The company experienced a three-month average CPR of 6.6% for Agency RMBS securities and Agency Derivatives held as of December 31, 2012, as compared to 6.0% for securities held as of September 30, 2012. The weighted average cost basis of the Agency portfolio was 108.2% of par as of December 31, 2012, comparable to the prior quarter. The net premium amortization was $43.9 million and $39.7 million for the quarters ended December 31, 2012 and September 30, 2012, respectively.
The company experienced a three-month average CPR of 3.2% for non-Agency RMBS securities held as of December 31, 2012, as compared to 3.0% for securities held as of September 30, 2012. The weighted average cost basis of the non-Agency portfolio was 52.2% of par as of December 31, 2012 and 52.4% of par as of September 30, 2012. The discount accretion was $37.3 million and $36.2 million for the quarters ended December 31, 2012 and September 30, 2012, respectively. The total net discount remaining was $2.3 billion as of December 31, 2012 and September 30, 2012, with $1.3 billion designated as credit reserve as of December 31, 2012.
Single-Family Residential PropertiesOn December 19, 2012, the company completed its contribution of single-family homes to Silver Bay in exchange for approximately 17.8 million shares of Silver Bay common stock. The company had previously announced its intention, subject to the discretion and approval of its Board of Directors and in compliance with applicable securities laws, to distribute these Silver Bay shares to Two Harbors' stockholders by means of a special dividend following the expiration of a 90-day lockup period. As of the date of this release, the company has not issued an announcement nor has the Board of Directors made a final determination concerning any such distribution. Securitization As of December 31, 2012, the company had acquired mortgage loans held-for-sale with a carrying value of $58.6 million and had outstanding purchase commitments to acquire an additional $56.9 million. It is the company's intention in the future to securitize these loans and/or exit through a whole loan sale.
Check Out Our Best Services for Investors
- $2.5+ million portfolio
- Large-cap and dividend focus
- Intraday trade alerts from Cramer
Access the tool that DOMINATES the Russell 2000 and the S&P 500.
- Buy, hold, or sell recommendations for over 4,300 stocks
- Unlimited research reports on your favorite stocks
- A custom stock screener
- Model portfolio
- Stocks trading below $10
- Intraday trade alerts