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Mortgage-Backed Securities (Tables)
 12 Months Ended
Dec. 31, 2013
Schedule of Agency Securities Portfolio Backed by U.S. Government Agency or U.S. Government Sponsored Entity

The Company’s investment portfolio consists solely of agency securities, which are backed by a U.S. Government agency or a U.S. Government sponsored enterprise.  The following table presents certain information about the Company’s agency securities at December 31, 2013.

 

 

Agency

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Securities

 

 

Gross

 

 

Gross

 

 

 

 

 

 

Amortized

 

 

Unrealized

 

 

Unrealized

 

 

Estimated

 

 

Cost

 

 

Loss

 

 

Gain

 

 

Fair Value

 

Agency Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

$

9,620,743

 

 

$

(44,871

)

 

$

167,848

 

 

$

9,743,720

 

Fixed Rate

 

806,312

 

 

 

(1,798

)

 

 

3,832

 

 

 

808,346

 

Total Fannie Mae

 

10,427,055

 

 

 

(46,669

)

 

 

171,680

 

 

 

10,552,066

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Freddie Mac Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

 

6,671,013

 

 

 

(70,752

)

 

 

57,808

 

 

 

6,658,069

 

Fixed Rate

 

338,738

 

 

 

(1,600

)

 

 

21

 

 

 

337,159

 

Total Freddie Mac

 

7,009,751

 

 

 

(72,352

)

 

 

57,829

 

 

 

6,995,228

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Ginnie Mae Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Fixed Rate

 

96,236

 

 

 

(998

)

 

 

-

 

 

 

95,238

 

Total Ginnie Mae

 

96,236

 

 

 

(998

)

 

 

-

 

 

 

95,238

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Agency Securities

$

17,533,042

 

 

$

(120,019

)

 

$

229,509

 

 

$

17,642,532

 

The following table presents certain information about the Company’s agency securities at December 31, 2012.

 

 

Amortized
Cost

 

  

Gross
Unrealized
Loss

 

 

Gross
Unrealized
Gain

 

  

Estimated Fair
Value

 

Agency Securities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fannie Mae Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   ARMS

$

14,081,259

 

 

$

(100

)

 

$

329,780

 

 

$

14,410,939

 

   Fixed Rate

 

743,299

 

 

 

 

 

 

 

9,296

 

 

 

752,595

 

Total Fannie Mae

 

14,824,558

 

 

 

(100

)

 

 

339,076

 

 

 

15,163,534

 

 

Freddie Mac Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   ARMS

 

7,850,630

 

 

 

(21

)

 

 

149,114

 

 

 

7,999,723

 

   Fixed Rate

 

744,720

 

 

 

-

 

 

 

11,274

 

 

 

755,994

 

Total Freddie Mac

 

8,595,350

 

 

 

(21

)

 

 

160,388

 

 

$

8,755,717

 

 

Total Agency Securities

$

23,419,908

 

 

$

(121

)

 

$

499,464

 

 

$

23,919,251

 

 
Components of Carrying Value of Available-For-Sale Agency Securities

The components of the carrying value of available-for-sale agency securities at December 31, 2013 and 2012 are presented below.

 

 

As of December 31

 

 

2013

 

 

2012

 

Principal balance

$

17,044,190

 

 

$

22,771,731

 

Unamortized premium

 

488,854

 

 

 

648,181

 

Unamortized discount

 

(2

)

 

 

(4

)

Gross unrealized gains

 

229,509

 

 

 

499,464

 

Gross unrealized losses

 

(120,019

)

 

 

(121

)

Carrying value/estimated fair value

$

17,642,532

 

 

$

23,919,251

 

 
Schedule of Interest Income

The following table presents components of interest income on the Company’s agency securities portfolio for the three years ended December 31, 2013:

 

 

Years Ended December 31

 

 

2013

 

 

2012

 

 

2011

 

Coupon interest on MBS

$

616,632

 

 

$

667,644

 

 

$

518,048

 

Net premium amortization

 

(165,924

)

 

 

(162,844

)

 

 

(93,335

)

Interest income on MBS, net

$

450,708

 

 

$

504,800

 

 

$

424,713

 

 
Gross Gains and Losses from Securities Sales

During the second half of 2013, the Company repositioned a significant portion of its portfolio, resulting in an elevated level of sales of securities.  Gross gains and losses from sales of securities for the three years ended December 31, 2013 were as follows:

 

 

Years Ended December 31

 

 

2013

 

 

2012

 

 

2011

 

Gross gains on MBS

$

18,717

 

 

$

66,084

 

 

$

22,135

 

Gross losses on MBS

 

(301,729

)

 

 

(1,737

)

 

 

(1,559

)

Net gain (loss) on MBS

$

(283,012

)

 

$

64,347

 

 

$

20,576

 

 
Schedule of Agency Securities In Unrealized Loss Position

The Company monitors the performance and market value of its agency securities portfolio on an ongoing basis, and on a quarterly basis reviews its agency securities for impairment.  At December 31, 2013 and 2012, the Company had the following securities in a loss position presented below:

 

 

Less than 12 months

 

 

Less than 12 months

 

 

as of December 31, 2013

 

 

as of December 31, 2012

 

 

Fair Market

 

 

Unrealized

 

 

Fair Market

 

 

Unrealized

 

 

Value

 

 

Loss

 

 

Value

 

 

Loss

 

Fannie Mae Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

$

3,233,274

 

 

$

(44,871

)

 

$

149,954

 

 

$

(100

)

Fixed Rate

 

281,760

 

 

 

(1,798

)

 

 

-

 

 

 

-

 

Freddie Mac Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

 

4,046,473

 

 

 

(70,752

)

 

 

41,625

 

 

 

(21

)

Fixed Rate

 

316,835

 

 

 

(1,600

)

 

 

-

 

 

 

-

 

Ginnie Mae Certificates

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARMS

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

Fixed Rate

 

95,238

 

 

 

(998

)

 

 

-

 

 

 

-

 

Total temporarily impaired securities

$

7,973,580

 

 

$

(120,019

)

 

$

191,580

 

 

$

(121

)

Number of securities in an unrealized loss position

 

 

 

 

 

279

 

 

 

 

 

 

 

4

 

 
Adjustable Rate Residential Mortgage
  
Information About Company's Adjustable Rate Agency Securities That will Reprice or Amortize Based on Contractual terms

 

The contractual maturity of the Company’s agency securities ranges from 15 to 30 years. Because of prepayments on the underlying mortgage loans, the actual weighted-average maturity is expected to be significantly less than the stated maturity.  The following table presents certain information about the Company’s adjustable rate agency securities that will reprice or amortize based on contractual terms, which do not consider prepayment assumptions, at December 31, 2013 and 2012.

 

 

 

December 31, 2013

 

 

December 31, 2012

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

 

 

 

 

Average

 

 

 

 

 

 

 

 

 

 

Average

 

 

 

Fair Value

 

 

% of Total

 

 

Coupon

 

 

Fair Value

 

 

% of Total

 

 

Coupon

 

Months to Coupon Reset

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0 - 12

 

$

1,236,878

 

 

 

7.5

%

 

 

3.15

%

 

$

914,832

 

 

 

4.1

%

 

 

4.03

%

13 - 24

 

 

1,614,081

 

 

 

9.8

%

 

 

3.49

%

 

 

966,854

 

 

 

4.3

%

 

 

3.88

%

25 - 36

 

 

2,321,985

 

 

 

14.2

%

 

 

2.99

%

 

 

2,274,763

 

 

 

10.2

%

 

 

3.60

%

37 - 48

 

 

2,524,939

 

 

 

15.4

%

 

 

2.73

%

 

 

3,207,245

 

 

 

14.3

%

 

 

3.06

%

49 - 60

 

 

2,483,318

 

 

 

15.1

%

 

 

2.94

%

 

 

3,616,891

 

 

 

16.1

%

 

 

2.76

%

61 - 72

 

 

4,750,098

 

 

 

29.0

%

 

 

2.46

%

 

 

3,027,295

 

 

 

13.5

%

 

 

3.26

%

73 - 84

 

 

1,470,490

 

 

 

9.0

%

 

 

2.44

%

 

 

7,607,359

 

 

 

33.9

%

 

 

2.44

%

85 - 96

 

 

-

 

 

 

-

 

 

 

-

 

 

 

133,487

 

 

 

0.6

%

 

 

3.08

%

97 - 108

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

 

 

-

 

109 - 120

 

 

-

 

 

 

-

 

 

 

-

 

 

 

641,013

 

 

 

2.9

%

 

 

2.81

%

121 - 140

 

 

-

 

 

 

-

 

 

 

-

 

 

 

20,923

 

 

 

0.1

%

 

 

2.69

%

Total ARMS

 

$

16,401,789

 

 

 

100.0

%

 

 

2.80

%

 

$

22,410,662

 

 

 

100.0

%

 

 

2.95

%

 
Fixed Rate Residential Mortgage
  
Information About Company's Adjustable Rate Agency Securities That will Reprice or Amortize Based on Contractual terms

The following table presents certain information about the Company’s fixed rate agency securities that will reprice or amortize based on contractual terms, which do not consider prepayment assumptions, at December 31, 2013 and 2012.

 

 

 

December 31, 2013

 

 

December 31, 2012

 

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

 

 

 

Weighted

 

 

 

 

 

 

 

 

 

 

 

Average

 

 

 

 

 

 

 

 

 

 

Average

 

Wtd Average Months to Maturity

 

Fair Value

 

 

% of Total

 

 

Coupon

 

 

Fair Value

 

 

% of Total

 

 

Coupon

 

133-144

 

$

75,693

 

 

 

6.1

%

 

 

3.50

%

 

$

-

 

 

 

-

 

 

 

-

 

145-156

 

 

477,544

 

 

 

38.5

%

 

 

3.50

%

 

 

102,158

 

 

 

6.8

%

 

 

3.00

%

157-168

 

 

95,238

 

 

 

7.7

%

 

 

3.00

%

 

 

-

 

 

 

-

 

 

 

-

 

169-180

 

 

592,268

 

 

 

47.7

%

 

 

3.50

%

 

 

1,406,431

 

 

 

93.2

%

 

 

2.60

%

Total Fixed Rate Securities

 

$

1,240,743

 

 

 

100.0

%

 

 

3.46

%

 

$

1,508,589

 

 

 

100.0

%

 

 

2.62

%