investment (2) (7)
|
(102,000 | ) | (4,186 | ) | (106,186 | ) | (102,393 | ) | - | (102,393 | ) | |||||||||||||
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs (2) (7)
|
(561,927 | ) | (12,472 | ) | (574,399 | ) | - | - | - | |||||||||||||||
Net proceeds from direct purchase and dividend reinvestment (7)
|
263 | 241 | 504 | 50 | - | 50 | ||||||||||||||||||
Net cash provided by (used in) financing activities
|
$ | 1,262,199 | $ | (16,417 | ) | $ | 1,245,782 | $ | 2,638,277 | $ | - | $ | 2,638,277 | |||||||||||
Net increase (decrease) in cash flows from those previously reported
|
|
|
$ | - | $ | - |
(1) Adjustment to accretion (amortization) of investment discounts/premiums is a direct result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(2) Included in the adjustments to the Statement of Cash Flows for the periods presented is the correction of an error in the presentation of the amortization of debt issuance costs. Such costs were incorrectly presented in financing activities and have been restated as a non-cash adjustment in operating activities.
|
(3) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(4) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on Non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain Non-Agency RMBS.
|
(5) Adjustments to net other-than-temporary impairment losses are attributable to the appropriate application of GAAP guidance to certain Non-Agency RMBS.
|
(6) Adjustments to the provision for loan losses are attributable to the increase in the provision for loan losses.
|
(7) These adjustments represent other errors that were corrected in connection with the Restatement and are not the primary reason for the Restatement as further described in this Note 16.
|
At September 30, 2011
|
At June 30, 2011
|
At March 31, 2011
|
||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Assets:
|
||||||||||||||||||||||||||||||||||||
Assets of Consolidated VIEs:
|
||||||||||||||||||||||||||||||||||||
Securitized loans held for investment, net of allowance for loan losses (1)
|
$ | 286,009 | $ | (4,420 | ) | $ | 281,589 | $ | 302,879 | $ | (4,420 | ) | $ | 298,459 | $ | 326,295 | $ | (4,420 | ) | $ | 321,875 | |||||||||||||||
Total Assets
|
$ | 9,714,205 | $ | (4,420 | ) | $ | 9,709,785 | $ | 10,089,109 | $ | (4,420 | ) | $ | 10,084,689 | $ | 10,258,434 | $ | (4,420 | ) | $ | 10,254,014 | |||||||||||||||
Stockholders' Equity:
|
||||||||||||||||||||||||||||||||||||
Accumulated other comprehensive income (loss) (2)
|
$ | 29,972 | $ | 636,024 | $ | 665,996 | $ | 25,297 | $ | 532,060 | $ | 557,357 | $ | 113,899 | $ | 468,196 | $ | 582,095 | ||||||||||||||||||
Retained earnings (accumulated deficit) (2)
|
$ | (289,207 | ) | $ | (640,444 | ) | $ | (929,651 | ) | $ | (199,692 | ) | $ | (536,480 | ) | $ | (736,172 | ) | $ | (184,110 | ) | $ | (472,616 | ) | $ | (656,726 | ) | |||||||||
Total stockholders' equity
|
$ | 3,354,069 | $ | (4,420 | ) | $ | 3,349,649 | $ | 3,438,539 | $ | (4,420 | ) | $ | 3,434,119 | $ | 3,542,390 | $ | (4,420 | ) | $ | 3,537,970 | |||||||||||||||
Total liabilities and stockholders' equity
|
$ | 9,714,205 | $ | (4,420 | ) | $ | 9,709,785 | $ | 10,089,109 | $ | (4,420 | ) | $ | 10,084,689 | $ | 10,258,434 | $ | (4,420 | ) | $ | 10,254,014 |
(1) Adjustments to securitized loans held for investment are attributable to an increase in the provision for loan losses.
|
(2) Adjustments to accumulated other comprehensive income (loss) and retained earnings (accumulated deficit) are primarily attributable to the cumulative adjustments, primarily increases, to net other-than-temporary credit impairment losses recognized in earnings through each respective reporting period.
|
At September 30, 2010
|
At June 30, 2010
|
At March 31, 2010
|
||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Stockholders' Equity:
|
||||||||||||||||||||||||||||||||||||
Accumulated other comprehensive income (loss) (1)
|
$ | 22,444 | $ | 375,840 | $ | 398,284 | $ | 673 | $ | 307,679 | $ | 308,352 | $ | 144,978 | $ | 222,590 | $ | 367,568 | ||||||||||||||||||
Retained earnings (accumulated deficit) (1)
|
$ | (185,578 | ) | $ | (375,840 | ) | $ | (561,418 | ) | $ | (153,202 | ) | $ | (307,679 | ) | $ | (460,881 | ) | $ | (147,361 | ) | $ | (222,590 | ) | $ | (369,951 | ) | |||||||||
Total stockholders' equity
|
$ | 2,902,347 | $ | - | $ | 2,902,347 | $ | 2,912,859 | $ | - | $ | 2,912,859 | $ | 2,294,947 | $ | - | $ | 2,294,947 | ||||||||||||||||||
Total liabilities and stockholders' equity
|
$ | 7,233,452 | $ | - | $ | 7,233,452 | $ | 6,878,182 | $ | - | $ | 6,878,182 | $ | 6,156,195 | $ | - | $ | 6,156,195 |
(1) Adjustments to accumulated other comprehensive income (loss) and retained earnings (accumulated deficit) are primarily attributable to the cumulative adjustments, primarily increases, to net other-than-temporary credit impairment losses recognized in earnings through each respective reporting period.
|
For the Quarter Ended September 30, 2011
|
For the Quarter Ended June 30, 2011
|
For the Quarter Ended March 31, 2011
|
||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Statement of Operations:
|
||||||||||||||||||||||||||||||||||||
Interest income (1) (7)
|
$ | 177,640 | $ | (108,864 | ) | $ | 68,776 | $ | 194,235 | $ | (123,379 | ) | $ | 70,856 | $ | 206,574 | $ | (148,488 | ) | $ | 58,086 | |||||||||||||||
Interest income, non-retained (1)
|
$ | 35,030 | $ | (35,030 | ) | $ | - | $ | 28,428 | $ | (28,428 | ) | $ | - | $ | 21,159 | $ | (21,159 | ) | $ | - | |||||||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to
consolidated VIEs (1) (7)
|
$ | - | $ | 116,805 | $ | 116,805 | $ | - | $ | 109,003 | $ | 109,003 | $ | - | $ | 113,957 | $ | 113,957 | ||||||||||||||||||
Interest expense (2) (7) (8)
|
$ | 7,217 | $ | (4,068 | ) | $ | 3,149 | $ | 7,481 | $ | (4,522 | ) | $ | 2,959 | $ | 10,849 | $ | (7,797 | ) | $ | 3,052 | |||||||||||||||
Interest expense, non-retained (2) (8)
|
$ | 25,575 | $ | (25,575 | ) | $ | - | $ | 28,312 | $ | (28,312 | ) | $ | - | $ | 27,575 | $ | (27,575 | ) | $ | - | |||||||||||||||
Interest expense, Non-Agency RMBS and securitized loans transferred
to consolidated VIEs (2) (7) (8)
|
$ | - | $ | 29,643 | $ | 29,643 | $ | - | $ | 32,834 | $ | 32,834 | $ | - | $ | 32,525 | $ | 32,525 | ||||||||||||||||||
Net Interest Income (6)
|
$ | 179,878 | $ | (27,089 | ) | $ | 152,789 | $ | 186,870 | $ | (42,804 | ) | $ | 144,066 | $ | 189,309 | $ | (52,843 | ) | $ | 136,466 | |||||||||||||||
Total other-than-temporary impairment losses (1)
|
$ | (249,257 | ) | $ | 97,969 | $ | (151,288 | ) | $ | (1,926 | ) | $ | (70,459 | ) | $ | (72,385 | ) | $ | (4,205 | ) | $ | (66,012 | ) | $ | (70,217 | ) | ||||||||||
Non-credit portion of loss recognized in other comprehensive
income (1)
|
$ | 208,081 | $ | (207,353 | ) | $ | 728 | $ | 882 | $ | 9,333 | $ | 10,215 | $ | 1,580 | $ | 35,454 | $ | 37,034 | |||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
$ | (41,176 | ) | $ | (109,384 | ) | $ | (150,560 | ) | $ | (1,044 | ) | $ | (61,126 | ) | $ | (62,170 | ) | $ | (2,625 | ) | $ | (30,558 | ) | $ | (33,183 | ) | |||||||||
Realized gains (losses) on interest rate swaps (2) (8)
|
$ | (4,500 | ) | $ | - | $ | (4,500 | ) | $ | (4,297 | ) | $ | - | $ | (4,297 | ) | $ | - | $ | (2,847 | ) | $ | (2,847 | ) | ||||||||||||
Gains (losses) on interest rate swaps (2) (8)
|
$ | (29,812 | ) | $ | - | $ | (29,812 | ) | $ | (23,797 | ) | $ | - | $ | (23,797 | ) | $ | - | $ | 6,984 | $ | 6,984 | ||||||||||||||
Net unrealized gains (losses) on interest-only RMBS (4) (8)
|
$ | 52 | $ | (17,652 | ) | $ | (17,600 | ) | $ | (4,442 | ) | $ | 16,325 | $ | 11,883 | $ | - | $ | 4,106 | $ | 4,106 | |||||||||||||||
Unrealized gains (losses) on interest-only RMBS (4) (8)
|
$ | (28,175 | ) | $ | 28,175 | $ | - | $ | (2,234 | ) | $ | 2,234 | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||
Realized gains (losses) on sales of investments, net (3)
|
$ | 28 | $ | 30 | $ | 58 | $ | (380 | ) | $ | (533 | ) | $ | (913 | ) | $ | 2,744 | $ | (102 | ) | $ | 2,642 | ||||||||||||||
Realized losses on principal write-downs on non-Agency RMBS (3)
|
$ | - | $ | - | $ | - | $ | (22,040 | ) | $ | 22,040 | $ | - | $ | (19,520 | ) | $ | 19,520 | $ | - | ||||||||||||||||
Total other gains (losses) (6)
|
$ | (57,907 | ) | $ | 10,553 | $ | (47,354 | ) | $ | (52,893 | ) | $ | 40,066 | $ | (12,827 | ) | $ | (6,945 | ) | $ | 20,677 | $ | 13,732 | |||||||||||||
Net investment income (loss) (6)
|
$ | 80,795 | $ | (125,920 | ) | $ | (45,125 | ) | $ | 132,933 | $ | (63,864 | ) | $ | 69,069 | $ | 179,739 | $ | (62,724 | ) | $ | 117,015 | ||||||||||||||
Income (loss) before income taxes (6)
|
$ | 65,713 | $ | (125,920 | ) | $ | (60,207 | ) | $ | 117,961 | $ | (63,864 | ) | $ | 54,097 | $ | 164,060 | $ | (62,724 | ) | $ | 101,336 | ||||||||||||||
Net Income (Loss) (6)
|
$ | 65,884 | $ | (125,920 | ) | $ | (60,036 | ) | $ | 117,843 | $ | (63,864 | ) | $ | 53,979 | $ | 163,362 | $ | (62,724 | ) | $ | 100,638 | ||||||||||||||
Net income per share-basic (6)
|
$ | 0.06 | $ | (0.12 | ) | $ | (0.06 | ) | $ | 0.11 | $ | (0.06 | ) | $ | 0.05 | $ | 0.16 | $ | (0.06 | ) | $ | 0.10 | ||||||||||||||
Net income per share-diluted (6)
|
$ | 0.06 | $ | (0.12 | ) | $ | (0.06 | ) | $ | 0.11 | $ | (0.06 | ) | $ | 0.05 | $ | 0.16 | $ | (0.06 | ) | $ | 0.10 | ||||||||||||||
Comprehensive income:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (6)
|
$ | 65,884 | $ | (125,920 | ) | $ | (60,036 | ) | $ | 117,843 | $ | (63,864 | ) | $ | 53,979 | $ | 163,362 | $ | (62,724 | ) | $ | 100,638 | ||||||||||||||
Unrealized gains (losses) on securities available-for-sale (5)
|
$ | (58,429 | ) | $ | 16,566 | $ | (41,863 | ) | $ | (112,067 | ) | $ | 24,246 | $ | (87,821 | ) | $ | (180,153 | ) | $ | 51,584 | $ | (128,569 | ) | ||||||||||||
Reclassification adjustment for net losses included in the net income
(loss) for other-than-temporary credit impairment losses (6)
|
$ | 41,176 | $ | 109,384 | $ | 150,560 | $ | 1,044 | $ | 61,126 | $ | 62,170 | $ | 2,625 | $ | 30,558 | $ | 33,183 | ||||||||||||||||||
Reclassification adjustment for realized losses (gains) included in net
income (loss) (6)
|
$ | (28 | ) | $ | (30 | ) | $ | (58 | ) | $ | 22,420 | $ | (21,507 | ) | $ | 913 | $ | 16,776 | $ | (19,418 | ) | $ | (2,642 | ) | ||||||||||||
Other comprehensive income (loss) (6) (4)
|
$ | (17,281 | ) | $ | 125,920 | $ | 108,639 | $ | (88,603 | ) | $ | 63,865 | $ | (24,738 | ) | $ | (160,752 | ) | $ | 62,724 | $ | (98,028 | ) | |||||||||||||
Comprehensive income (loss) (6) (4)
|
$ | 48,603 | $ | - | $ | 48,603 | $ | 29,240 | $ | 1 | $ | 29,241 | $ | 2,610 | $ | - | $ | 2,610 |
(1) Adjustments to interest income captions, Total other-than-temporary impairment losses, Non-credit portion of loss recognized in other comprehensive income, and Net other-than-temporary credit impairment losses are primarily attributable to the appropriate application of GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to realized gains (losses) on interest rates swaps are attributable to reclassifying prior period balances to conform to the current period presentation. Realized gains (losses) on interest rate swaps were previously recorded as a component of interest expense.
|
(3) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(4) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(5) Adjustments to unrealized gains (losses) on securities available for sale are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(6) Changes in these balances are directly attributable to other adjustments in this table.
|
(7) Adjustments to Interest income, Interest income, non-retained, Non-Agency RMBS and securitized loans transferred to consolidated VIEs, Interest expense, and Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs are also attributable to changes to correct the presentation of amounts related to consolidated VIEs.
|
(8) These adjustments represent other errors that were corrected in connection with the Restatement and are not the primary reason for the Restatement as further described in Note 16.
|
For the Quarter Ended September 30, 2010
|
For the Quarter Ended June 30, 2010
|
For the Quarter Ended March 31, 2010
|
||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Statement of Operations:
|
||||||||||||||||||||||||||||||||||||
Interest income (1) (7)
|
$ | 140,405 | $ | (117,493 | ) | $ | 22,912 | $ | 133,522 | $ | (108,558 | ) | $ | 24,964 | $ | 128,984 | $ | (105,320 | ) | $ | 23,664 | |||||||||||||||
Interest income, non-retained (1)
|
$ | 58,090 | $ | (58,090 | ) | $ | - | $ | 49,829 | $ | (49,829 | ) | $ | - | $ | 50,861 | $ | (50,861 | ) | $ | - | |||||||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to
consolidated VIEs (1) (7)
|
$ | - | $ | 126,186 | $ | 126,186 | $ | - | $ | 111,763 | $ | 111,763 | $ | - | $ | 114,760 | $ | 114,760 | ||||||||||||||||||
Interest expense (2) (7) (8)
|
$ | 10,527 | $ | (8,891 | ) | $ | 1,636 | $ | 7,198 | $ | (5,457 | ) | $ | 1,741 | $ | 7,374 | $ | (4,805 | ) | $ | 2,569 | |||||||||||||||
Interest expense, non-retained (2) (8)
|
$ | 32,237 | $ | (32,237 | ) | $ | - | $ | 21,421 | $ | (21,421 | ) | $ | - | $ | 33,830 | $ | (33,830 | ) | $ | - | |||||||||||||||
Interest expense, Non-Agency RMBS and securitized loans transferred
to consolidated VIEs (2) (7) (8)
|
$ | - | $ | 38,635 | $ | 38,635 | $ | - | $ | 26,179 | $ | 26,179 | $ | - | $ | 38,635 | $ | 38,635 | ||||||||||||||||||
Net Interest Income (6)
|
$ | 155,731 | $ | (46,904 | ) | $ | 108,827 | $ | 154,732 | $ | (45,925 | ) | $ | 108,807 | $ | 138,641 | $ | (41,421 | ) | $ | 97,220 | |||||||||||||||
Total other-than-temporary impairment losses (1)
|
$ | (1,314 | ) | $ | (42,352 | ) | $ | (43,666 | ) | $ | (24,746 | ) | $ | (51,098 | ) | $ | (75,844 | ) | $ | (22,687 | ) | $ | (113,981 | ) | $ | (136,668 | ) | |||||||||
Non-credit portion of loss recognized in other comprehensive
income (1)
|
$ | 436 | $ | 18,610 | $ | 19,046 | $ | 17,853 | $ | 19,325 | $ | 37,178 | $ | 20,143 | $ | 65,224 | $ | 85,367 | ||||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
$ | (878 | ) | $ | (23,742 | ) | $ | (24,620 | ) | $ | (6,893 | ) | $ | (31,773 | ) | $ | (38,666 | ) | $ | (2,544 | ) | $ | (48,757 | ) | $ | (51,301 | ) | |||||||||
Realized gains (losses) on interest rate swaps (2) (8)
|
$ | - | $ | (2,493 | ) | $ | (2,493 | ) | $ | - | $ | (699 | ) | $ | (699 | ) | $ | - | $ | - | $ | - | ||||||||||||||
Gains (losses) on interest rate swaps (2) (8)
|
$ | - | $ | (16,076 | ) | $ | (16,076 | ) | $ | - | $ | (11,936 | ) | $ | (11,936 | ) | $ | - | $ | - | $ | - | ||||||||||||||
Net unrealized gains (losses) on interest-only RMBS (4) (8)
|
$ | - | $ | 2,617 | $ | 2,617 | $ | - | $ | (7,018 | ) | $ | (7,018 | ) | $ | - | $ | (11,724 | ) | $ | (11,724 | ) | ||||||||||||||
Realized gains (losses) on sales of investments, net (3)
|
$ | 2,032 | $ | (156 | ) | $ | 1,876 | $ | - | $ | - | $ | - | $ | 342 | $ | 3,809 | $ | 4,151 | |||||||||||||||||
Realized losses on principal write-downs on non-Agency RMBS (3)
|
$ | (2,517 | ) | $ | 2,517 | $ | - | $ | (326 | ) | $ | 326 | $ | - | $ | (949 | ) | $ | 949 | $ | - | |||||||||||||||
Total other gains (losses) (6)
|
$ | (14,068 | ) | $ | 2,485 | $ | (11,583 | ) | $ | (11,563 | ) | $ | (7,391 | ) | $ | (18,954 | ) | $ | (607 | ) | $ | (6,966 | ) | $ | (7,573 | ) | ||||||||||
Net investment income (loss) (6)
|
$ | 140,785 | $ | (68,161 | ) | $ | 72,624 | $ | 136,276 | $ | (85,089 | ) | $ | 51,187 | $ | 135,490 | $ | (97,144 | ) | $ | 38,346 | |||||||||||||||
Income (loss) before income taxes (6)
|
$ | 127,187 | $ | (68,161 | ) | $ | 59,026 | $ | 124,580 | $ | (85,089 | ) | $ | 39,491 | $ | 125,610 | $ | (97,144 | ) | $ | 28,466 | |||||||||||||||
Net Income (Loss) (6)
|
$ | 126,435 | $ | (68,161 | ) | $ | 58,274 | $ | 124,579 | $ | (85,089 | ) | $ | 39,490 | $ | 125,610 | $ | (97,144 | ) | $ | 28,466 | |||||||||||||||
Net income per share-basic (6)
|
$ | 0.14 | $ | (0.07 | ) | $ | 0.07 | $ | 0.16 | $ | (0.11 | ) | $ | 0.05 | $ | 0.19 | $ | (0.15 | ) | $ | 0.04 | |||||||||||||||
Net income per share-diluted (6)
|
$ | 0.14 | $ | (0.07 | ) | $ | 0.07 | $ | 0.16 | $ | (0.11 | ) | $ | 0.05 | $ | 0.19 | $ | (0.15 | ) | $ | 0.04 | |||||||||||||||
Comprehensive income:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (6)
|
$ | 126,435 | $ | (68,161 | ) | $ | 58,274 | $ | 124,579 | $ | (85,089 | ) | $ | 39,490 | $ | 125,610 | $ | (97,144 | ) | $ | 28,466 | |||||||||||||||
Unrealized gains (losses) on securities available-for-sale (5)
|
$ | 20,408 | $ | 46,780 | $ | 67,188 | $ | (151,524 | ) | $ | 53,642 | $ | (97,882 | ) | $ | 241,581 | $ | 69,061 | $ | 310,642 | ||||||||||||||||
Reclassification adjustment for net losses included in the net income
(loss) for other-than-temporary credit impairment losses (6)
|
$ | 878 | $ | 23,742 | $ | 24,620 | $ | 6,893 | $ | 31,773 | $ | 38,666 | $ | 2,544 | $ | 48,757 | $ | 51,301 | ||||||||||||||||||
Reclassification adjustment for realized losses (gains) included in net
income (loss) (6)
|
$ | 485 | $ | (2,361 | ) | $ | (1,876 | ) | $ | 326 | $ | (326 | ) | $ | - | $ | 607 | $ | (4,758 | ) | $ | (4,151 | ) | |||||||||||||
Other comprehensive income (loss) (6) (4)
|
$ | 21,771 | $ | 68,161 | $ | 89,932 | $ | (144,305 | ) | $ | 85,089 | $ | (59,216 | ) | $ | 244,732 | $ | 113,060 | $ | 357,792 | ||||||||||||||||
Comprehensive income (loss) (6) (4)
|
$ | 148,206 | $ | - | $ | 148,206 | $ | (19,726 | ) | $ | - | $ | (19,726 | ) | $ | 370,342 | $ | 15,916 | $ | 386,258 |
(1) Adjustments to interest income captions, Total other-than-temporary impairment losses, Non-credit portion of loss recognized in other comprehensive income, and Net other-than-temporary credit impairment losses are primarily attributable to the appropriate application of GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to realized gains (losses) on interest rates swaps are attributable to reclassifying prior period balances to conform to the current period presentation. Realized gains (losses) on interest rate swaps were previously recorded as a component of interest expense.
|
(3) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(4) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(5) Adjustments to unrealized gains (losses) on securities available for sale are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(6) Changes in these balances are directly attributable to other adjustments in this table.
|
(7) Adjustments to Interest income, Interest income, non-retained, Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs, Interest expense, and Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs are also attributable to changes to correct the presentation of amounts related to consolidated VIEs.
|
(8) These adjustments represent other errors that were corrected in connection with the Restatement and are not the primary reason for the Restatement as further described in Note 16.
|
For the Quarter Ended September 30, 2009
|
For the Quarter Ended June 30, 2009
|
For the Quarter Ended March 31, 2009
|
||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Statement of Operations:
|
||||||||||||||||||||||||||||||||||||
Interest income (1) (7)
|
$ | 104,690 | $ | (16,048 | ) | $ | 88,642 | $ | 65,077 | $ | (8,609 | ) | $ | 56,468 | $ | 28,007 | $ | (2,263 | ) | $ | 25,744 | |||||||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred
to consolidated VIEs (1) (7)
|
$ | - | $ | 6,062 | $ | 6,062 | $ | - | $ | 6,485 | $ | 6,485 | $ | - | $ | 7,757 | $ | 7,757 | ||||||||||||||||||
Interest expense (2) (7) (8)
|
$ | 9,197 | $ | (6,098 | ) | $ | 3,099 | $ | 8,313 | $ | (6,448 | ) | $ | 1,865 | $ | 9,042 | $ | (6,908 | ) | $ | 2,134 | |||||||||||||||
Interest expense, Non-Agency RMBS and securitized loans transferred
to consolidated VIEs (2) (7) (8)
|
$ | - | $ | 6,098 | $ | 6,098 | $ | - | $ | 6,448 | $ | 6,448 | $ | - | $ | 6,908 | $ | 6,908 | ||||||||||||||||||
Net Interest Income (6)
|
$ | 95,493 | $ | (9,986 | ) | $ | 85,507 | $ | 56,764 | $ | (2,124 | ) | $ | 54,640 | $ | 18,965 | $ | 5,494 | $ | 24,459 | ||||||||||||||||
Total other-than-temporary impairment losses (1)
|
$ | (6,209 | ) | $ | (35,333 | ) | $ | (41,542 | ) | $ | (8,575 | ) | $ | (103,635 | ) | $ | (112,210 | ) | $ | - | $ | (71,217 | ) | $ | (71,217 | ) | ||||||||||
Non-credit portion of loss recognized in other comprehensive
income (1)
|
$ | 4,024 | $ | 19,197 | $ | 23,221 | $ | 2,080 | $ | 67,940 | $ | 70,020 | $ | - | $ | 61,275 | $ | 61,275 | ||||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
$ | (2,185 | ) | $ | (16,136 | ) | $ | (18,321 | ) | $ | (6,495 | ) | $ | (35,695 | ) | $ | (42,190 | ) | $ | - | $ | (9,942 | ) | $ | (9,942 | ) | ||||||||||
Net unrealized gains (losses) on interest-only RMBS (4) (8)
|
$ | - | $ | 2,836 | $ | 2,836 | $ | - | $ | (1,557 | ) | $ | (1,557 | ) | $ | - | $ | (1,489 | ) | $ | (1,489 | ) | ||||||||||||||
Realized gains (losses) on sales of investments, net (3)
|
$ | 74,508 | $ | 11,984 | $ | 86,492 | $ | 9,321 | $ | (87 | ) | $ | 9,234 | $ | 3,627 | $ | 55 | $ | 3,682 | |||||||||||||||||
Realized losses on principal write-downs on non-Agency RMBS (3)
|
$ | (61 | ) | $ | 61 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | |||||||||||||||||
Total other gains (losses) (6)
|
$ | 74,447 | $ | 14,881 | $ | 89,328 | $ | 9,321 | $ | (1,644 | ) | $ | 7,677 | $ | 3,627 | $ | (1,434 | ) | $ | 2,193 | ||||||||||||||||
Net investment income (loss) (6)
|
$ | 167,755 | $ | (11,241 | ) | $ | 156,514 | $ | 59,590 | $ | (39,463 | ) | $ | 20,127 | $ | 22,592 | $ | (5,882 | ) | $ | 16,710 | |||||||||||||||
Income (loss) before income taxes (6)
|
$ | 158,002 | $ | (11,241 | ) | $ | 146,761 | $ | 51,644 | $ | (39,463 | ) | $ | 12,181 | $ | 18,870 | $ | (5,882 | ) | $ | 12,988 | |||||||||||||||
Net Income (Loss) (6)
|
$ | 158,002 | $ | (11,241 | ) | $ | 146,761 | $ | 51,644 | $ | (39,463 | ) | $ | 12,181 | $ | 18,869 | $ | (5,882 | ) | $ | 12,987 | |||||||||||||||
Net income per share-basic (6)
|
$ | 0.24 | $ | (0.02 | ) | $ | 0.22 | $ | 0.10 | $ | (0.08 | ) | $ | 0.02 | $ | 0.11 | $ | (0.04 | ) | $ | 0.07 | |||||||||||||||
Net income per share-diluted (6)
|
$ | 0.24 | $ | (0.02 | ) | $ | 0.22 | $ | 0.10 | $ | (0.08 | ) | $ | 0.02 | $ | 0.11 | $ | (0.04 | ) | $ | 0.07 | |||||||||||||||
Comprehensive income:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (6)
|
$ | 158,002 | $ | (11,241 | ) | $ | 146,761 | $ | 51,644 | $ | (39,463 | ) | $ | 12,181 | $ | 18,869 | $ | (5,882 | ) | $ | 12,987 | |||||||||||||||
Unrealized gains (losses) on securities available-for-sale (5)
|
$ | 238,969 | $ | (149,641 | ) | $ | 89,328 | $ | 39,501 | $ | (31,824 | ) | $ | 7,677 | $ | 13,590 | $ | (11,397 | ) | $ | 2,193 | |||||||||||||||
Reclassification adjustment for net losses included in the net income
(loss) for other-than-temporary credit impairment losses (6)
|
$ | 2,185 | $ | 154,329 | $ | 156,514 | $ | 6,495 | $ | 13,632 | $ | 20,127 | $ | - | $ | 16,710 | $ | 16,710 | ||||||||||||||||||
Reclassification adjustment for realized losses (gains) included in net
income (loss) (6)
|
$ | (74,447 | ) | $ | 74,447 | $ | - | $ | (9,321 | ) | $ | 9,321 | $ | - | $ | (3,627 | ) | $ | 3,627 | $ | - | |||||||||||||||
Other comprehensive income (loss) (6) (4)
|
$ | 166,707 | $ | 11,242 | $ | 177,949 | $ | 36,675 | $ | 39,463 | $ | 76,138 | $ | 9,963 | $ | 5,882 | $ | 15,845 | ||||||||||||||||||
Comprehensive income (loss) (6) (4)
|
$ | 324,709 | $ | 1 | $ | 324,710 | $ | 88,319 | $ | - | $ | 88,319 | $ | 28,832 | $ | - | $ | 28,832 |
(1) Adjustments to interest income captions, Total other-than-temporary impairment losses, Non-credit portion of loss recognized in other comprehensive income, and Net other-than-temporary credit impairment losses are primarily attributable to the appropriate application of GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to realized gains (losses) on interest rates swaps are attributable to reclassifying prior period balances to conform to the current period presentation. Realized gains (losses) on interest rate swaps were previously recorded as a component of interest expense.
|
(3) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(4) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(5) Adjustments to unrealized gains (losses) on securities available for sale are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(6) Changes in these balances are directly attributable to other adjustments in this table.
|
(7) Adjustments to Interest income, Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs, Interest expense, and Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs are also attributable to changes to correct the presentation of amounts related to consolidated VIEs.
|
(8) These adjustments represent other errors that were corrected in connection with the Restatement and are not the primary reason for the Restatement as further described in Note 16.
|
Common stock
|
Additional paid-in-capital
|
Accumulated other comprehensive income
(loss)
|
Retained earnings (accumulated deficit)
|
Total stockholders' equity
|
||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||
Balance at December 31, 2008, As Previously Reported
|
$ | 1,760 | $ | 831,966 | $ | (266,668 | ) | $ | (152,603 | ) | $ | 414,455 | ||||||||
Cumulative effect of prior period adjustment
|
- | - | 16,243 | (16,243 | ) | - | ||||||||||||||
Balance at December 31, 2008, Restated
|
1,760 | 831,966 | (250,425 | ) | (168,846 | ) | 414,455 | |||||||||||||
Net income (loss), as restated
|
- | - | - | 12,987 | 12,987 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 15,845 | - | 15,845 | |||||||||||||||
Total other activity
|
1 | 104 | - | (10,566 | ) | (10,461 | ) | |||||||||||||
Balance at March 31, 2009, Restated
|
1,761 | 832,070 | (234,580 | ) | (166,425 | ) | 432,826 | |||||||||||||
Net income (loss), as restated
|
- | - | - | 12,181 | 12,181 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 76,138 | - | 76,138 | |||||||||||||||
Total other activity
|
4,931 | 1,458,238 | - | (37,705 | ) | 1,425,464 | ||||||||||||||
Balance at June 30, 2009, Restated
|
6,692 | 2,290,308 | (158,442 | ) | (191,949 | ) | 1,946,609 | |||||||||||||
Net income (loss), as restated
|
- | - | - | 146,761 | 146,761 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 177,949 | - | 177,949 | |||||||||||||||
Total other activity
|
1 | 20 | - | (80,311 | ) | (80,290 | ) | |||||||||||||
Balance at September 30, 2009, Restated
|
6,693 | 2,290,328 | 19,507 | (125,499 | ) | 2,191,029 | ||||||||||||||
Net income (loss), as restated
|
- | - | - | 58,767 | 58,767 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | (9,731 | ) | - | (9,731 | ) | |||||||||||||
Total other activity
|
- | 286 | - | (113,789 | ) | (113,503 | ) | |||||||||||||
Balance at December 31, 2009, Restated
|
6,693 | 2,290,614 | 9,776 | (180,521 | ) | 2,126,562 | ||||||||||||||
Cumulative effect of change in accounting principal, Restated
|
- | - | - | (104,103 | ) | (104,103 | ) | |||||||||||||
Net income (loss), as restated
|
- | - | - | 28,466 | 28,466 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 357,792 | - | 357,792 | |||||||||||||||
Total other activity
|
1 | 22 | - | (113,793 | ) | (113,770 | ) | |||||||||||||
Balance at March 31, 2010, Restated
|
6,694 | 2,290,636 | 367,568 | (369,951 | ) | 2,294,947 | ||||||||||||||
Net income (loss), as restated
|
- | - | - | 39,490 | 39,490 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | (59,216 | ) | - | (59,216 | ) | |||||||||||||
Total other activity
|
2,128 | 765,930 | - | (130,420 | ) | 637,638 | ||||||||||||||
Balance at June 30, 2010, Restated
|
8,822 | 3,056,566 | 308,352 | (460,881 | ) | 2,912,859 | ||||||||||||||
Net income (loss), Restated
|
- | - | - | 58,274 | 58,274 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 89,932 | - | 89,932 | |||||||||||||||
Total other activity
|
- | 93 | - | (158,811 | ) | (158,718 | ) | |||||||||||||
Balance at September 30, 2010, Restated
|
8,822 | 3,056,659 | 398,284 | (561,418 | ) | 2,902,347 | ||||||||||||||
Net income (loss), Restated
|
- | - | - | 122,175 | 122,175 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 281,839 | - | 281,839 | |||||||||||||||
Total other activity
|
1,439 | 545,231 | - | (174,445 | ) | 372,225 | ||||||||||||||
Balance at December 31, 2010, Restated
|
10,261 | 3,601,890 | 680,123 | (613,688 | ) | 3,678,586 | ||||||||||||||
Net income (loss), Restated
|
- | - | - | 100,638 | 100,638 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | (98,028 | ) | - | (98,028 | ) | |||||||||||||
Total other activity
|
1 | 449 | - | (143,676 | ) | (143,226 | ) | |||||||||||||
Balance at March 31, 2011, Restated
|
10,262 | 3,602,339 | 582,095 | (656,726 | ) | 3,537,970 | ||||||||||||||
Net income (loss), Restated
|
- | - | - | 53,979 | 53,979 | |||||||||||||||
Other comprehensive income (loss), Restated
|
- | - | (24,738 | ) | - | (24,738 | ) | |||||||||||||
Total other activity
|
1 | 332 | (133,425 | ) | (133,092 | ) | ||||||||||||||
Balance at June 30, 2011, Restated
|
10,263 | 3,602,671 | 557,357 | (736,172 | ) | 3,434,119 | ||||||||||||||
Net income (loss), Restated
|
- | - | - | (60,036 | ) | (60,036 | ) | |||||||||||||
Other comprehensive income (loss), Restated
|
- | - | 108,639 | - | 108,639 | |||||||||||||||
Total other activity
|
1 | 369 | - | (133,443 | ) | (133,073 | ) | |||||||||||||
Balance at September 30, 2011, Restated
|
$ | 10,264 | $ | 3,603,040 | $ | 665,996 | $ | (929,651 | ) | $ | 3,349,649 |
For the Nine Months Ended September 30, 2011
|
For the Six Months Ended June 30, 2011
|
For the Three Months March 31, 2011
|
||||||||||||||||||||||||||||||||||
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Cash Flows From Operating Activities:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (1)
|
$ | 372,019 | $ | (277,438 | ) | $ | 94,581 | $ | 281,205 | $ | (126,588 | ) | $ | 154,617 | $ | 163,362 | $ | (62,724 | ) | $ | 100,638 | |||||||||||||||
(Accretion) amortization of investment discounts/premiums (1)
|
(212,788 | ) | 170,662 | (42,126 | ) | (118,635 | ) | 98,494 | (20,141 | ) | (64,425 | ) | 55,691 | (8,734 | ) | |||||||||||||||||||||
(Accretion) amortization of debt issue costs of securitized debt (2)
|
6,867 | 2,585 | 9,452 | - | 6,503 | 6,503 | - | 3,352 | 3,352 | |||||||||||||||||||||||||||
Net losses (gains) on interest-only RMBS (3)
|
4,390 | (2,779 | ) | 1,611 | 4,442 | (20,431 | ) | (15,989 | ) | - | (4,106 | ) | (4,106 | ) | ||||||||||||||||||||||
Net unrealized gains (losses) on in interest-only RMBS (3)
|
30,409 | (30,409 | ) | - | 2,234 | (2,234 | ) | - | - | - | - | |||||||||||||||||||||||||
Realized losses (gains) on sales of investments (4)
|
(1,342 | ) | (445 | ) | (1,787 | ) | (2,364 | ) | 635 | (1,729 | ) | (2,744 | ) | 102 | (2,642 | ) | ||||||||||||||||||||
Realized losses on principal write-downs of non-Agency RMBS (4)
|
- | - | - | 41,560 | (41,560 | ) | - | 19,520 | (19,520 | ) | - | |||||||||||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
105,504 | 140,409 | 245,913 | 3,669 | 91,684 | 95,353 | 2,625 | 30,558 | 33,183 | |||||||||||||||||||||||||||
Net cash provided by (used in) operating activities (5)
|
$ | 338,123 | $ | 2,585 | $ | 340,708 | $ | 216,462 | $ | 6,503 | $ | 222,965 | $ | 102,984 | $ | 3,353 | $ | 106,337 | ||||||||||||||||||
Cash Flows From Financing Activities:
|
||||||||||||||||||||||||||||||||||||
Payments on securitized debt borrowings, loans held for
investment (2)
|
(58,469 | ) | (2,585 | ) | (61,054 | ) | (43,252 | ) | (1,907 | ) | (45,159 | ) | (22,873 | ) | (988 | ) | (23,861 | ) | ||||||||||||||||||
Payments on securitized debt borrowings, RMBS transferred to
consolidated VIEs (2)
|
(520,730 | ) | - | (520,730 | ) | (362,155 | ) | (4,596 | ) | (366,751 | ) | (175,719 | ) | (2,365 | ) | (178,084 | ) | |||||||||||||||||||
Net cash provided by (used in) financing activities (5)
|
$ | 1,643,453 | $ | (2,585 | ) | $ | 1,640,868 | $ | 2,099,708 | $ | (6,503 | ) | $ | 2,093,205 | $ | 1,999,907 | $ | (3,353 | ) | $ | 1,996,554 | |||||||||||||||
Net increase (decrease) in cash flows from those previously reported
|
|
$ | - | $ | - | $ | - |
(1) Adjustments to these captions are primarily attributable to the application of different GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to correct the error in presentation of the amortization of debt issues costs. Such costs were incorrectly presented in financing activities and have been restated as non-cash adjustements to operating activities.
|
(3) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(4) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(5) Changes in these balances are directly attributable to other adjustments in this table.
|
For the Nine Months Ended September 30, 2010
|
For the Six Months Ended June 30, 2010
|
For the Three Months Ended March 31, 2010
|
||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
As Previously
Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Cash Flows From Operating Activities:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (1)
|
$ | 376,624 | $ | (250,394 | ) | $ | 126,230 | $ | 250,189 | $ | (182,233 | ) | $ | 67,956 | $ | 125,610 | $ | (97,144 | ) | $ | 28,466 | |||||||||||||||
(Accretion) amortization of investment discounts/premiums (1)
|
(187,869 | ) | 137,445 | (50,424 | ) | (118,811 | ) | 88,046 | (30,765 | ) | (53,842 | ) | 41,421 | (12,421 | ) | |||||||||||||||||||||
(Accretion) amortization of debt issue costs of securitized debt (2)
|
- | 11,714 | 11,714 | - | 6,312 | 6,312 | - | 6,938 | 6,938 | |||||||||||||||||||||||||||
Net unrealized losses (gains) on interest-only RMBS (3)
|
- | 16,125 | 16,125 | - | 18,742 | 18,742 | - | 11,724 | 11,724 | |||||||||||||||||||||||||||
Realized losses (gains) on sales of investments (4)
|
(2,374 | ) | (3,653 | ) | (6,027 | ) | (342 | ) | (3,809 | ) | (4,151 | ) | (342 | ) | (3,809 | ) | (4,151 | ) | ||||||||||||||||||
Realized losses on principal write-downs of non-Agency RMBS (4)
|
3,792 | (3,792 | ) | - | 1,275 | (1,275 | ) | - | 949 | (949 | ) | - | ||||||||||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
10,315 | 104,272 | 114,587 | 9,437 | 80,530 | 89,967 | 2,544 | 48,757 | 51,301 | |||||||||||||||||||||||||||
Net cash provided by (used in) operating activities (5)
|
$ | 225,432 | $ | 11,717 | $ | 237,149 | $ | 152,833 | $ | 6,313 | $ | 159,146 | $ | 75,250 | $ | 6,938 | $ | 82,188 | ||||||||||||||||||
Cash Flows From Financing Activities:
|
||||||||||||||||||||||||||||||||||||
Payments on securitized debt borrowings, loans held for
investment (2)
|
(70,684 | ) | (2,822 | ) | (73,506 | ) | (48,417 | ) | (1,863 | ) | (50,280 | ) | (26,572 | ) | (887 | ) | (27,459 | ) | ||||||||||||||||||
Payments on securitized debt borrowings, RMBS transferred to
consolidated VIEs (2)
|
(394,557 | ) | (8,895 | ) | (403,452 | ) | (229,362 | ) | (4,450 | ) | (233,812 | ) | (84,634 | ) | (6,051 | ) | (90,685 | ) | ||||||||||||||||||
Net cash provided by (used in) financing activities (5)
|
$ | 665,268 | $ | (11,717 | ) | $ | 653,551 | $ | 752,750 | $ | (6,313 | ) | $ | 746,437 | $ | (15,539 | ) | $ | (6,938 | ) | $ | (22,477 | ) | |||||||||||||
Net increase (decrease) in cash flows from those previously reported
|
$ | - | $ | - | $ | - |
(1) Adjustments to these captions are primarily attributable to the application of different GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to correct the error in presentation of the amortization of debt issues costs. Such costs were incorrectly presented in financing activities and have been restated as non-cash adjustements to operating activities.
|
(3) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(4) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
(5) Changes in these balances are directly attributable to other adjustments in this table.
|
For the Nine Months Ended September 30, 2009
|
For the Six Months Ended June 30, 2009
|
For the Three Months Ended March 31, 2009
|
||||||||||||||||||||||||||||||||||
(dollars in thousands)
|
||||||||||||||||||||||||||||||||||||
As Previously
Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
As Previously Reported
|
Adjustment
|
Restated
|
||||||||||||||||||||||||||||
Cash Flows From Operating Activities:
|
||||||||||||||||||||||||||||||||||||
Net income (loss) (1)
|
$ | 228,515 | $ | (56,586 | ) | $ | 171,929 | $ | 70,513 | $ | (45,345 | ) | $ | 25,168 | $ | 18,869 | $ | (5,882 | ) | $ | 12,987 | |||||||||||||||
(Accretion) amortization of investment discounts/premiums (1)
|
(38,539 | ) | 3,641 | (34,898 | ) | (14,863 | ) | (5,068 | ) | (19,931 | ) | (1,254 | ) | (5,889 | ) | (7,143 | ) | |||||||||||||||||||
(Accretion) amortization of debt issue costs of securitized debt (2)
|
- | 2,975 | 2,975 | - | 1,698 | 1,698 | - | 395 | 395 | |||||||||||||||||||||||||||
Net losses (gains) on interest-only RMBS (3)
|
- | 210 | 210 | - | 3,046 | 3,046 | - | 1,489 | 1,489 | |||||||||||||||||||||||||||
Realized losses (gains) on sales of investments (4)
|
(87,456 | ) | (11,952 | ) | (99,408 | ) | (12,948 | ) | 32 | (12,916 | ) | (3,627 | ) | (55 | ) | (3,682 | ) | |||||||||||||||||||
Realized losses on principal write-downs of non-Agency RMBS (4)
|
61 | (61 | ) | - | - | - | - | - | - | - | ||||||||||||||||||||||||||
Net other-than-temporary credit impairment losses (1)
|
8,680 | 61,773 | 70,453 | 6,495 | 45,637 | 52,132 | - | 9,942 | 9,942 | |||||||||||||||||||||||||||
Net cash provided by (used in) operating activities
|
$ | 102,305 | $ | - | $ | 102,305 | $ | 38,226 | $ | - | $ | 38,226 | $ | 13,820 | $ | - | $ | 13,820 | ||||||||||||||||||
Net increase (decrease) in cash flows from those previously reported
|
$ | - | $ | - | $ | - |
(1) Adjustments to these captions are primarily attributable to the application of different GAAP guidance to certain Non-Agency RMBS.
|
(2) Adjustments to separately present the amortization of debt issues costs. Such costs were previously recorded as a component of (Accretion) amortization of investment discount/premium.
|
(3) Changes in the fair value of interest-only RMBS have been recognized in net unrealized gains (losses) on interest-only RMBS.
|
(4) Adjustments to realized gains (losses) on sales of investments, net and realized losses on principal write-downs on non-Agency RMBS are primarily attributable to the change in the amortized cost of the asset at the valuation date as a result of applying the income and impairment guidance under ASC 325-40 and ASC 310-30 to certain non-Agency RMBS.
|
For the Quarter Ended | ||||||||||||||||
(dollars in thousands) | ||||||||||||||||
December 31, 2011
|
September 30, 2011
(restated)
|
June 30, 2011
(restated)
|
March 31, 2011
(restated)
|
|||||||||||||
Interest income
|
$ | 167,541 | $ | 185,581 | $ | 179,859 | $ | 172,043 | ||||||||
Less interest expense
|
30,696 | 32,792 | 35,793 | 35,577 | ||||||||||||
Net interest income (expense)
|
136,845 | 152,789 | 144,066 | 136,466 | ||||||||||||
Net other-than-temporary credit impairment losses
|
(111,192 | ) | (150,560 | ) | (62,170 | ) | (33,183 | ) | ||||||||
Gains (losses) on interest rate swaps
|
(3,782 | ) | (29,812 | ) | (23,797 | ) | 6,984 | |||||||||
Realized gains (losses) on sales of investments, net
|
52,566 | 58 | (913 | ) | 2,642 | |||||||||||
Total other expenses
|
18,794 | 15,082 | 14,972 | 15,679 | ||||||||||||
Net income (loss)
|
$ | 42,748 | $ | (60,036 | ) | $ | 53,979 | $ | 100,638 | |||||||
Net income (loss) per share-basic and diluted
|
$ | 0.04 | $ | (0.06 | ) | $ | 0.05 | $ | 0.10 |
For the Quarter Ended | ||||||||||||||||
(dollars in thousands) | ||||||||||||||||
December 31, 2010
(restated)
|
September 30, 2010
(restated)
|
June 30, 2010
(restated)
|
March 31, 2010
(restated)
|
|||||||||||||
Interest income
|
$ | 151,851 | $ | 149,098 | $ | 136,727 | $ | 138,424 | ||||||||
Less interest expense
|
37,053 | 40,271 | 27,920 | 41,204 | ||||||||||||
Net interest income (expense)
|
114,798 | 108,827 | 108,807 | 97,220 | ||||||||||||
Net other-than-temporary credit impairment losses
|
(17,258 | ) | (24,620 | ) | (38,666 | ) | (51,301 | ) | ||||||||
Gains (losses) on interest rate swaps
|
12,235 | (16,076 | ) | (11,936 | ) | - | ||||||||||
Realized gains (losses) on sales of investments, net
|
11,306 | 1,876 | - | 4,151 | ||||||||||||
Total other expenses
|
18,874 | 13,598 | 11,696 | 9,880 | ||||||||||||
Net income (loss)
|
$ | 122,175 | $ | 58,274 | $ | 39,490 | $ | 28,466 | ||||||||
Net income (loss) per share-basic and diluted
|
$ | 0.13 | $ | 0.07 | $ | 0.05 | $ | 0.04 |
CHIMERA INVESTMENT CORPORATION
|
||
By:
|
/s/ Matthew Lambiase
|
|
Matthew Lambiase
|
||
Chief Executive Officer and President
|
||
March 8, 2013
|
Signatures
|
Title
|
Date
|
/s/ Matthew Lambiase
|
Chief Executive Officer, President, and Director (Principal Executive Officer)
|
March 8, 2013
|
Matthew Lambiase
|
||
/s/ A. Alexandra Denahan
|
Chief Financial Officer (Principal Financial and Accounting Officer)
|
March 8, 2013
|
A. Alexandra Denahan
|
||
/s/ Jeremy Diamond
|
Director
|
March 8, 2013
|
Jeremy Diamond
|
||
/s/ Mark Abrams
|
Director
|
March 8, 2013
|
Mark Abrams
|
||
/s/ Paul A. Keenan
|
Director
|
March 8, 2013
|
Paul A. Keenan
|
||
/s/ Paul Donlin
|
Director
|
March 8, 2013
|
Paul Donlin
|
/s/ Gerard Creagh
|
Director
|
March 8, 2013
|
Gerard Creagh
|
||
/s/ Dennis Mahoney
|
Director
|
March 8, 2013
|
Dennis Mahoney
|
||
/s/ John P. Reilly
|
Director
|
March 8, 2013
|
John P. Reilly
|
CHIMERA INVESTMENT CORPORATION
|
||
By: |
/s/ Matthew Lambiase
|
|
Name: Matthew Lambiase
|
||
Title: Chief Executive Officer and President
|
||
FIXED INCOME DISCOUNT ADVISORY COMPANY
|
||
By: |
/s/ Wellington J. Denahan
|
|
Name: Wellington J. Denahan
|
||
Title: Chief Executive Officer
|
Ratio of Income (Loss) To Combined Fixed Charges And Preferred Stock Dividends
|
|||||||||||||||||||||
The following table sets forth the calculation of our ratio of earnings to combined fixed charges and preferred stock
|
|||||||||||||||||||||
dividends for the periods shown (dollars in thousands):
|
|||||||||||||||||||||
For the Year Ended
|
|||||||||||||||||||||
December 31, 2011
|
December 31, 2010
(as restated)
|
December 31, 2009
(as restated)
|
December 31, 2008
(as restated)
|
For the Period November 21, 2007 to
December 31, 2007 (as restated)
|
|||||||||||||||||
Net income (loss) before taxes
|
$ | 137,935 | $ | 249,161 | $ | 230,697 | $ | (136,105 | ) | $ | (2,835 | ) | |||||||||
Add:
|
fixed charges (interest expense) (1)
|
150,787 | 152,236 | 35,083 | 60,544 | 415 | |||||||||||||||
preferred stock dividend
|
|||||||||||||||||||||
Income (loss) as adjusted
|
$ | 288,722 | $ | 401,397 | $ | 265,780 | $ | (75,561 | ) | $ | (2,420 | ) | |||||||||
Fixed charges (interest expense) + preferred stock dividend
|
$ | 150,787 | $ | 152,236 | $ | 35,083 | $ | 60,544 | $ | 415 | |||||||||||
Ratio of income (losses) to combined fixed charges and preferred stock dividends
|
1.91 | X | 2.64 | X | 7.58 | X | -- | -- | |||||||||||||
Deficiency | $ | -- | $ | -- | $ | -- | $ | 136,105 | $ | 2,835 | |||||||||||
(1) Includes effect of realized losses on interest rate swaps.
|
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal controls 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: March 8, 2013
|
||
|
/s/ Matthew Lambiase | |
Matthew Lambiase
|
||
Chief Executive Officer and President (Principal Executive Officer)
|
||
|
a.
|
Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
|
b.
|
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
|
c.
|
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
|
|
d.
|
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
|
a.
|
All significant deficiencies and material weaknesses in the design or operation of internal controls 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: March 8, 2013
|
||
|
/s/ A. Alexandra Denahan | |
A. Alexandra Denahan
|
||
Chief Financial Officer (Principal Financial Officer)
|
||
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
|
/s/ Matthew Lambiase | |
Matthew Lambiase
|
||
Chief Executive Officer and President
|
||
March 8, 2013
|
1.
|
The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and
|
2.
|
The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report.
|
|
/s/ A. Alexandra Denahan | |
A. Alexandra Denahan
|
||
Chief Financial Officer
|
||
March 8, 2013
|
'WN7^"2GXF1P-H)$I\Z^/G[%_[7OC#X"_\$X/A)\*?!G[.%J?V*?VC/V>/
MC+K6G>._VC?B9#;2>#/V9-,U/PKX(^'^@^+M#_9-O[GQ?K?B7PQ?6TNO^-]6
M\&>`[?3-7L9!:>$]4MK\267N%O\`L[?M3-_P56@_;(N_"_P$@^`[?L=1?LJ7
M,%O\:?B!=?%F&X/Q57XQS>-X/!DG[/5IX0N((]8+>$8O#\GQ+MI)M."^*6UB
M&Y8^%U`/1?CU^V#H_P`"?VH?V;/V8;O]GCQ;XOU#]J"+X@W'@CXBZ+K/PGTK
MP5HT'PC\/P>+_B?-XIB\3^+-&\1:?%X4\)75MK:R6^C7::R)6L=*:XO898E^
MT],F\%:VKMHTOA?5UCA@N)&TQ])OU2"Y\PVT[FT,H6&X$4I@D;"2^7)Y;-L;
M'YG_`+97[-'[4OQ<_;0_8L^/GPJ^'_[-GC;X6?LN:#^TG9^*O#'QA^-OC_P)
MKWQ&G_:+^&%M\,[_`$)-"\/_`+,_Q?\`#UGH7A^UT^&_N;O4=9U)O$L.H7>E
MS:)I4=JMW??#_P#P3>_X)2?M>_LC6NB>&/'_`(J^`V@^'+C_`()9^%_V)_%.
MM_!WXD?$?6]:A^//@CXV?M#^,M#^,.G:#KOP6^'EGK>EW/@+XP>'K)=8U'Q%
MI'BKP_J^@WF@VMAJNCQV.M2`'ZV_"7]J?X:?%K]IO]J_]F#3_`E[H?B/]DSP
M_P#`7Q3XH\8ZD_@V\\&>,-#_`&@+#XFWGARY\,7.CZOJ&I6D_A^X^%/B;3_$
M]GXDT_1;BSNC9&V6[BDFDA^CQXA^&+%0-<\!DO:V]\@&I^'R7LKNYBLK6\4"
M?YK6YO+B"TM[@9AFN9HH(W:61$;^<[X1_P#!&/\`:J\)?!W]MKX*ZW\3/@]X
M.'[2?[#W["O[.GA3XO?##QMX]E\;77Q?_8NM?B-8:[\1?B-X>UGX3Z7:#3/V
MC+KQK_PE'Q"O;7Q5XKUG3KS4_%.A7]AXW&HMXCN>F^'O_!(3XU?!WXM?"?XP
M>`/AQ^S'XFUW0?B5?:S\7[3XO?&?5/$&_#WP;^+O@CX9_$[]G30/#7PV\.Z';>(I?%$]Q%X'L;:#2=>`/Z-?[&T?_
M`*!6F_\`@#:__&J/[&T?_H%:;_X`VO\`\:K2HH`_@5_:D_X*E_M3_L=?\')O
M[0_[*7P9UK0=+^#_`,VD5HQ;L;!
M%*%5.V8>8
Significant Accounting Policies (Detail) (USD $)
|
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
|
Summary Of Significant Accounting Policies [Line Items] | |||||||||||
Interest income | $ 167,541,000 | $ 185,581,000 | $ 179,859,000 | $ 172,043,000 | $ 151,851,000 | $ 149,098,000 | $ 136,727,000 | $ 138,424,000 | $ 254,028,000 | $ 103,360,000 | $ 261,243,000 |
Residential Mortgage Backed Securities [Member] | Interest-Only RMBS [Member]
|
|||||||||||
Summary Of Significant Accounting Policies [Line Items] | |||||||||||
Interest income | $ 32,500,000 | $ 18,800,000 | $ 43.0 |
Securitized Loans Held for Investment - Roll-Forward (Detail) (Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], Securitized Loans Held for Investment [Member], USD $)
In Thousands, unless otherwise specified |
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment [Member]
|
||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Balance, beginning of period | $ 349,112 | $ 470,533 |
Principal paydowns | (85,526) | (113,330) |
Net periodic amortization (accretion) | (1,663) | (982) |
Change to loan loss provision | (2,932) | (6,455) |
Charge-offs | (2,359) | (654) |
Balance, end of period | $ 256,632 | $ 349,112 |
Variable Interest Entities - Effect of Initial Consolidation (Detail) (USD $)
In Thousands, unless otherwise specified |
12 Months Ended | ||||||||
---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2010
|
Dec. 31, 2009
Variable Interest Entity, Primary Beneficiary [Member]
|
Dec. 31, 2011
Variable Interest Entity, Primary Beneficiary [Member]
|
Dec. 31, 2010
Variable Interest Entity, Primary Beneficiary [Member]
|
Dec. 31, 2009
Variable Interest Entity, Primary Beneficiary [Member]
Non-Agency RMBS [Member]
|
|||||
Assets | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | $ 3,270,332 | $ 4,357,666 | $ 1,098,118 | [1] | |||||
Liabilities | |||||||||
Securitized debt transferred to consolidated VIEs | 212,778 | 289,236 | 1,202,221 | [1] | |||||
Net assets and liabilities of newly consolidated entities | (104,103) | [1] | |||||||
Cumulative effect of change in accounting principle | $ (104,103) | $ (104,103) | [1] | ||||||
|
Securitized Loans Held For Investment - Summary (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
Dec. 31, 2008
|
---|---|---|---|---|
Residential Mortgage Backed Securities [Member]
|
||||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||||
Securitized loans, at amortized cost | $ 270,570 | $ 360,118 | ||
Less: allowance for loan losses | 13,938 | 11,006 | 4,551 | 1,621 |
Securitized loans held for investment | $ 256,632 | $ 349,112 |
Common Stock - Narrative (Detail) (USD $)
In Thousands, except Share data, unless otherwise specified |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
|
Common Stock [Line Items] | |||
Proceeds from direct purchase and dividend reinvestment | $ 1,120 | $ 504 | $ 50 |
Dividends to common shareholders declared | 523,481 | 577,469 | 242,371 |
Declared dividends per common share | $ 0.51 | $ 0.69 | $ 0.43 |
Common Stock Par Value
|
|||
Common Stock [Line Items] | |||
Description of common stock equity distribution agreement | On January 28, 2011 the Company entered into an equity distribution agreement with FIDAC and UBS Securities LLC ("UBS") | ||
Date of equity distribution agreement with FIDAC and UBS | 2011-01-28 | ||
Number of common shares authorized for issuance under the equity distribution agreement with FIDAC and UBS | 125,000,000 | ||
Proceeds from direct purchase and dividend reinvestment | 964 | 263 | |
Shares issued during the period under the dividend reinvestment and share purchase plan | 278,000 | 68,000 | |
Dividends to common shareholders declared | $ 523,500 | $ 577,500 | |
Declared dividends per common share | $ 0.51 | $ 0.69 |
Residential Mortgage Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) (Non-Agency RMBS [Member])
|
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|||||
Minimum [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 34.00% | 26.00% | ||||
60+ days delinquent | 0.00% | 0.00% | ||||
Credit Enhancement | 0.00% | [1] | 0.00% | [1] | ||
3 Month CPR | 0.00% | 0.00% | ||||
12 Month CPR | 4.00% | 1.00% | ||||
Maximum [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 97.00% | 82.00% | ||||
60+ days delinquent | 68.00% | 49.00% | ||||
Credit Enhancement | 91.00% | [1] | 86.00% | [1] | ||
3 Month CPR | 83.00% | 39.00% | ||||
12 Month CPR | 56.00% | 35.00% | ||||
Weighted Average [Member]
|
||||||
Investment Holdings [Line Items] | ||||||
Loss Severity | 59.00% | 50.00% | ||||
60+ days delinquent | 30.00% | 32.00% | ||||
Credit Enhancement | 10.00% | [1] | 16.00% | [1] | ||
3 Month CPR | 15.00% | 16.00% | ||||
12 Month CPR | 16.00% | 27.00% | ||||
|
Interest Rate Swaps (Tables)
|
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location | The
table below summarizes the location and fair value of interest rate
swaps reported in the Consolidated Statements of Financial
Condition as of December 31, 2011 and 2010.
The
effect of the Company’s interest rate swaps on the
Consolidated Statements of Operations and Comprehensive Income
(Loss) is presented below.
|
Common Stock - Earnings Per Share (Detail) (USD $)
In Thousands, except Share data, unless otherwise specified |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
|
Earnings Per Share [Line Items] | |||||||||||
Net income | $ 42,748 | $ (60,036) | $ 53,979 | $ 100,638 | $ 122,175 | $ 58,274 | $ 39,490 | $ 28,466 | $ 137,329 | $ 248,405 | $ 230,696 |
Effect of dilutive securities: | |||||||||||
Dilutive net income available to stockholders | $ 137,329 | $ 248,405 | $ 230,696 | ||||||||
Average shares available to common stockholders | 1,026,365,197 | 821,675,803 | 505,962,840 | ||||||||
Effect of dilutive securities: | 806,190 | 941,516 | 1,079,581 | ||||||||
Weighted Average Dilutive Shares | 1,027,171,387 | 822,617,319 | 507,042,421 | ||||||||
Net income per average share attributable to common stockholders - Basic | $ 0.13 | $ 0.30 | $ 0.46 | ||||||||
Net income per average share attributable to common stockholders - Diluted | $ 0.13 | $ 0.30 | $ 0.45 |
Variable Interest Entities - Effect on Consolidated Cash Flow (Detail) (USD $)
In Thousands, unless otherwise specified |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Amortization of debt issue costs of securitized debt | $ 12,551 | $ 16,655 | $ 4,000 |
Payments on securitized debt borrowings, loans held for investment | (80,181) | (106,186) | (102,393) |
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs | 310,972 | 1,295,657 | |
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs | (645,603) | (574,399) | |
Decrease (increase) in accrued interest receivable | 672 | 17,570 | 23,177 |
Increase (decrease) in accrued interest payable | (217) | 8,406 | 770 |
Variable Interest Entity, Primary Beneficiary [Member]
|
|||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Amortization of debt issue costs of securitized debt | 12,551 | 16,655 | 4,000 |
Payments on securitized debt borrowings, loans held for investment | (80,181) | (106,186) | (102,393) |
Proceeds from securitized debt borrowings, RMBS transferred to consolidated VIEs | 310,972 | 1,295,657 | |
Payments on securitized debt borrowings, RMBS transferred to consolidated VIEs | (645,603) | (574,399) | |
Decrease (increase) in accrued interest receivable | (4,832) | 27,986 | 496 |
Increase (decrease) in accrued interest payable | (1,836) | 8,032 | 508 |
Net cash provided by/(used in) consolidated VIEs | $ (408,929) | $ 667,745 | $ (97,389) |
Restatements - Effects on Statements of Financial Condition (Quarterly) (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
Dec. 31, 2011
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
|
Mar. 31, 2011
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Scenario, Previously Reported [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
|
Mar. 31, 2010
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Scenario, Previously Reported [Member]
|
Dec. 31, 2008
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
|
Mar. 31, 2010
Restatement Adjustment [Member]
|
Dec. 31, 2009
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
|
Mar. 31, 2011
Scenario, Restated [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
|
Mar. 31, 2010
Scenario, Restated [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
|
Mar. 31, 2009
Scenario, Restated [Member]
|
Dec. 31, 2008
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized loans held for investment, net of allowance for loan losses | $ 256,632 | $ 349,112 | $ 286,009 | [1] | $ 302,879 | [1] | $ 326,295 | [1] | $ 353,532 | [1] | $ (4,420) | [1] | $ (4,420) | [1] | $ (4,420) | [1] | $ (4,420) | [1] | $ 281,589 | [1] | $ 298,459 | [1] | $ 321,875 | [1] | $ 349,112 | [1] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | 7,747,135 | 8,069,280 | 9,714,205 | 10,089,109 | 10,258,434 | 8,073,700 | (4,420) | (4,420) | (4,420) | (4,420) | 9,709,785 | 10,084,689 | 10,254,014 | 8,069,280 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accumulated other comprehensive income (loss) | 433,453 | 680,123 | 29,972 | [2] | 25,297 | [2] | 113,899 | [2] | 274,651 | [2] | 22,444 | [2] | 673 | [2] | 144,978 | [2] | (99,754) | [2] | 636,024 | [2] | 532,060 | [2] | 468,196 | [2] | 405,472 | [2] | 375,840 | [2] | 307,679 | [2] | 222,590 | [2] | 109,530 | [2] | 665,996 | [2] | 557,357 | [2] | 582,095 | [2] | 680,123 | [2] | 398,284 | [2] | 308,352 | [2] | 367,568 | [2] | 9,776 | [2] | ||||||||||||||||||||||||||||||||||||
Retained earnings (accumulated deficit) | (999,840) | (613,688) | (289,207) | [2] | (199,692) | [2] | (184,110) | [2] | (203,796) | [2] | (185,578) | [2] | (153,202) | [2] | (147,361) | [2] | (70,991) | [2] | (640,444) | [2] | (536,480) | [2] | (472,616) | [2] | (409,892) | [2] | (375,840) | [2] | (307,679) | [2] | (222,590) | [2] | (109,530) | [2] | (929,651) | [2] | (736,172) | [2] | (656,726) | [2] | (613,688) | [2] | (561,418) | [2] | (460,881) | [2] | (369,951) | [2] | (180,521) | [2] | ||||||||||||||||||||||||||||||||||||
Total stockholders' equity | 3,047,619 | 3,678,586 | 2,126,562 | 3,354,069 | 3,438,539 | 3,542,390 | 3,683,006 | 2,902,347 | 2,912,859 | 2,294,947 | 2,126,562 | 414,455 | (4,420) | (4,420) | (4,420) | (4,420) | 3,349,649 | 3,434,119 | 3,537,970 | 3,678,586 | 2,902,347 | 2,912,859 | 2,294,947 | 2,126,562 | 2,191,029 | 1,946,609 | 432,826 | 414,455 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and stockholders' equity | $ 7,747,135 | $ 8,069,280 | $ 9,714,205 | $ 10,089,109 | $ 10,258,434 | $ 7,233,452 | $ 6,878,182 | $ 6,156,195 | $ (4,420) | $ (4,420) | $ (4,420) | $ 9,709,785 | $ 10,084,689 | $ 10,254,014 | $ 7,233,452 | $ 6,878,182 | $ 6,156,195 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Securitized Loans Held For Investment - Collateral Characteristics (Detail) (Residential Mortgage [Member], USD $)
|
Dec. 31, 2011
Point
Y
Loan
|
Dec. 31, 2010
Loan
Point
Y
|
||||||
---|---|---|---|---|---|---|---|---|
Additional information: | ||||||||
Number of loans | 392 | 513 | ||||||
Weighted average maturity (years) | 25.8 | 26.6 | ||||||
Weighted average original loan to value | 75.50% | [1] | 74.50% | [1] | ||||
Weighted average FICO | 752 | [2] | 755 | [2] | ||||
Weighted average loan balance | $ 684,000 | $ 694,300 | ||||||
Weighted average percentage owner occupied | 91.10% | 90.50% | ||||||
Weighted average percentage single family residence | 58.10% | 58.20% | ||||||
California [Member]
|
||||||||
Additional information: | ||||||||
Weighted average geographic concentration | 36.00% | 33.30% | ||||||
Florida [Member]
|
||||||||
Additional information: | ||||||||
Weighted average geographic concentration | 6.10% | 6.70% | ||||||
Arizona [Member]
|
||||||||
Additional information: | ||||||||
Weighted average geographic concentration | 5.80% | 5.20% | ||||||
Illinois [Member]
|
||||||||
Additional information: | ||||||||
Weighted average geographic concentration | 5.30% | 5.30% | ||||||
New Jersey [Member]
|
||||||||
Additional information: | ||||||||
Weighted average geographic concentration | 5.40% | 5.30% | ||||||
|
Interest Rate Swaps - Statement of Operations (Detail) (USD $)
In Thousands, unless otherwise specified |
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Derivative Instruments, Gain (Loss) [Line Items] | ||
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) Realized Gains (Losses) on Interest Rate Swaps | $ (15,929) | $ (5,788) |
Statements of Comprehensive Income (Loss) Unrealized Gains (Losses) on Interest Rate Swaps | (34,478) | (9,989) |
Interest Rate Swap [Member] | Realized Gains (Losses) on Interest Rate Swaps [Member]
|
||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Location on Consolidated Statements of Operations and Comprehensive Income (Loss) Realized Gains (Losses) on Interest Rate Swaps | (15,929) | (5,788) |
Interest Rate Swap [Member] | Unrealized Gains (Losses) on Interest Rate Swaps [Member]
|
||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Statements of Comprehensive Income (Loss) Unrealized Gains (Losses) on Interest Rate Swaps | $ (34,478) | $ (9,989) |
Restatements - Effects on Statements of Operations and Comprehensive Income (Loss) (Detail) (USD $)
|
3 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
Dec. 31, 2011
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2010
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2009
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
|
Mar. 31, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
|
Mar. 31, 2010
Scenario, Previously Reported [Member]
|
Sep. 30, 2009
Scenario, Previously Reported [Member]
|
Jun. 30, 2009
Scenario, Previously Reported [Member]
|
Mar. 31, 2009
Scenario, Previously Reported [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
|
Jun. 30, 2009
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
|
Sep. 30, 2009
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2011
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2010
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Scenario, Previously Reported [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
|
Mar. 31, 2010
Restatement Adjustment [Member]
|
Sep. 30, 2009
Restatement Adjustment [Member]
|
Jun. 30, 2009
Restatement Adjustment [Member]
|
Mar. 31, 2009
Restatement Adjustment [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
|
Jun. 30, 2009
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
|
Sep. 30, 2009
Restatement Adjustment [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
|
Dec. 31, 2009
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Mar. 31, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2009
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2009
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2009
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2009
Restatement Adjustment [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
|
Mar. 31, 2011
Scenario, Restated [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
|
Mar. 31, 2010
Scenario, Restated [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
|
Mar. 31, 2009
Scenario, Restated [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2011
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2010
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Mar. 31, 2009
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Non Agency Residential Mortgage Backed Securities And Securitized Loans [Member]
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | $ 167,541,000 | $ 185,581,000 | $ 179,859,000 | $ 172,043,000 | $ 151,851,000 | $ 149,098,000 | $ 136,727,000 | $ 138,424,000 | $ 254,028,000 | $ 103,360,000 | $ 261,243,000 | $ 177,640,000 | [1],[2] | $ 194,235,000 | [1],[2] | $ 206,574,000 | [1],[2] | $ 140,405,000 | [1],[3] | $ 133,522,000 | [1],[3] | $ 128,984,000 | [1],[3] | $ 104,690,000 | [1],[4] | $ 65,077,000 | [1],[4] | $ 28,007,000 | [1],[4] | $ 562,878,000 | [1],[5] | $ 298,539,000 | [1],[5] | $ (108,864,000) | [1],[2] | $ (123,379,000) | [1],[2] | $ (148,488,000) | [1],[2] | $ (117,493,000) | [1],[3] | $ (108,558,000) | [1],[3] | $ (105,320,000) | [1],[3] | $ (16,048,000) | [1],[4] | $ (8,609,000) | [1],[4] | $ (2,263,000) | [1],[4] | $ (459,518,000) | [1],[5] | $ (37,296,000) | [1],[5] | $ 68,776,000 | [1],[2] | $ 70,856,000 | [1],[2] | $ 58,086,000 | [1],[2] | $ 22,912,000 | [1],[3] | $ 24,964,000 | [1],[3] | $ 23,664,000 | [1],[3] | $ 88,642,000 | [1],[4] | $ 56,468,000 | [1],[4] | $ 25,744,000 | [1],[4] | $ 103,360,000 | [1],[5] | $ 261,243,000 | [1],[5] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income, non-retained | 35,030,000 | [1] | 28,428,000 | [1] | 21,159,000 | [1] | 58,090,000 | [1] | 49,829,000 | [1] | 50,861,000 | [1] | 192,560,000 | [1],[5] | (35,030,000) | [1] | (28,428,000) | [1] | (21,159,000) | [1] | (58,090,000) | [1] | (49,829,000) | [1] | (50,861,000) | [1] | (192,560,000) | [1],[5] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income, Non-Agency RMBS and securitized loans transferred to consolidated VIEs | 450,996,000 | 472,740,000 | 26,440,000 | 116,805,000 | [1],[2] | 109,003,000 | [1],[2] | 113,957,000 | [1],[2] | 126,186,000 | [1],[3] | 111,763,000 | [1],[3] | 114,760,000 | [1],[3] | 6,062,000 | [1],[4] | 6,485,000 | [1],[4] | 7,757,000 | [1],[4] | 472,740,000 | [1],[5] | 26,440,000 | [1],[5] | 116,805,000 | [1],[2] | 109,003,000 | [1],[2] | 113,957,000 | [1],[2] | 126,186,000 | [1],[3] | 111,763,000 | [1],[3] | 114,760,000 | [1],[3] | 6,062,000 | [1],[4] | 6,485,000 | [1],[4] | 7,757,000 | [1],[4] | 472,740,000 | [1],[5] | 26,440,000 | [1],[5] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest expense | 7,217,000 | [2],[6],[7] | 7,481,000 | [2],[6],[7] | 10,849,000 | [2],[6],[7] | 10,527,000 | [3],[6],[7] | 7,198,000 | [3],[6],[7] | 7,374,000 | [3],[6],[7] | 9,197,000 | [4],[6],[7] | 8,313,000 | [4],[6],[7] | 9,042,000 | [4],[6],[7] | 37,175,000 | [5],[6],[8] | 35,083,000 | [5],[6],[8] | (4,068,000) | [2],[6],[7] | (4,522,000) | [2],[6],[7] | (7,797,000) | [2],[6],[7] | (8,891,000) | [3],[6],[7] | (5,457,000) | [3],[6],[7] | (4,805,000) | [3],[6],[7] | (6,098,000) | [4],[6],[7] | (6,448,000) | [4],[6],[7] | (6,908,000) | [4],[6],[7] | (29,426,000) | [5],[6],[8] | (25,212,000) | [5],[6],[8] | 3,149,000 | [2],[6],[7] | 2,959,000 | [2],[6],[7] | 3,052,000 | [2],[6],[7] | 1,636,000 | [3],[6],[7] | 1,741,000 | [3],[6],[7] | 2,569,000 | [3],[6],[7] | 3,099,000 | [4],[6],[7] | 1,865,000 | [4],[6],[7] | 2,134,000 | [4],[6],[7] | 7,749,000 | [5],[6],[8] | 9,871,000 | [5],[6],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest expense, non-retained | 25,575,000 | [6],[7] | 28,312,000 | [6],[7] | 27,575,000 | [6],[7] | 32,237,000 | [6],[7] | 21,421,000 | [6],[7] | 33,830,000 | [6],[7] | 115,061,000 | [5],[8] | (25,575,000) | [6],[7] | (28,312,000) | [6],[7] | (27,575,000) | [6],[7] | (32,237,000) | [6],[7] | (21,421,000) | [6],[7] | (33,830,000) | [6],[7] | (115,061,000) | [5],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest expense, Non-Agency RMBS and securitized loans transferred to consolidated VIEs | 122,917,000 | 138,699,000 | 25,212,000 | 29,643,000 | [2],[6],[7] | 32,834,000 | [2],[6],[7] | 32,525,000 | [2],[6],[7] | 38,635,000 | [3],[6],[7] | 26,179,000 | [3],[6],[7] | 38,635,000 | [3],[6],[7] | 6,098,000 | [4],[6],[7] | 6,448,000 | [4],[6],[7] | 6,908,000 | [4],[6],[7] | 138,699,000 | [5],[8] | 25,212,000 | [5],[8] | 29,643,000 | [2],[6],[7] | 32,834,000 | [2],[6],[7] | 32,525,000 | [2],[6],[7] | 38,635,000 | [3],[6],[7] | 26,179,000 | [3],[6],[7] | 38,635,000 | [3],[6],[7] | 6,098,000 | [4],[6],[7] | 6,448,000 | [4],[6],[7] | 6,908,000 | [4],[6],[7] | 138,699,000 | [5],[8] | 25,212,000 | [5],[8] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Interest Income | 136,845,000 | 152,789,000 | 144,066,000 | 136,466,000 | 114,798,000 | 108,827,000 | 108,807,000 | 97,220,000 | 570,166,000 | 429,652,000 | 252,600,000 | 179,878,000 | [9] | 186,870,000 | [9] | 189,309,000 | [9] | 155,731,000 | [9] | 154,732,000 | [9] | 138,641,000 | [9] | 95,493,000 | [9] | 56,764,000 | [9] | 18,965,000 | [9] | 603,202,000 | [9] | 263,456,000 | [9] | (27,089,000) | [9] | (42,804,000) | [9] | (52,843,000) | [9] | (46,904,000) | [9] | (45,925,000) | [9] | (41,421,000) | [9] | (9,986,000) | [9] | (2,124,000) | [9] | 5,494,000 | [9] | (173,550,000) | [9] | (10,856,000) | [9] | 152,789,000 | [9] | 144,066,000 | [9] | 136,466,000 | [9] | 108,827,000 | [9] | 108,807,000 | [9] | 97,220,000 | [9] | 85,507,000 | [9] | 54,640,000 | [9] | 24,459,000 | [9] | 429,652,000 | [9] | 252,600,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other-than-temporary impairment losses | (418,119,000) | (295,386,000) | (290,228,000) | (249,257,000) | [1] | (1,926,000) | [1] | (4,205,000) | [1] | (1,314,000) | [1] | (24,746,000) | [1] | (22,687,000) | [1] | (6,209,000) | [1] | (8,575,000) | [1] | (54,343,000) | [1] | (16,264,000) | [1] | 97,969,000 | [1] | (70,459,000) | [1] | (66,012,000) | [1] | (42,352,000) | [1] | (51,098,000) | [1] | (113,981,000) | [1] | (35,333,000) | [1] | (103,635,000) | [1] | (71,217,000) | [1] | (241,043,000) | [1] | (273,964,000) | [1] | (151,288,000) | [1] | (72,385,000) | [1] | (70,217,000) | [1] | (43,666,000) | [1] | (75,844,000) | [1] | (136,668,000) | [1] | (41,542,000) | [1] | (112,210,000) | [1] | (71,217,000) | [1] | (295,386,000) | [1] | (290,228,000) | [1] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-credit portion of loss recognized in other comprehensive income | (61,014,000) | (163,541,000) | (179,357,000) | 208,081,000 | [1] | 882,000 | [1] | 1,580,000 | [1] | 436,000 | [1] | 17,853,000 | [1] | 20,143,000 | [1] | 4,024,000 | [1] | 2,080,000 | [1] | 41,665,000 | [1] | 6,268,000 | [1] | (207,353,000) | [1] | 9,333,000 | [1] | 35,454,000 | [1] | 18,610,000 | [1] | 19,325,000 | [1] | 65,224,000 | [1] | 19,197,000 | [1] | 67,940,000 | [1] | 61,275,000 | [1] | 121,876,000 | [1] | 173,089,000 | [1] | 728,000 | [1] | 10,215,000 | [1] | 37,034,000 | [1] | 19,046,000 | [1] | 37,178,000 | [1] | 85,367,000 | [1] | 23,221,000 | [1] | 70,020,000 | [1] | 61,275,000 | [1] | 163,541,000 | [1] | 179,357,000 | [1] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net other-than-temporary credit impairment losses | 111,192,000 | 150,560,000 | 62,170,000 | 33,183,000 | 17,258,000 | 24,620,000 | 38,666,000 | 51,301,000 | (357,105,000) | (131,845,000) | (110,871,000) | (41,176,000) | [1] | (1,044,000) | [1] | (2,625,000) | [1],[10] | (878,000) | [1] | (6,893,000) | [1] | (2,544,000) | [1],[10] | (2,185,000) | [1] | (6,495,000) | [1] | (3,669,000) | [10] | (9,437,000) | [10] | (6,495,000) | [10] | (105,504,000) | [10] | (10,315,000) | [10] | (8,680,000) | [10] | (12,678,000) | [1],[11] | (9,996,000) | [1],[11] | (67,500,000) | (109,384,000) | [1] | (61,126,000) | [1] | (30,558,000) | [1],[10] | (23,742,000) | [1] | (31,773,000) | [1] | (48,757,000) | [1],[10] | (16,136,000) | [1] | (35,695,000) | [1] | (9,942,000) | [1],[10] | (91,684,000) | [10] | (80,530,000) | [10] | (45,637,000) | [10] | (140,409,000) | [10] | (104,272,000) | [10] | (61,773,000) | [10] | (119,167,000) | [1],[11] | (100,875,000) | [1],[11] | (449,300,000) | (150,560,000) | [1] | (62,170,000) | [1] | (33,183,000) | [1],[10] | (24,620,000) | [1] | (38,666,000) | [1] | (51,301,000) | [1],[10] | (18,321,000) | [1] | (42,190,000) | [1] | (9,942,000) | [1],[10] | (95,353,000) | [10] | (89,967,000) | [10] | (52,132,000) | [10] | (245,913,000) | [10] | (114,587,000) | [10] | (70,453,000) | [10] | (131,845,000) | [1],[11] | (110,871,000) | [1],[11] | (516,800,000) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gains (losses) on interest rate swaps | (15,929,000) | (5,788,000) | (4,500,000) | [6],[7] | (4,297,000) | [6],[7] | (2,847,000) | [6],[7] | (2,493,000) | [6],[7] | (699,000) | [6],[7] | (5,788,000) | [6],[8] | (4,500,000) | [6],[7] | (4,297,000) | [6],[7] | (2,847,000) | [6],[7] | (2,493,000) | [6],[7] | (699,000) | [6],[7] | (5,788,000) | [6],[8] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Gains (losses) on interest rate swaps | (3,782,000) | (29,812,000) | (23,797,000) | 6,984,000 | 12,235,000 | (16,076,000) | (11,936,000) | (50,407,000) | (15,777,000) | (29,812,000) | [6],[7] | (23,797,000) | [6],[7] | 6,984,000 | [6],[7] | (16,076,000) | [6],[7] | (11,936,000) | [6],[7] | (15,777,000) | [6],[8] | (29,812,000) | [6],[7] | (23,797,000) | [6],[7] | 6,984,000 | [6],[7] | (16,076,000) | [6],[7] | (11,936,000) | [6],[7] | (15,777,000) | [6],[8] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on interest-only RMBS | (14,545,000) | 3,846,000 | 2,920,000 | 52,000 | [12],[7] | (4,442,000) | [12],[7] | (4,442,000) | [12] | (4,390,000) | [12] | (34,800,000) | (17,652,000) | [12],[7] | 16,325,000 | [12],[7] | 4,106,000 | [12],[7] | 2,617,000 | [12],[7] | (7,018,000) | [12],[7] | (11,724,000) | [12],[7] | 2,836,000 | [12],[7] | (1,557,000) | [12],[7] | (1,489,000) | [12],[7] | 20,431,000 | [12] | (18,742,000) | [12] | (3,046,000) | [12] | 2,779,000 | [12] | (16,125,000) | [12] | (210,000) | [12] | 3,846,000 | [12],[8] | 2,920,000 | [12],[8] | 42,100,000 | (17,600,000) | [12],[7] | 11,883,000 | [12],[7] | 4,106,000 | [12],[7] | 2,617,000 | [12],[7] | (7,018,000) | [12],[7] | (11,724,000) | [12],[7] | 2,836,000 | [12],[7] | (1,557,000) | [12],[7] | (1,489,000) | [12],[7] | 15,989,000 | [12] | (18,742,000) | [12] | (3,046,000) | [12] | (1,611,000) | [12] | (16,125,000) | [12] | (210,000) | [12] | 3,846,000 | [12],[8] | 2,920,000 | [12],[8] | 7,300,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized gains (losses) on sales of investments, net | 52,566,000 | 58,000 | (913,000) | 2,642,000 | 11,306,000 | 1,876,000 | 4,151,000 | 54,353,000 | 17,333,000 | 118,915,000 | 28,000 | [13] | (380,000) | [13] | 2,744,000 | [13] | 2,032,000 | [13] | 342,000 | [13] | 74,508,000 | [13] | 9,321,000 | [13] | 3,627,000 | [13] | 2,364,000 | [13] | 342,000 | [13] | 12,948,000 | [13] | 1,342,000 | [13] | 2,374,000 | [13] | 87,456,000 | [13] | 10,085,000 | [13] | 103,646,000 | [13] | 30,000 | [13] | (533,000) | [13] | (102,000) | [13] | (156,000) | [13] | 3,809,000 | [13] | 11,984,000 | [13] | (87,000) | [13] | 55,000 | [13] | (635,000) | [13] | 3,809,000 | [13] | (32,000) | [13] | 445,000 | [13] | 3,653,000 | [13] | 11,952,000 | [13] | 7,248,000 | [13] | 15,269,000 | [13] | 58,000 | [13] | (913,000) | [13] | 2,642,000 | [13] | 1,876,000 | [13] | 4,151,000 | [13] | 86,492,000 | [13] | 9,234,000 | [13] | 3,682,000 | [13] | 1,729,000 | [13] | 4,151,000 | [13] | 12,916,000 | [13] | 1,787,000 | [13] | 6,027,000 | [13] | 99,408,000 | [13] | 17,333,000 | [13] | 118,915,000 | [13] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Realized losses on principal write-downs on non-Agency RMBS | 22,040,000 | [13] | 19,520,000 | [13] | 2,517,000 | [13] | 326,000 | [13] | 949,000 | [13] | 61,000 | [13] | 41,560,000 | [13] | 1,275,000 | [13] | 3,792,000 | [13] | 61,000 | [13] | (7,385,000) | [13] | (255,000) | [13] | (49,200,000) | (22,040,000) | [13] | (19,520,000) | [13] | (2,517,000) | [13] | (326,000) | [13] | (949,000) | [13] | (61,000) | [13] | (41,560,000) | [13] | (1,275,000) | [13] | (3,792,000) | [13] | (61,000) | [13] | 7,385,000 | [13] | 255,000 | [13] | 49,200,000 | 0 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other gains (losses) | (10,599,000) | 5,402,000 | 121,835,000 | (57,907,000) | [9] | (52,893,000) | [9] | (6,945,000) | [9] | (14,068,000) | [9] | (11,563,000) | [9] | (607,000) | [9] | 74,447,000 | [9] | 9,321,000 | [9] | 3,627,000 | [9] | (7,289,000) | [9] | 103,391,000 | [9] | 10,553,000 | [9] | 40,066,000 | [9] | 20,677,000 | [9] | 2,485,000 | [9] | (7,391,000) | [9] | (6,966,000) | [9] | 14,881,000 | [9] | (1,644,000) | [9] | (1,434,000) | [9] | 12,691,000 | [9] | 18,444,000 | [9] | (47,354,000) | [9] | (12,827,000) | [9] | 13,732,000 | [9] | (11,583,000) | [9] | (18,954,000) | [9] | (7,573,000) | [9] | 89,328,000 | [9] | 7,677,000 | [9] | 2,193,000 | [9] | 5,402,000 | [9] | 121,835,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 202,462,000 | 303,209,000 | 263,564,000 | 80,795,000 | [9] | 132,933,000 | [9] | 179,739,000 | [9] | 140,785,000 | [9] | 136,276,000 | [9] | 135,490,000 | [9] | 167,755,000 | [9] | 59,590,000 | [9] | 22,592,000 | [9] | 583,235,000 | [9] | 356,851,000 | [9] | (125,920,000) | [9] | (63,864,000) | [9] | (62,724,000) | [9] | (68,161,000) | [9] | (85,089,000) | [9] | (97,144,000) | [9] | (11,241,000) | [9] | (39,463,000) | [9] | (5,882,000) | [9] | (280,026,000) | [9] | (93,287,000) | [9] | (45,125,000) | [9] | 69,069,000 | [9] | 117,015,000 | [9] | 72,624,000 | [9] | 51,187,000 | [9] | 38,346,000 | [9] | 156,514,000 | [9] | 20,127,000 | [9] | 16,710,000 | [9] | 303,209,000 | [9] | 263,564,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for loan losses | 5,291,000 | 7,109,000 | 3,102,000 | 2,689,000 | [14],[15],[8] | 3,102,000 | [14],[15],[8] | 8,900,000 | 4,420,000 | [14],[15],[8] | 4,400,000 | 7,109,000 | [14],[15],[8] | 3,102,000 | [14],[15],[8] | 13,300,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other expenses | 18,794,000 | 15,082,000 | 14,972,000 | 15,679,000 | 18,874,000 | 13,598,000 | 11,696,000 | 9,880,000 | 64,527,000 | 54,048,000 | 32,867,000 | 49,628,000 | [9] | 32,867,000 | [9] | 4,420,000 | [9] | 54,048,000 | [9] | 32,867,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before income taxes | 137,935,000 | 249,161,000 | 230,697,000 | 65,713,000 | [9] | 117,961,000 | [9] | 164,060,000 | [9] | 127,187,000 | [9] | 124,580,000 | [9] | 125,610,000 | [9] | 158,002,000 | [9] | 51,644,000 | [9] | 18,870,000 | [9] | 533,607,000 | [9] | 323,984,000 | [9] | (125,920,000) | [9] | (63,864,000) | [9] | (62,724,000) | [9] | (68,161,000) | [9] | (85,089,000) | [9] | (97,144,000) | [9] | (11,241,000) | [9] | (39,463,000) | [9] | (5,882,000) | [9] | (284,446,000) | [9] | (93,287,000) | [9] | (60,207,000) | [9] | 54,097,000 | [9] | 101,336,000 | [9] | 59,026,000 | [9] | 39,491,000 | [9] | 28,466,000 | [9] | 146,761,000 | [9] | 12,181,000 | [9] | 12,988,000 | [9] | 249,161,000 | [9] | 230,697,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 42,748,000 | (60,036,000) | 53,979,000 | 100,638,000 | 122,175,000 | 58,274,000 | 39,490,000 | 28,466,000 | 137,329,000 | 248,405,000 | 230,696,000 | 65,884,000 | [9] | 117,843,000 | [9] | 163,362,000 | [10],[9] | 126,435,000 | [9] | 124,579,000 | [9] | 125,610,000 | [10],[9] | 158,002,000 | [9] | 51,644,000 | [9] | 18,869,000 | [10],[9] | 281,205,000 | [10] | 250,189,000 | [10] | 70,513,000 | [10] | 372,019,000 | [10] | 376,624,000 | [10] | 228,515,000 | [10] | 532,851,000 | [9] | 323,983,000 | [9] | 1,100,000,000 | (125,920,000) | [9] | (63,864,000) | [9] | (62,724,000) | [10],[9] | (68,161,000) | [9] | (85,089,000) | [9] | (97,144,000) | [10],[9] | (11,241,000) | [9] | (39,463,000) | [9] | (5,882,000) | [10],[9] | (126,588,000) | [10] | (182,233,000) | [10] | (45,345,000) | [10] | (277,438,000) | [10] | (250,394,000) | [10] | (56,586,000) | [10] | (284,446,000) | [9] | (93,287,000) | [9] | (646,700,000) | (60,036,000) | [9] | 53,979,000 | [9] | 100,638,000 | [10],[9] | 122,175,000 | 58,274,000 | [9] | 39,490,000 | [9] | 28,466,000 | [10],[9] | 58,767,000 | 146,761,000 | [9] | 12,181,000 | [9] | 12,987,000 | [10],[9] | 154,617,000 | [10] | 67,956,000 | [10] | 25,168,000 | [10] | 94,581,000 | [10] | 126,230,000 | [10] | 171,929,000 | [10] | 248,405,000 | [9] | 230,696,000 | [9] | 434,700,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income per share-basic | $ 0.13 | $ 0.30 | $ 0.46 | $ 0.06 | [9] | $ 0.11 | [9] | $ 0.16 | [9] | $ 0.14 | [9] | $ 0.16 | [9] | $ 0.19 | [9] | $ 0.24 | [9] | $ 0.10 | [9] | $ 0.11 | [9] | $ 0.65 | [9] | $ 0.64 | [9] | $ (0.12) | [9] | $ (0.06) | [9] | $ (0.06) | [9] | $ (0.07) | [9] | $ (0.11) | [9] | $ (0.15) | [9] | $ (0.02) | [9] | $ (0.08) | [9] | $ (0.04) | [9] | $ (0.35) | [9] | $ (0.18) | [9] | $ (0.06) | [9] | $ 0.05 | [9] | $ 0.10 | [9] | $ 0.07 | [9] | $ 0.05 | [9] | $ 0.04 | [9] | $ 0.22 | [9] | $ 0.02 | [9] | $ 0.07 | [9] | $ 0.30 | [9] | $ 0.46 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income per share-diluted | $ 0.13 | $ 0.30 | $ 0.45 | $ 0.06 | [9] | $ 0.11 | [9] | $ 0.16 | [9] | $ 0.14 | [9] | $ 0.16 | [9] | $ 0.19 | [9] | $ 0.24 | [9] | $ 0.10 | [9] | $ 0.11 | [9] | $ 0.65 | [9] | $ 0.64 | [9] | $ (0.12) | [9] | $ (0.06) | [9] | $ (0.06) | [9] | $ (0.07) | [9] | $ (0.11) | [9] | $ (0.15) | [9] | $ (0.02) | [9] | $ (0.08) | [9] | $ (0.04) | [9] | $ (0.35) | [9] | $ (0.19) | [9] | $ (0.06) | [9] | $ 0.05 | [9] | $ 0.10 | [9] | $ 0.07 | [9] | $ 0.05 | [9] | $ 0.04 | [9] | $ 0.22 | [9] | $ 0.02 | [9] | $ 0.07 | [9] | $ 0.30 | [9] | $ 0.45 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 42,748,000 | (60,036,000) | 53,979,000 | 100,638,000 | 122,175,000 | 58,274,000 | 39,490,000 | 28,466,000 | 137,329,000 | 248,405,000 | 230,696,000 | 65,884,000 | [9] | 117,843,000 | [9] | 163,362,000 | [10],[9] | 126,435,000 | [9] | 124,579,000 | [9] | 125,610,000 | [10],[9] | 158,002,000 | [9] | 51,644,000 | [9] | 18,869,000 | [10],[9] | 281,205,000 | [10] | 250,189,000 | [10] | 70,513,000 | [10] | 372,019,000 | [10] | 376,624,000 | [10] | 228,515,000 | [10] | 532,851,000 | [9] | 323,983,000 | [9] | 1,100,000,000 | (125,920,000) | [9] | (63,864,000) | [9] | (62,724,000) | [10],[9] | (68,161,000) | [9] | (85,089,000) | [9] | (97,144,000) | [10],[9] | (11,241,000) | [9] | (39,463,000) | [9] | (5,882,000) | [10],[9] | (126,588,000) | [10] | (182,233,000) | [10] | (45,345,000) | [10] | (277,438,000) | [10] | (250,394,000) | [10] | (56,586,000) | [10] | (284,446,000) | [9] | (93,287,000) | [9] | (646,700,000) | (60,036,000) | [9] | 53,979,000 | [9] | 100,638,000 | [10],[9] | 122,175,000 | 58,274,000 | [9] | 39,490,000 | [9] | 28,466,000 | [10],[9] | 58,767,000 | 146,761,000 | [9] | 12,181,000 | [9] | 12,987,000 | [10],[9] | 154,617,000 | [10] | 67,956,000 | [10] | 25,168,000 | [10] | 94,581,000 | [10] | 126,230,000 | [10] | 171,929,000 | [10] | 248,405,000 | [9] | 230,696,000 | [9] | 434,700,000 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unrealized gains (losses) on securities available-for-sale | (549,422,000) | 555,835,000 | 268,245,000 | (58,429,000) | [16] | (112,067,000) | [16] | (180,153,000) | [16] | 20,408,000 | [16] | (151,524,000) | [16] | 241,581,000 | [16] | 238,969,000 | [16] | 39,501,000 | [16] | 13,590,000 | [16] | 364,427,000 | [16] | 260,309,000 | [16] | 16,566,000 | [16] | 24,246,000 | [16] | 51,584,000 | [16] | 46,780,000 | [16] | 53,642,000 | [16] | 69,061,000 | [16] | (149,641,000) | [16] | (31,824,000) | [16] | (11,397,000) | [16] | 191,408,000 | [16] | 7,936,000 | [16] | (41,863,000) | [16] | (87,821,000) | [16] | (128,569,000) | [16] | 67,188,000 | [16] | (97,882,000) | [16] | 310,642,000 | [16] | 89,328,000 | [16] | 7,677,000 | [16] | 2,193,000 | [16] | 555,835,000 | [16] | 268,245,000 | [16] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reclassification adjustment for net losses included in the net income (loss) for other-than-temporary credit impairment losses | 357,105,000 | 131,845,000 | 110,871,000 | 41,176,000 | [9] | 1,044,000 | [9] | 2,625,000 | [9] | 878,000 | [9] | 6,893,000 | [9] | 2,544,000 | [9] | 2,185,000 | [9] | 6,495,000 | [9] | 12,678,000 | [9] | 9,996,000 | [9] | 109,384,000 | [9] | 61,126,000 | [9] | 30,558,000 | [9] | 23,742,000 | [9] | 31,773,000 | [9] | 48,757,000 | [9] | 154,329,000 | [9] | 13,632,000 | [9] | 16,710,000 | [9] | 119,167,000 | [9] | 100,875,000 | [9] | 150,560,000 | [9] | 62,170,000 | [9] | 33,183,000 | [9] | 24,620,000 | [9] | 38,666,000 | [9] | 51,301,000 | [9] | 156,514,000 | [9] | 20,127,000 | [9] | 16,710,000 | [9] | 131,845,000 | [9] | 110,871,000 | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reclassification adjustment for realized losses (gains) included in net income (loss) | (54,353,000) | (17,333,000) | (118,915,000) | 28,000 | [9] | (22,420,000) | [9] | (16,776,000) | [9] | (485,000) | [9] | (326,000) | [9] | (607,000) | [9] | 74,447,000 | [9] | 9,321,000 | [9] | 3,627,000 | [9] | (2,700,000) | [9] | (103,391,000) | [9] | 30,000 | [9] | 21,507,000 | [9] | 19,418,000 | [9] | 2,361,000 | [9] | 326,000 | [9] | 4,758,000 | [9] | (74,447,000) | [9] | (9,321,000) | [9] | (3,627,000) | [9] | (14,633,000) | [9] | (15,524,000) | [9] | 58,000 | [9] | (913,000) | [9] | 2,642,000 | [9] | 1,876,000 | [9] | 4,151,000 | [9] | (17,333,000) | [9] | (118,915,000) | [9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | (246,670,000) | 670,347,000 | 260,201,000 | (17,281,000) | [12],[9] | (88,603,000) | [12],[9] | (160,752,000) | [12],[9] | 21,771,000 | [12],[9] | (144,305,000) | [12],[9] | 244,732,000 | [12],[9] | 166,707,000 | [12],[9] | 36,675,000 | [12],[9] | 9,963,000 | [12],[9] | 374,405,000 | [12],[9] | 166,914,000 | [12],[9] | 125,920,000 | [12],[9] | 63,865,000 | [12],[9] | 62,724,000 | [12],[9] | 68,161,000 | [12],[9] | 85,089,000 | [12],[9] | 113,060,000 | [12],[9] | 11,242,000 | [12],[9] | 39,463,000 | [12],[9] | 5,882,000 | [12],[9] | 295,942,000 | [12],[9] | 93,287,000 | [12],[9] | 108,639,000 | [12],[9] | (24,738,000) | [12],[9] | (98,028,000) | [12],[9] | 281,839,000 | 89,932,000 | [12],[9] | (59,216,000) | [12],[9] | 357,792,000 | [12],[9] | (9,731,000) | 177,949,000 | [12],[9] | 76,138,000 | [12],[9] | 15,845,000 | [12],[9] | 670,347,000 | [12],[9] | 260,201,000 | [12],[9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Comprehensive income (loss) | $ (109,341,000) | $ 918,752,000 | $ 490,897,000 | $ 48,603,000 | [12],[9] | $ 29,240,000 | [12],[9] | $ 2,610,000 | [12],[9] | $ 148,206,000 | [12],[9] | $ (19,726,000) | [12],[9] | $ 370,342,000 | [12],[9] | $ 324,709,000 | [12],[9] | $ 88,319,000 | [12],[9] | $ 28,832,000 | [12],[9] | $ 907,256,000 | [12],[9] | $ 490,897,000 | [12],[9] | $ 1,000 | [12],[9] | $ 15,916,000 | [12],[9] | $ 1,000 | [12],[9] | $ 11,496,000 | [12],[9] | $ 48,603,000 | [12],[9] | $ 29,241,000 | [12],[9] | $ 2,610,000 | [12],[9] | $ 148,206,000 | [12],[9] | $ (19,726,000) | [12],[9] | $ 386,258,000 | [12],[9] | $ 324,710,000 | [12],[9] | $ 88,319,000 | [12],[9] | $ 28,832,000 | [12],[9] | $ 918,752,000 | [12],[9] | $ 490,897,000 | [12],[9] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Schedule Of Share Based Goods And Nonemployee Services Transaction (Detail) (FIDAC Employees and Independent Directors [Member], USD $)
|
48 Months Ended | 12 Months Ended | |
---|---|---|---|
Dec. 31, 2011
|
Dec. 31, 2011
Restricted Stock [Member]
|
Dec. 31, 2010
Restricted Stock [Member]
|
|
Share-based Goods and Nonemployee Services Transaction [Line Items] | |||
Unvested shares outstanding - beginning of period, weighted average grant date fair value | $ 17.72 | $ 17.72 | |
Granted, weighted average grant date fair value | $ 2.74 | $ 4.11 | |
Vested, weighted average grant date fair value | $ 11.16 | $ 13.88 | |
Forfeited, weighted average grant date fair value | $ 17.72 | $ 17.72 | |
Unvested shares outstanding - end of period, weighted average grant date fair value | $ 17.72 | $ 17.72 | |
Unvested shares outstanding - beginning of period | 884,800 | 1,031,200 | |
Granted | 98,544 | 57,483 | |
Vested | (543,000) | (222,994) | (182,813) |
Forfeited | (45,000) | (1,950) | (21,070) |
Unvested shares outstanding - end of period | 758,400 | 884,800 |
Restatements - Effects on Statements of Changes in Stockholders' Equity (Detail) (USD $)
In Thousands, unless otherwise specified |
3 Months Ended | 12 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | 47 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
Sep. 30, 2011
|
Jun. 30, 2011
|
Mar. 31, 2011
|
Dec. 31, 2010
|
Sep. 30, 2010
|
Jun. 30, 2010
|
Mar. 31, 2010
|
Dec. 31, 2011
|
Dec. 31, 2010
|
Dec. 31, 2009
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
|
Mar. 31, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
|
Mar. 31, 2010
Scenario, Previously Reported [Member]
|
Sep. 30, 2009
Scenario, Previously Reported [Member]
|
Jun. 30, 2009
Scenario, Previously Reported [Member]
|
Mar. 31, 2009
Scenario, Previously Reported [Member]
|
Jun. 30, 2011
Scenario, Previously Reported [Member]
|
Jun. 30, 2010
Scenario, Previously Reported [Member]
|
Jun. 30, 2009
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2010
Scenario, Previously Reported [Member]
|
Sep. 30, 2009
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Scenario, Previously Reported [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
|
Mar. 31, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
|
Mar. 31, 2010
Restatement Adjustment [Member]
|
Sep. 30, 2009
Restatement Adjustment [Member]
|
Jun. 30, 2009
Restatement Adjustment [Member]
|
Mar. 31, 2009
Restatement Adjustment [Member]
|
Jun. 30, 2011
Restatement Adjustment [Member]
|
Jun. 30, 2010
Restatement Adjustment [Member]
|
Jun. 30, 2009
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2010
Restatement Adjustment [Member]
|
Sep. 30, 2009
Restatement Adjustment [Member]
|
Dec. 31, 2010
Restatement Adjustment [Member]
|
Dec. 31, 2009
Restatement Adjustment [Member]
|
Sep. 30, 2011
Restatement Adjustment [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
|
Mar. 31, 2011
Scenario, Restated [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
|
Mar. 31, 2010
Scenario, Restated [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
|
Mar. 31, 2009
Scenario, Restated [Member]
|
Jun. 30, 2011
Scenario, Restated [Member]
|
Jun. 30, 2010
Scenario, Restated [Member]
|
Jun. 30, 2009
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Sep. 30, 2010
Scenario, Restated [Member]
|
Sep. 30, 2009
Scenario, Restated [Member]
|
Dec. 31, 2010
Scenario, Restated [Member]
|
Dec. 31, 2009
Scenario, Restated [Member]
|
Sep. 30, 2011
Scenario, Restated [Member]
|
Dec. 31, 2011
Accumulated Other Comprehensive Income (Loss)
|
Dec. 31, 2010
Accumulated Other Comprehensive Income (Loss)
|
Dec. 31, 2009
Accumulated Other Comprehensive Income (Loss)
|
Dec. 31, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Accumulated Other Comprehensive Income (Loss)
Restatement Adjustment [Member]
|
Dec. 31, 2009
Accumulated Other Comprehensive Income (Loss)
Restatement Adjustment [Member]
|
Sep. 30, 2011
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Jun. 30, 2011
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Mar. 31, 2011
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Dec. 31, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Sep. 30, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Jun. 30, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Mar. 31, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Dec. 31, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Sep. 30, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Jun. 30, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Mar. 31, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Dec. 31, 2010
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Dec. 31, 2009
Accumulated Other Comprehensive Income (Loss)
Scenario, Restated [Member]
|
Dec. 31, 2011
Retained Earnings (Accumulated Deficit) [Member]
|
Dec. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
|
Dec. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
|
Dec. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
Restatement Adjustment [Member]
|
Dec. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
Restatement Adjustment [Member]
|
Sep. 30, 2011
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Jun. 30, 2011
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Mar. 31, 2011
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Dec. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Sep. 30, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Jun. 30, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Mar. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Dec. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Sep. 30, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Jun. 30, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Mar. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Dec. 31, 2010
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Dec. 31, 2009
Retained Earnings (Accumulated Deficit) [Member]
Scenario, Restated [Member]
|
Dec. 31, 2010
Total Stockholders' Equity [Member]
Scenario, Previously Reported [Member]
|
Dec. 31, 2009
Total Stockholders' Equity [Member]
Scenario, Previously Reported [Member]
|
Dec. 31, 2010
Total Stockholders' Equity [Member]
Restatement Adjustment [Member]
|
Dec. 31, 2009
Total Stockholders' Equity [Member]
Restatement Adjustment [Member]
|
Dec. 31, 2010
Total Stockholders' Equity [Member]
Scenario, Restated [Member]
|
Dec. 31, 2009
Total Stockholders' Equity [Member]
Scenario, Restated [Member]
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance | $ 3,678,586 | $ 2,126,562 | $ 3,678,586 | $ 2,126,562 | $ 3,438,539 | $ 3,542,390 | $ 3,683,006 | $ 2,912,859 | $ 2,294,947 | $ 2,126,562 | $ 414,455 | $ 3,683,006 | $ 2,126,562 | $ 414,455 | $ 3,683,006 | $ 2,126,562 | $ 414,455 | $ 2,126,562 | $ 414,455 | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ 3,434,119 | $ 3,537,970 | $ 3,678,586 | $ 2,902,347 | $ 2,912,859 | $ 2,294,947 | $ 2,126,562 | $ 2,191,029 | $ 1,946,609 | $ 432,826 | $ 414,455 | $ 3,678,586 | $ 2,126,562 | $ 414,455 | $ 3,678,586 | $ 2,126,562 | $ 414,455 | $ 2,126,562 | $ 414,455 | $ 680,123 | $ 9,776 | $ (99,754) | $ (266,668) | $ 109,530 | $ 16,243 | $ 557,357 | $ 582,095 | $ 680,123 | $ 398,284 | $ 308,352 | $ 367,568 | $ 9,776 | $ 19,507 | $ (158,442) | $ (234,580) | $ (250,425) | $ 9,776 | $ (250,425) | $ (613,688) | $ (180,521) | $ (70,991) | $ (152,603) | $ (109,530) | $ (16,243) | $ (736,172) | $ (656,726) | $ (613,688) | $ (561,418) | $ (460,881) | $ (369,951) | $ (180,521) | $ (125,499) | $ (191,949) | $ (166,425) | $ (168,846) | $ (180,521) | $ (168,846) | $ 2,126,562 | $ 414,455 | $ 0 | $ 2,126,562 | $ 414,455 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | 42,748 | (60,036) | 53,979 | 100,638 | 122,175 | 58,274 | 39,490 | 28,466 | 137,329 | 248,405 | 230,696 | 65,884 | [1] | 117,843 | [1] | 163,362 | [1],[2] | 126,435 | [1] | 124,579 | [1] | 125,610 | [1],[2] | 158,002 | [1] | 51,644 | [1] | 18,869 | [1],[2] | 281,205 | [2] | 250,189 | [2] | 70,513 | [2] | 372,019 | [2] | 376,624 | [2] | 228,515 | [2] | 532,851 | [1] | 323,983 | [1] | 1,100,000 | (125,920) | [1] | (63,864) | [1] | (62,724) | [1],[2] | (68,161) | [1] | (85,089) | [1] | (97,144) | [1],[2] | (11,241) | [1] | (39,463) | [1] | (5,882) | [1],[2] | (126,588) | [2] | (182,233) | [2] | (45,345) | [2] | (277,438) | [2] | (250,394) | [2] | (56,586) | [2] | (284,446) | [1] | (93,287) | [1] | (646,700) | (60,036) | [1] | 53,979 | [1] | 100,638 | [1],[2] | 122,175 | 58,274 | [1] | 39,490 | [1] | 28,466 | [1],[2] | 58,767 | 146,761 | [1] | 12,181 | [1] | 12,987 | [1],[2] | 154,617 | [2] | 67,956 | [2] | 25,168 | [2] | 94,581 | [2] | 126,230 | [2] | 171,929 | [2] | 248,405 | [1] | 230,696 | [1] | 434,700 | 137,329 | 248,405 | 230,696 | 532,851 | [3] | 323,983 | [3] | (284,446) | [3] | (93,287) | [3] | (60,036) | 53,979 | 100,638 | 122,175 | 58,274 | 39,490 | 28,466 | 58,767 | 146,761 | 12,181 | 12,987 | 248,405 | [3] | 230,696 | [3] | 532,851 | [3] | 323,983 | [3] | (284,446) | [3] | (93,287) | [3] | 248,405 | [3] | 230,696 | [3] | ||||||||||||||||||||||||||||||||||
Cumulative effect of change in accounting principle | (104,103) | (104,103) | (104,103) | (88,187) | [3] | (15,916) | [3] | (104,103) | (104,103) | [3] | (88,187) | [3] | (15,916) | [3] | (104,103) | [3] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other comprehensive income (loss) | (246,670) | 670,347 | 260,201 | (17,281) | [1],[4] | (88,603) | [1],[4] | (160,752) | [1],[4] | 21,771 | [1],[4] | (144,305) | [1],[4] | 244,732 | [1],[4] | 166,707 | [1],[4] | 36,675 | [1],[4] | 9,963 | [1],[4] | 374,405 | [1],[4] | 166,914 | [1],[4] | 125,920 | [1],[4] | 63,865 | [1],[4] | 62,724 | [1],[4] | 68,161 | [1],[4] | 85,089 | [1],[4] | 113,060 | [1],[4] | 11,242 | [1],[4] | 39,463 | [1],[4] | 5,882 | [1],[4] | 295,942 | [1],[4] | 93,287 | [1],[4] | 108,639 | [1],[4] | (24,738) | [1],[4] | (98,028) | [1],[4] | 281,839 | 89,932 | [1],[4] | (59,216) | [1],[4] | 357,792 | [1],[4] | (9,731) | 177,949 | [1],[4] | 76,138 | [1],[4] | 15,845 | [1],[4] | 670,347 | [1],[4] | 260,201 | [1],[4] | (246,670) | 670,347 | 260,201 | 374,405 | [3] | 166,914 | [3] | 295,942 | [3] | 93,287 | [3] | 108,639 | (24,738) | (98,028) | 281,839 | 89,932 | (59,216) | 357,792 | (9,731) | 177,949 | 76,138 | 15,845 | 670,347 | [3] | 260,201 | [3] | 374,405 | [3] | 166,914 | [3] | 295,942 | [3] | 93,287 | [3] | 670,347 | [3] | 260,201 | [3] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance, as restated | $ 3,047,619 | $ 3,678,586 | $ 3,047,619 | $ 3,678,586 | $ 2,126,562 | $ 3,354,069 | $ 3,438,539 | $ 3,542,390 | $ 2,902,347 | $ 2,912,859 | $ 2,294,947 | $ 3,438,539 | $ 2,912,859 | $ 3,354,069 | $ 2,902,347 | $ 3,683,006 | $ 2,126,562 | $ 3,354,069 | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ (4,420) | $ 3,349,649 | $ 3,434,119 | $ 3,537,970 | $ 3,678,586 | $ 2,902,347 | $ 2,912,859 | $ 2,294,947 | $ 2,126,562 | $ 2,191,029 | $ 1,946,609 | $ 432,826 | $ 3,434,119 | $ 2,912,859 | $ 1,946,609 | $ 3,349,649 | $ 2,902,347 | $ 2,191,029 | $ 3,678,586 | $ 2,126,562 | $ 3,349,649 | $ 433,453 | $ 680,123 | $ 9,776 | $ 274,651 | $ (99,754) | $ 405,472 | $ 109,530 | $ 665,996 | $ 557,357 | $ 582,095 | $ 680,123 | $ 398,284 | $ 308,352 | $ 367,568 | $ 9,776 | $ 19,507 | $ (158,442) | $ (234,580) | $ 680,123 | $ 9,776 | $ (999,840) | $ (613,688) | $ (180,521) | $ (203,796) | $ (70,991) | $ (409,892) | $ (109,530) | $ (929,651) | $ (736,172) | $ (656,726) | $ (613,688) | $ (561,418) | $ (460,881) | $ (369,951) | $ (180,521) | $ (125,499) | $ (191,949) | $ (166,425) | $ (613,688) | $ (180,521) | $ 3,683,006 | $ 2,126,562 | $ (4,420) | $ 0 | $ 3,678,586 | $ 2,126,562 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
|
Interest Rate Swaps - Narrative (Detail)
|
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Derivatives, Fair Value [Line Items] | ||
The weighted average pay rate on the Company's interest rate swaps | 2.08% | 2.59% |
The weighted average receive rate on the Company's interest rate swaps | 0.29% | 0.26% |
Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Assets | ||
Accrued interest receivable | $ 22,709 | $ 17,640 |
Liabilities | ||
Accrued interest payable | 3,294 | 1,675 |
Variable Interest Entity, Primary Beneficiary [Member]
|
||
Assets | ||
Non-Agency RMBS transferred to consolidated VIEs | 3,270,332 | 4,357,666 |
Securitized loans | 256,632 | 349,112 |
Accrued interest receivable | 26,616 | 31,448 |
Liabilities | ||
Securitized debt, non-Agency RMBS transferred to consolidated VIEs | 1,630,276 | 1,956,079 |
Securitized debt, loans held for investment | 212,778 | 289,236 |
Accrued interest payable | $ 8,130 | $ 9,966 |
Subsequent Events
|
12 Months Ended |
---|---|
Dec. 31, 2011
|
|
Subsequent Events |
18. Subsequent Events
The
independent members of the Board of Directors have agreed with
FIDAC to reduce the management fee payable to FIDAC to 0.75% from
1.50% per annum. The reduction is effective as of November 28,
2012, and will remain in effect until the Company is current on all
of its filings required under the Securities Exchange Act of
1934. In addition to the fee reduction, in an amendment
to the management agreement that was entered into in March 2013,
FIDAC agreed to pay all past and future expenses that the Company
and/or the Audit Committee incur to: (1) evaluate our accounting
policy related to the application of GAAP to the Company’s
Non-Agency residential mortgage-backed securities portfolio (the
“Evaluation”); (2) restate the Company’s
financial statements for the period covering 2008 through 2011 as a
result of the Evaluation (the “Restatement Filing”);
and (3) investigate and evaluate any shareholder derivative demands
arising from the Evaluation and/or the Restatement Filing (the
“Investigation”); provided, however, that FIDAC’s
obligation to pay expenses applies only to expenses not paid by the
Company’s insurers under our insurance
policies. Expenses shall include, without limitation,
fees and costs incurred with respect to auditors (to the extent
such fees and costs exceed the Company’s originally estimated
audit fees for the year ended December 31, 2011), outside counsel,
and consultants engaged by the Company and/or the Company’s
Audit Committee for the Evaluation, Restatement Filing and the
Investigation.
In
the amendment to the management agreement dated March 2013, FIDAC
agreed to remove the criteria by which the Independent Directors or
the holders of a majority of the outstanding shares of common stock
(other than those held by Annaly or its affiliates) may elect to
terminate the management agreement such that such termination may
now occur in their sole discretion and for any or no
reason.
In
the amendment to the management agreement dated March 2013, FIDAC
also agreed that the Company may terminate the management agreement
pursuant to its terms without the payment of any termination
fee.
The
amendment to the management agreement also changes the definition
of what events constitute “cause” for which we may
terminate the management agreement and the notice period required
for any such termination to provide us the right to terminate the
management agreement effective immediately if (i) FIDAC engages in
any act of fraud, misappropriation of funds, or embezzlement
against us, (ii) there is an event of any gross negligence on the
part of FIDAC in the performance of its duties under the management
agreement, (iii) there is a commencement of any proceeding relating
to FIDAC’s bankruptcy or insolvency, (iv) there is a
dissolution of FIDAC, or (v) FIDAC is convicted of (including a
plea of nolo contendere) a felony.
The
Board of Directors of the Company declared common stock cash
dividends of $0.11 per common share for the first quarter 2012,
$0.09 per common share for the second quarter 2012, $0.09 per
common share for the third quarter 2012, and $0.09 per common share
for the fourth quarter 2012. The Board of Directors determined
that there will be a regular quarterly dividend of $0.09 per share
for each of the first quarter and second quarter of 2013. The Board
of Directors will review this program after the conclusion of the
second quarter of 2013. For the first four quarters of 2012,
the Company has paid cash dividends totaling $0.38 per common
share. Of this amount, $0.12 is characterized as a return of
capital for federal income tax purposes, although this estimate
will not be finalized until the Company files its 2012 tax
return.
|
Residential Mortgage-Backed Securities - Maturities (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at fair value | $ 50,729 | $ 11,602 |
Greater than one year and less than five years, at fair value | 2,261,339 | 2,393,044 |
Greater than five years and less than ten years, at fair value | 3,274,368 | 3,826,486 |
Greater than ten years, at fair value | 1,647,040 | 1,431,561 |
Total maturities, at fair value | 7,233,476 | 7,662,693 |
Less than one year, at amortized cost | 56,923 | 22,808 |
Greater than one year and less than five years, at amortized cost | 2,154,692 | 2,313,812 |
Greater than five years and less than ten years, at amortized cost | 2,998,188 | 3,286,129 |
Greater than ten years, at amortized cost | 1,595,893 | 1,350,949 |
Total maturities, at amortized cost | 6,805,696 | 6,973,698 |
Non-Agency RMBS - Senior [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at fair value | 892 | 9,745 |
Greater than one year and less than five years, at fair value | 332,670 | |
Greater than five years and less than ten years, at fair value | 128 | 163 |
Total maturities, at fair value | 1,020 | 342,578 |
Less than one year, at amortized cost | 891 | 9,778 |
Greater than one year and less than five years, at amortized cost | 332,715 | |
Greater than five years and less than ten years, at amortized cost | 168 | 286 |
Total maturities, at amortized cost | 1,059 | 342,779 |
Non-Agency RMBS - Senior interest-only [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than one year and less than five years, at fair value | 85,633 | 27,382 |
Greater than five years and less than ten years, at fair value | 69,204 | 106,561 |
Greater than ten years, at fair value | 33,842 | 27,021 |
Total maturities, at fair value | 188,679 | 160,964 |
Greater than one year and less than five years, at amortized cost | 95,974 | 25,547 |
Greater than five years and less than ten years, at amortized cost | 69,953 | 106,255 |
Greater than ten years, at amortized cost | 33,361 | 26,926 |
Total maturities, at amortized cost | 199,288 | 158,728 |
Non-Agency RMBS - Subordinated [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at fair value | 6,530 | 242 |
Greater than one year and less than five years, at fair value | 101,984 | 79,417 |
Greater than five years and less than ten years, at fair value | 259,549 | 128,089 |
Greater than ten years, at fair value | 238,832 | 427,704 |
Total maturities, at fair value | 606,895 | 635,452 |
Less than one year, at amortized cost | 5,616 | 9 |
Greater than one year and less than five years, at amortized cost | 98,657 | 76,797 |
Greater than five years and less than ten years, at amortized cost | 300,489 | 125,928 |
Greater than ten years, at amortized cost | 249,390 | 429,963 |
Total maturities, at amortized cost | 654,152 | 632,697 |
Non-Agency RMBS - Subordinated interest-only [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than five years and less than ten years, at fair value | 1,812 | |
Greater than ten years, at fair value | 20,207 | 32,449 |
Total maturities, at fair value | 22,019 | 32,449 |
Greater than five years and less than ten years, at amortized cost | 1,946 | |
Greater than ten years, at amortized cost | 19,964 | 28,556 |
Total maturities, at amortized cost | 21,910 | 28,556 |
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at fair value | 25,375 | 1,615 |
Greater than one year and less than five years, at fair value | 338,616 | 392,716 |
Greater than five years and less than ten years, at fair value | 2,119,030 | 3,018,948 |
Greater than ten years, at fair value | 787,311 | 944,387 |
Total maturities, at fair value | 3,270,332 | 4,357,666 |
Less than one year, at amortized cost | 32,806 | 13,021 |
Greater than one year and less than five years, at amortized cost | 296,144 | 365,109 |
Greater than five years and less than ten years, at amortized cost | 1,827,000 | 2,464,348 |
Greater than ten years, at amortized cost | 746,052 | 865,504 |
Total maturities, at amortized cost | 2,902,002 | 3,707,982 |
Agency RMBS [Member]
|
||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at fair value | 17,932 | |
Greater than one year and less than five years, at fair value | 1,735,106 | 1,560,859 |
Greater than five years and less than ten years, at fair value | 824,645 | 572,725 |
Greater than ten years, at fair value | 566,848 | |
Total maturities, at fair value | 3,144,531 | 2,133,584 |
Less than one year, at amortized cost | 17,610 | |
Greater than one year and less than five years, at amortized cost | 1,663,917 | 1,513,644 |
Greater than five years and less than ten years, at amortized cost | 798,632 | 589,312 |
Greater than ten years, at amortized cost | 547,126 | |
Total maturities, at amortized cost | $ 3,027,285 | $ 2,102,956 |
Residential Mortgage Backed Securities - Accretable Yield (Detail) (Non Agency Residential Mortgage Backed Securities Having Deteriorated Credit When Acquired [Member], USD $)
In Thousands, unless otherwise specified |
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Non Agency Residential Mortgage Backed Securities Having Deteriorated Credit When Acquired [Member]
|
||
Investment Holdings [Line Items] | ||
Balance at beginning of period | $ 2,521,723 | $ 2,438,605 |
Purchases | 139,347 | 1,054,800 |
Accretion | (392,779) | (389,534) |
Reclassification from non-accretable difference | 127,978 | |
Reclassification to non-accretable difference | (311,763) | |
Sales | (53,807) | (270,385) |
Balance at end of period | $ 2,342,462 | $ 2,521,723 |
Interest Rate Swaps - Statement of Financial Condition (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities - Net estimated fair value/carrying value | $ (44,467) | $ (9,988) |
Liabilities [Member] | Interest Rate Swap [Member]
|
||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities - Notional amount | 950,000 | 450,000 |
Derivative liabilities - Net estimated fair value/carrying value | (44,467) | (9,988) |
Net Estimated Fair Value of RMBS Pledged as Collateral | $ 46,647 | $ 12,818 |
Summarized Quarterly Results (Unaudited) (Tables)
|
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Effects of Restatement on Previously Reported Amounts in Quarterly Statements of Financial Condition |
The following tables set forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Financial Condition as of
September 30, 2011, June 30, 2011, and March 31,
2011.
The following table sets forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Financial Condition as of
September 30, 2010, June 30, 2010, and March 31,
2010.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Effects of Restatement on Previously Reported Amounts in Quarterly Statements of Operations and Comprehensive Income Loss |
The following table sets forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Operations and Comprehensive
Income (Loss) for the quarters ended September 30, 2011, June 30,
2011, and March 31, 2011.
The
following table sets forth the effects of the Restatement on the
affected line items within the Company’s previously reported
Consolidated Statements of Operations and Comprehensive Income
(Loss) for the quarters ended September 30, 2010, June 30, 2010,
and March 31, 2010.
The following table sets forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Operations and Comprehensive
Income (Loss) for the quarters ended September 30, 2009, June 30,
2009, and March 31, 2009.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Effects of Restatement on Previously Reported Amounts in Quarterly Statements of Changes in Stockholders Equity |
The following table sets forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Changes in Stockholders’
Equity for the quarters ended March 31, 2009 through September 30,
2011.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Effects of Restatement on Previously Reported Amounts in Quarterly Statements of Cash Flows |
The following table sets forth the effects of the Restatements on
the affected line items within the Company’s previously
reported Consolidated Statements of Cash Flows for the year-to-date
quarters ended September 30, 2011, June 30, 2011, and March 31,
2011.
The following table sets forth the effects of the Restatements on
the affected line items within the Company’s previously
reported Consolidated Statements of Cash Flows for the year-to-date
quarters ended September 30, 2010, June 30, 2010, and March 31,
2010.
The following table sets forth the effects of the Restatement on
the affected line items within the Company’s previously
reported Consolidated Statements of Cash Flows for the year-to-date
quarters ended September 30, 2009, June 30, 2009, and March 31,
2009.
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Quarterly Financial Information |
The following is a summary of the results of operations for the
quarters ended December 31, 2011, September 30, 2011, June 30, 2011
and March 31, 2011.
The following is a summary of the results of operations for the quarters ended December 31, 2010, September 30, 2010, June 30, 2010 and March 31, 2010.
|
Residential Mortgage Backed Securities - Year Originated (Detail) (Non-Agency RMBS [Member])
|
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Non-Agency RMBS [Member]
|
||
Origination Year as a Percentage of Outstanding Principal Balance | ||
2001 | 0.20% | 0.00% |
2003 | 0.90% | 0.00% |
2004 | 1.30% | 0.10% |
2005 | 13.80% | 18.90% |
2006 | 31.80% | 36.70% |
2007 | 48.70% | 40.40% |
2008 | 3.30% | 3.90% |
Total | 100.00% | 100.00% |
Securitized Debt - Narrative (Detail) (Securitized Loans [Member], Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member], USD $)
In Millions, unless otherwise specified |
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Non-Agency RMBS [Member]
|
||
Debt Instrument [Line Items] | ||
Principal balance of debt | $ 1,700.0 | $ 2,000.0 |
Earliest year the debt matures | 2035 | |
Latest year the debt matures | 2047 | |
Weighted average cost of financing | 5.09% | 5.17% |
Loans Held for Investment
|
||
Debt Instrument [Line Items] | ||
Principal balance of debt | $ 222.9 | $ 303.1 |
Earliest year the debt matures | 2023 | |
Latest year the debt matures | 2038 | |
Weighted average cost of financing | 5.48% | 5.52% |
Fair Value Measurements - Fair Value Measurement Levels (Detail) (USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Liabilities, at fair value by input level: | ||
Interest rate swaps | $ 44,467 | $ 9,988 |
Assets, at fair value by input level: | ||
Agency mortgage-backed securities | 3,144,531 | 2,133,584 |
Non-Agency RMBS [Member]
|
||
Assets, at fair value by input level: | ||
Non-Agency RMBS - Senior | 1,020 | 342,578 |
Non-Agency RMBS - Senior interest-only | 188,679 | 160,964 |
Non-Agency RMBS - Subordinated | 606,895 | 635,452 |
Non-Agency RMBS - Subordinated interest-only | 22,019 | 32,449 |
Fair Value, Inputs, Level 2 [Member] | Non-Agency, Senior, Non-retained Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member]
|
||
Liabilities, at fair value by input level: | ||
Interest rate swaps | 44,467 | 9,988 |
Assets, at fair value by input level: | ||
Agency mortgage-backed securities | 3,144,531 | 2,133,584 |
Fair Value, Inputs, Level 3 [Member] | Non-Agency RMBS [Member] | Fair Value, Measurements, Recurring [Member]
|
||
Assets, at fair value by input level: | ||
Non-Agency RMBS - Senior interest-only | 188,679 | |
Non-Agency RMBS - Subordinated interest-only | 32,449 | |
Fair Value, Inputs, Level 3 [Member] | Non-Agency, Senior, Non-retained Residential Mortgage Backed Securities [Member] | Fair Value, Measurements, Recurring [Member]
|
||
Assets, at fair value by input level: | ||
Non-Agency RMBS - Senior | 1,020 | 342,578 |
Non-Agency RMBS - Senior interest-only | 160,964 | |
Non-Agency RMBS - Subordinated | 606,895 | 635,452 |
Non-Agency RMBS - Subordinated interest-only | 22,019 | |
RMBS transferred to consolidated VIEs | $ 3,270,332 | $ 4,357,666 |
Residential Mortgage Backed Securities - Gross Unrealized Gains (Losses) (Detail) (Residential Mortgage Backed Securities [Member], USD $)
In Thousands, unless otherwise specified |
Dec. 31, 2011
|
Dec. 31, 2010
|
---|---|---|
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 563,923 | $ 767,014 |
Gross Unrealized Gain Included in Accumulated Deficit | 18,153 | 12,767 |
Total Gross Unrealized Gain | 582,076 | 779,781 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (130,470) | (86,891) |
Gross Unrealized Loss Included in Accumulated Deficit | (23,826) | (3,895) |
Total Gross Unrealized Loss | (154,296) | (90,786) |
Non-Agency RMBS - Senior [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 2 | 100 |
Total Gross Unrealized Gain | 2 | 100 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (41) | (301) |
Total Gross Unrealized Loss | (41) | (301) |
Non-Agency RMBS - Senior interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Deficit | 11,308 | 5,968 |
Total Gross Unrealized Gain | 11,308 | 5,968 |
Gross Unrealized Loss Included in Accumulated Deficit | (21,917) | (3,732) |
Total Gross Unrealized Loss | (21,917) | (3,732) |
Non-Agency RMBS - Subordinated [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 30,997 | 11,879 |
Total Gross Unrealized Gain | 30,997 | 11,879 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (78,254) | (9,124) |
Total Gross Unrealized Loss | (78,254) | (9,124) |
Non-Agency RMBS - Subordinated interest-only [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Deficit | 1,663 | 3,893 |
Total Gross Unrealized Gain | 1,663 | 3,893 |
Gross Unrealized Loss Included in Accumulated Deficit | (1,554) | |
Total Gross Unrealized Loss | (1,554) | |
Non-Agency RMBS Transferred To Consolidated Variable Interest Entities ("VIEs") [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 415,688 | 707,317 |
Gross Unrealized Gain Included in Accumulated Deficit | 4,817 | 2,906 |
Total Gross Unrealized Gain | 420,505 | 710,223 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (52,175) | (60,539) |
Total Gross Unrealized Loss | (52,175) | (60,539) |
Agency RMBS [Member]
|
||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 117,236 | 47,718 |
Gross Unrealized Gain Included in Accumulated Deficit | 365 | |
Total Gross Unrealized Gain | 117,601 | 47,718 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (16,927) | |
Gross Unrealized Loss Included in Accumulated Deficit | (355) | (163) |
Total Gross Unrealized Loss | $ (355) | $ (17,090) |
Summary of the Significant Accounting Policies
|
12 Months Ended | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2011
|
||||||||||||||||||||||||||||
Summary of the Significant Accounting Policies |
2. Summary of the Significant Accounting
Policies
Restatement
The
Company is restating its previously issued (i) consolidated
statement of financial condition included in its Annual Report on
Form 10-K as of December 31, 2010 and (ii) consolidated statements
of operations and comprehensive income (loss), consolidated
statements of changes in stockholders’ equity, and
consolidated statements of cash flows for the years ending December
31, 2010 and 2009, including the cumulative effect of the
restatement on retained earnings (accumulated deficit) as of the
earliest period presented (the
“Restatement”).
The
Restatement also impacted each of the quarters for the periods
beginning with the Company’s inception in November 2007
through the quarter ended September 30, 2011. The
interim periods for the years ended December 31, 2008 and 2007 are
not included in this Form 10-K.
In
this 2011 Form 10-K, the annual and interim periods from the
Company’s inception in 2007 through the quarter ended
September 30, 2011 are collectively referred to as the
“Restatement Period.” The impact of the
Restatement is included in this 2011 Form 10-K, and is more
specifically described in Notes 16 and 17 that follow.
(a) Basis of Presentation and Consolidation
The
accompanying consolidated financial statements have been prepared
on the accrual basis of accounting in accordance with U.S.
generally accepted accounting principles
(“GAAP”).
The
consolidated financial statements include, on a consolidated basis,
our accounts, the accounts of our wholly-owned subsidiaries, and
variable interest entities (“VIEs”) in which we are the
primary beneficiary. All significant intercompany balances and
transactions have been eliminated in consolidation.
VIEs
are defined as entities in which equity investors (i) do not have
the characteristics of a controlling financial interest, and/or
(ii) do not have sufficient equity at risk for the entity to
finance its activities without additional subordinated financial
support from other parties. The entity that consolidates a VIE is
known as its primary beneficiary, and is generally the entity with
(i) the power to direct the activities that most significantly
impact the VIE’s economic performance, and (ii) the right to
receive benefits from the VIE or the obligation to absorb losses of
the VIE that could be significant to the VIE. For VIEs
that do not have substantial on going activities, the power to
direct the activities that most significantly impact the
VIEs’ economic performance may be determined by an
entities’ involvement with the design of the
VIE.
The
Company uses securitization trusts considered to be VIEs in its
securitization and re-securitization transactions. Prior
to January 1, 2010, these VIEs met the definition of Qualified
Special Purpose Entities (“QSPE”) and, as such, were
not subject to consolidation by the Company. Effective
January 1, 2010, all such VIEs were considered for consolidation
based on the criteria in ASC 810, Consolidation. Non-Agency
RMBS transferred to consolidated VIEs are composed entirely of
senior certificates.
Effective
July 1, 2009, the Company adopted the provisions of the Financial
Accounting Standards Board (“FASB”), Accounting
Standards Codification (the “Codification” or
“ASC”), which is now the source of authoritative GAAP.
While the Codification did not change GAAP, all existing
authoritative accounting literature, with certain exceptions, was
superseded and incorporated into the Codification. As a result,
pre-Codification references to GAAP have been
eliminated.
Prior
period amounts related to consolidated VIEs have been reclassified
to conform to the current period presentation (i.e., summarized
separately from our direct assets and liabilities, and the related
income and expense captions as described in (b)
below).
(b)
Statement of Financial Condition Presentation
Our
consolidated statements of financial condition separately present:
(i) our direct assets and liabilities, and (ii) the assets and
liabilities of consolidated securitization
vehicles. Assets of all consolidated VIEs can only be
used to satisfy the obligations of those VIEs, and the liabilities
of consolidated VIEs are non-recourse to us.
We
have aggregated all the assets and liabilities of the consolidated
securitization vehicles due to our determination that these
entities are substantively similar and therefore a further
disaggregated presentation would not be more meaningful. The notes
to our consolidated financial statements describe our direct assets
and liabilities and the assets and liabilities of consolidated
securitization vehicles. See Note 8 for additional
information related to our investments in VIEs.
(c) Cash and Cash Equivalents
Cash
and cash equivalents include cash on hand and cash deposited
overnight in money market funds. There are no
restrictions on cash and cash equivalents at December 31, 2011 and
2010.
(d) Non-Agency and Agency Residential
Mortgage-Backed Securities
The Company invests in residential mortgage-backed securities
(“RMBS”) representing interests in obligations backed
by pools of mortgage loans. The Company delineates
between (1) Agency RMBS and (2) Non-Agency RMBS as
follows: The Agency RMBS are mortgage pass-through
certificates, collateralized mortgage obligations
(“CMOs”), and other RMBS representing interests in or
obligations backed by pools of mortgage loans issued or guaranteed
as to principal and/or interest repayment by agencies of the U.S.
Government or federally chartered corporations such as
Ginnie Mae, Freddie Mac or Fannie Mae. The Non-Agency RMBS are not issued
or guaranteed by Fannie Mae, Freddie Mac, or Ginnie Mae and are
therefore subject to credit risk.
The
Company holds its RMBS as available-for-sale, records investments
at estimated fair value as described in Note 5 of these
consolidated financial statements, and includes unrealized gains
and losses considered to be temporary in other comprehensive income
(loss) in the Consolidated Statements of Operations and
Comprehensive Income (Loss). From time to time, as part
of the overall management of its portfolio, the Company may sell
any of its RMBS investments and recognize a realized gain or loss
as a component of earnings in the Consolidated Statements of
Operations and Comprehensive Income (Loss) utilizing the specific
identification method.
The
Company’s accounting policy for interest income and
impairment related to RMBS is as follows:
Interest Income Recognition
The
recognition of interest income on RMBS securities varies depending
on the characteristics of the security as follows.
Agency RMBS and Non-Agency RMBS of High Credit Quality
ASC
310-20, Nonrefundable Fees and Other
Costs “(ASC 310-20)” is applied to the
recognition of interest income for the following
securities:
Under
ASC 310-20, interest income, including premiums and discounts
associated with the acquisition of these securities, is
recognized over the life of such securities using the interest
method based on the contractual cash flows of the
security. In applying the interest method, we
consider estimates of future principal prepayments in the
calculation of the constant effective yield. Differences that arise
between previously anticipated prepayments and actual prepayments
received, as well as changes in future prepayment assumptions,
result in a recalculation of the effective yield on the security on
a quarterly basis. This recalculation results in the recognition of
an adjustment to the carrying amount of the security based on the
revised prepayment assumptions and a corresponding increase or
decrease in reported interest income.
Non-Agency RMBS not of High Credit Quality
Non-Agency
RMBS that are purchased at a discount and that are not of high
credit quality at the time of purchase are accounted for under ASC
310-30, Loans and Debt Securities Acquired with Deteriorated
Credit Quality (“ASC 310-30”) or ASC 325-40,
Beneficial Interests in Securitized Financial Assets
(“ASC 325-40”) (referred to hereafter as
“Non-Agency RMBS not of High Credit
Quality”).
Non-Agency
RMBS are accounted for under ASC 310-30 if both of the following
conditions are met as of the acquisition date:
Non-Agency
RMBS are accounted for under ASC 325-40 if both of the following
conditions are met as of the acquisition date:
Interest
income on Non-Agency RMBS that are not of High Credit Quality is
recognized using the effective interest method based on
management’s estimates of expected cash flows to be received
(as opposed to contractual cash flows as used for securities
accounted for under ASC Subtopic 320-10, Investments -
Debt and Equity Securities (“ASC 320-10”) and
ASC 310-20). The effective interest rate on these securities is
based on management’s estimate for each security of the
projected cash flows, which are estimated based on our observation
of current information and events and include assumptions related
to fluctuations in prepayment speeds and the timing and amount
of credit losses. Quarterly, we review and, if appropriate, make
adjustments to our cash flow projections based on input and
analysis received from external sources, internal models, and our
judgment about prepayment rates, the timing and amount of credit
losses, and other factors. Changes in the amount and/or timing of
cash flows from those originally projected, or from those estimated
at the last evaluation, are considered to be either positive
changes or adverse changes. For securities accounted for under ASC
325-40, any positive change results in a prospective increase in
the constant effective yield percentage used to record interest
income. For securities accounted for under ASC 310-30, only
significant positive changes are reflected prospectively in the
constant effective yield percentage used to record interest
income. Adverse changes in cash flows expected to be
collected are generally treated consistently for RMBS accounted for
under ASC 325-40 and ASC 310-30, and generally result in
recognition of an other-than-temporary impairment with no change in
the constant effective yield percentage used to record interest
income.
Impairment
Considerations applicable to all RMBS
When
the fair value of an available-for-sale RMBS security is less than
its amortized cost the security is considered
impaired. On at least a quarterly basis we evaluate our
securities for other-than-temporary impairment
(“OTTI”). If the Company intends to sell an
impaired security, or it is more likely than not that we will be
required to sell an impaired security before its anticipated
recovery, then the Company must recognize an OTTI through a charge
to earnings equal to the entire difference between the
investment’s amortized cost and its fair value at the
statement of financial condition date. If the Company
does not intend to sell an impaired security and it is not
more-likely-than-not that we would be required to sell an impaired
security before recovery, we must further evaluate the security for
impairment due to credit losses. Following the recognition of an
OTTI through earnings, a new amortized cost basis is established
for the security and subsequent recoveries in fair value may not be
adjusted through earnings.
When
evaluating whether we intend to sell an impaired security or will
more-likely-than-not be required to sell an impaired security
before recovery, we make judgments that consider among other
things, our liquidity, leverage, contractual obligations, and
targeted investment strategy to determine our intent and ability to
hold the investments that are deemed impaired. The
determination as to whether an OTTI exists is subjective as such
determinations are based on factual information available at the
time of assessment as well as the Company’s estimates of
future conditions. As a result, the determination of
OTTI, its timing and amount, are based on management estimates that
may change materially over time.
Credit Loss Considerations Applicable to Non-Agency RMBS of High
Credit Quality
The
impairment assessment for Non-Agency RMBS of High Credit Quality
involves comparing the present value of the remaining cash flows
expected to be collected against the amortized cost of the security
at the assessment date. The discount rate used to
calculate the present value of the expected future cash flows is
based on the security’s effective interest rate as calculated
under ASC 310-20. If the present value of the
remaining cash flows expected to be collected is less than the
amortized cost basis, an OTTI is recognized in earnings for the
difference. This amount is considered the credit loss component;
the remaining difference between amortized cost and the fair value
of the security is considered the non-credit component of the OTTI,
which is recognized in accumulated other comprehensive income
(loss).
Following
the recognition of an OTTI through earnings for the credit loss
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings. However, to the extent that there are
subsequent increases in cash flows expected to be collected, the
OTTI previously recorded through earnings may be accreted back
through interest income.
Non-Agency RMBS not of High Credit Quality
Non-Agency
RMBS within the scope of ASC 325-40 or ASC 310-30 are considered
other-than-temporarily impaired when the following two conditions
exist: (1) the fair value is less than the amortized cost basis,
and (2) there has been an adverse change in cash flows expected to
be collected from the previous period (i.e., adverse changes in
either the amount or timing of cash flows from those previously
expected). The Company’s estimate of the amount
and timing of cash flows for its Non-Agency RMBS not of High Credit
Quality is based on its review of the underlying securities or
mortgage loans securing the RMBS. The Company considers
historical information available and expected future performance of
the underlying securities or mortgage loans, including timing of
expected future cash flows, prepayment rates, default rates, loss
severities, delinquency rates, percentage of non-performing loans,
extent of credit support available, Fair Isaac Corporation
(“FICO”) scores at loan origination, year of
origination, loan-to-value ratios, geographic concentrations, as
well as reports by credit rating agencies, such as Moody’s
Investors Services, Inc. (“Moody’s”), Standard
& Poor’s Corporation (“S&P”), or Fitch,
Inc. (collectively, “Rating Agencies”), general market
assessments and dialogue with market participants. As a
result, substantial judgment is used in the Company’s
analysis to determine the expected cash flows for its Non-Agency
RMBS.
The
other-than-temporary impairment loss is separated into a credit
loss component that is recorded in earnings and a non-credit
component that is recorded in accumulated other comprehensive
income (loss). The credit loss component is comprised of the impact
of the fair value decline due to changes in assumptions related to
default (collection) risk and prepayments. The non-credit component
comprises the change in fair value of the security due to all other
factors, including changes in benchmark interest rates and market
liquidity. In determining the OTTI related to credit
losses for securities, the Company compares the present value of
the remaining cash flows expected to be collected at the current
financial reporting date to the present value of the remaining cash
flows expected to be collected at the original purchase date (or
the last date those estimates were revised for accounting
purposes). The discount rate used to calculate the
present value of expected future cash flows is the current yield
used for income recognition purposes as determined under ASC 325-40
or ASC 310-30 for purposes of recognizing interest
income.
Following
the recognition of an OTTI through earnings for the credit loss
component, a new amortized cost basis is established for the
security and subsequent recoveries in fair value may not be
adjusted through earnings. However, to the extent that there are
subsequent increases in cash flows expected to be collected, the
OTTI previously recorded through earnings may be accreted back
through interest income following the guidance in ASC 325-40 or ASC
310-30.
The determination of whether an OTTI exists and, if so, the credit
loss component is subject to management estimates based on
consideration of both factual information available at the time of
assessment as well as the Company’s estimates of the future
performance and projected amount and timing of cash flows expected
to be collected on the security. As a result, the timing and amount
of OTTI constitutes an accounting estimate that may change
materially over time.
(e) Interest-Only RMBS
The Company invests in interest-only ("IO") Agency and Non-Agency
RMBS. These IO RMBS represent the Company’s right to
receive a specified proportion of the contractual interest flows of
specific RMBS. The Company has accounted for IO RMBS at fair
value through earnings given the complexities involved in reliably
identifying and measuring the embedded derivative instrument that
would otherwise be required to be separated and accounted for as a
derivative. Changes in fair value of all IO RMBS are recognized in
the Company’s Consolidated Statements of Operations and
Comprehensive Income (Loss). The IO RMBS are included in
RMBS, at fair value, on the accompanying Consolidated Statements of
Financial Condition. Interest income on IO securities is
accrued based on the outstanding principal balance and their
contractual terms, and is recognized in accordance with ASC 325-40.
The remaining changes in fair value are presented in Net unrealized
gains (losses) on IO RMBS on the Consolidated Statement of
Operations and Comprehensive Income (Loss). Interest income
reported on IO securities was $32.5 million, $18.8 million, and $43
thousand for the years ended December 31, 2011, 2010, and 2009,
respectively.
(f) Securitized Loans Held for Investment
The
Company’s securitized residential mortgage loans are
comprised of fixed-rate and variable-rate
loans. Mortgage loans are designated as held for
investment, and are carried at their principal balance outstanding,
plus any premiums, less discounts and allowances for loan
losses. Interest income on loans held for investment is
recognized over the life of the investment using the effective
interest method. Income recognition is suspended for
loans when, in the opinion of the servicer, a full recovery of
income and principal becomes doubtful. Income
recognition is resumed when the loan becomes contractually current
and performance is demonstrated to be resumed. The
Company estimates the fair value of securitized loans for
disclosure purposes only as described in Note 5 of these
consolidated financial statements.
(g) Allowance for Loan Losses – Securitized Loans Held for
Investment
The
securitized loan portfolio is comprised primarily of
non-conforming, single family, owner occupied, jumbo, prime loans
that are not guaranteed as to repayment of principal or
interest. Securitized loans are serviced and modified by
a third-party servicer. The Company is not involved in
the loan modification process.
The
Company has established an allowance for loan losses related to
securitized loans that is composed of a general and specific
reserve. The general reserve relates to loans that have not been
individually evaluated for impairment and is accounted for under
ASC 450, Contingencies. The general reserve is based
on historical loss rates for pools of loans with similar credit
characteristics, adjusted for current trends and
conditions.
Loans
individually evaluated for impairment, including securitized loans
modified by the servicer are evaluated for impairment under
ASC 310, Receivables. Loan modifications made
by the servicer, are evaluated to determine if they constitute
troubled debt restructurings (“TDRs”). A
restructuring of a loan constitutes a TDR if the servicer, for
economic or legal reasons related to the borrower's financial
difficulties, grants a concession to the borrower that it would not
otherwise consider. Impairment of modified loans considered to be
TDR’s is measured based on the present value of expected cash
flows discounted at the loan’s effective interest rate at
inception. If the present value of expected cash flows is less than
the recorded investment in the loan, a provision for loan losses is
recognized through the use of an allowance with a corresponding
charge to provision for loan losses. Impairment of all other loans
individually evaluated is measured as the difference between the
unpaid principal balance and the estimated fair value of the
collateral, less estimated costs to sell.
(h) Repurchase Agreements
The
Company finances the acquisition of a significant portion of its
Agency mortgage-backed securities with repurchase agreements. The
Company examines each of the specified criteria in ASC 860,
Transfers and
Servicing, at the inception of each transaction and has
determined that each of the Company’s repurchase agreements
meet the specified criteria in this guidance to be accounted for as
secured borrowings. None of the Company’s repurchase
agreements are accounted for as components of linked transactions.
As a result, the Company separately accounts for the financial
assets posted as collateral and related repurchase agreements in
the accompanying consolidated financial statements.
(i) Securitized Debt, Non-Agency RMBS Transferred to Consolidated
VIEs, and Securitized Debt, Loans Held for Investment
The
Company has issued securitized debt to finance its residential
mortgage loan portfolio and has re-securitized RMBS to finance a
portion of its RMBS portfolio. Certain transactions
involving residential mortgage loans are accounted for as secured
financings, and are recorded as “Securitized loans held for
investment” and the corresponding debt as “Securitized
debt, loans held for investment” in the Consolidated
Statements of Financial Condition. These securitizations
are collateralized by residential adjustable or fixed rate mortgage
loans that have been placed in a trust and pay interest and
principal to the debt holders of that
securitization. Re-securitization transactions
classified as “Securitized debt, Non-Agency RMBS transferred
to consolidated VIEs” reflect the transfer to a trust of
fixed or adjustable rate RMBS which are classified as
“Non-Agency RMBS transferred to consolidated VIEs” that
pay interest and principal to the debt holders of that
re-securitization. Re-securitization transactions
completed by the Company that did not qualify as a sale are
accounted for as secured financings pursuant to ASC 860,
Transfers and
Servicing. For the year ended December 31, 2011, the Company
did not have any continuing involvement with any loans or
securities previously sold. The holders of securitized
debt have no recourse to the Company, and the Company does not
receive any interest or principal paid on such debt. The
Company estimates fair value of securitized debt for disclosure
purposes as described in Note 5 to these consolidated financial
statements. The associated securitized debt is carried
at amortized cost and is non-recourse to us.
(j) Fair Value Disclosure
A
complete discussion of the methodology utilized by the Company to
estimate the fair value of its financial instruments is included in
Note 5 to these consolidated financial statements.
(k) Derivative Financial Instruments
The
Company’s policies permit it to enter into derivative
contracts, including interest rate swaps and interest rate caps, as
a means of mitigating its interest rate risk. The Company intends
to use interest rate derivative instruments to mitigate interest
rate risk rather than to enhance returns. Interest rate
swaps are recorded as either assets or liabilities in the
Consolidated Statements of Financial Condition, and measured at
fair value with realized and unrealized gains and losses recognized
in earnings. Net payments on interest rate swaps are
included in the Consolidated Statements of Cash Flows as a
component of net income (loss). Unrealized gains
(losses) on interest rate swaps are removed from net income (loss)
to arrive at cash flows from operating activities. The Company
estimates the fair value of interest rate swaps as described in
Note 5 of these consolidated financial statements.
The
Company’s interest rate swaps have not been designated as
hedging instruments for accounting
purposes. Consequently, changes in the fair value of
swaps are reported as a component of net income in the Consolidated
Statements of Operations and Comprehensive Income
(Loss).
The
Company elects 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 of all
individual 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 in a net
payable position to post collateral. As the Company elects 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.
(l) Sales, Securitizations, and Re-Securitizations
The
Company periodically enters into transactions in which it sells
financial assets, such as RMBS, mortgage loans and other
assets. Gains and losses on sales of assets are computed
on the specific identification method whereby the Company records a
gain or loss on the difference between the carrying value of the
asset and the proceeds from the sale. In addition, the
Company from time to time securitizes or re-securitizes assets and
sells tranches in the newly securitized assets. These
transactions may be recorded as either a sale and the assets
contributed to the securitization are removed from the Consolidated
Statements of Financial Condition and a gain or loss is recognized,
or as a financing whereby the assets contributed to the
securitization are not derecognized but rather the liabilities
issued by the securitization are recorded to reflect the term
financing of the assets. In these securitizations and
re-securitizations, the Company may retain senior or subordinated
interests in the securitized and/or re-securitized
assets.
(m) Income Taxes
The Company elected to be taxed as a REIT, and therefore it
generally will not be subject to corporate federal, or state income
tax to the extent that qualifying distributions are made to
stockholders and the REIT requirements, including certain asset,
income, distribution and stock ownership tests are
met. If the Company failed to qualify as a REIT and did
not qualify for certain statutory relief provisions, the Company
would be subject to federal, state and local income taxes and may
be precluded from qualifying as a REIT for the subsequent four
taxable years following the year in which the REIT qualification
was lost. The Company and CIM Trading made a
joint election to treat CIM Trading as a TRS. As such,
CIM Trading is taxable as a domestic C corporation and subject to
federal, state, and local income taxes based upon its taxable
income.
The
provisions of ASC 740, Income
Taxes (“ASC
740”), 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 financial statements. The
Company does not have any unrecognized tax benefits that would
affect its financial position. The Company has not
taken, nor does it expect to take, any tax positions that would
require disclosure under ASC 740. Thus, no accruals for
penalties and interest were necessary as of December 31,
2011.
(n) Net Income per Share
The
Company calculates basic net income per share by dividing net
income for the period by the basic weighted-average shares of its
common stock outstanding for that period. Diluted net
income per share takes into account the effect of dilutive
instruments, such as unvested restricted stock, but uses the
average share price for the period in determining the number of
incremental shares that are to be added to the diluted weighted
average number of shares outstanding.
(o) Stock-Based Compensation
The
Company accounts for stock-based compensation awards granted to the
employees of FIDAC and its affiliates in accordance with ASC
505-50, Equity-Based Payments to
Non-Employees (“ASC 505-50”). Pursuant to
ASC 505-50 the Company measures the fair value of the equity
instrument using the stock prices and other measurement assumptions
as of the earlier of either the date at which a performance
commitment by the counterparty is reached or the date at which the
counterparty’s performance is complete. Compensation
expense related to the grants of stock is recognized over the
vesting period of such grants based on the fair value of the stock
on each quarterly vesting date, at which the counterparty’s
performance is complete.
The
Company accounts for stock-based compensation awards granted to the
Company’s independent directors in accordance with ASC 718,
Compensation – Stock Compensation
(“ASC 718”). Compensation expense for equity
based awards granted to the Company’s independent directors
is recognized ratably over the vesting period of such awards, based
upon the fair value of such awards at the grant date.
(p) Use of Estimates
The
preparation of financial statements in conformity with 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. Although the Company’s estimates
contemplate current conditions and how it expects them to change in
the future, it is reasonably possible that actual conditions could
be different than anticipated in those estimates, which could
materially adversely impact the Company’s results of
operations and its financial condition. Management has made
significant estimates in accounting for income recognition and OTTI
on Agency and Non-Agency RMBS (Note 3), valuation of Agency and
Non-Agency RMBS (Notes 3 and 5), and interest rate swaps (Notes 5
and 9). Actual results could differ materially from
those estimates.
(q) Recent Accounting Pronouncements
Presentation
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)
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 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, and is not expected to have a significant
impact 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.
In
March 2013, the FASB issued ASU 2013-02 Comprehensive Income:
Reporting of Amounts Reclassified Out of Accumulated Other
Comprehensive Income. This update addresses the
disclosure issue left open at the deferral under ASU 2011-12.
This update requires the provision of information about the amounts
reclassified out of accumulated Other Comprehensive Income (OCI) by
component. In addition, it requires presentation, either on the
face of the statement where net income is presented or in the
notes, significant amounts reclassified out of accumulated OCI by
the respective line items of net income but only if the amount
reclassified is required under U.S. GAAP to be reclassified to net
income in its entirety in the same reporting period. For other
amounts that are not required under U.S. GAAP to be reclassified in
their entirety to net income, a cross-reference must be provided to
other disclosures required under U.S. GAAP that provide additional
detail about those amounts. This update, which will increase
disclosures for the Company as outlined above, is effective for
reporting periods beginning after December 15, 2012 with early
adoption permitted. The Company has not elected early
adoption.
Broad
Transactions
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 and is
expected to result in additional disclosures in the notes to the
consolidated financial statements.
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 financings and not sales, this update is not expected to
have a significant effect on the Company’s consolidated
financial statements.
Receivables (Topic 310)
In
April 2011, the FASB issued ASU 2011-02, Receivables: A Creditor’s
Determination of Whether a Restructuring Is a Troubled Debt
Restructuring,” or ASU 2011-02. ASU 2011-02
primarily clarifies when creditors should classify loan
modifications as troubled debt restructurings and provides examples
and factors to be considered. Loan modifications which are
considered troubled debt restructurings could result in additional
disclosure requirements and could impact the related provision for
loan losses. ASU 2011-02 is effective for the first interim or
annual period beginning after June 15, 2011, with retrospective
application to the beginning of the year. The adoption of ASU
2011-02 affected how we account for loan modifications, and may
result in an increase in the loan modifications we classify as
troubled debt restructurings, and therefore our provision for loan
losses.
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 for reporting purposes. 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.
On
December 12, 2012, the FASB agreed that the accounting for real
estate investments should be considered in a second phase of the
Investment Companies project and that all REITs should be exempted
from conclusions reached in phase I of the project. The
Board has not yet agreed on the scope of phase II of the
project.
The
Company is monitoring developments related to this proposal and is
evaluating the effects it would have on the Company’s
consolidated financial statements.
|
Fair Value Measurements - Narrative (Detail) (Fair Value, Inputs, Level 3 [Member])
|
12 Months Ended | |
---|---|---|
Dec. 31, 2011
|
Dec. 31, 2010
|
|
Fair Value, Inputs, Level 3 [Member]
|
||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
The percentage by which the Company's valuations of its residential mortgage-backed securities are higher (lower) than aggregated valuations based on dealer prices. | (0.72%) | (0.02%) |