The Company had net realized gains of $15.5 million, or $0.66 per share, during the quarter ended December 31, 2012. Of this amount, $10.9 million, or $0.46 per share, was from sales of Agency RMBS and TBAs, $3.8 million, or $0.16 per share, was from the sales of credit investments and $0.8 million, or $0.04 per share, was from the transfer of securities previously accounted for as derivatives through linked transactions. The Company had year-to-date net realized gains of $29.5 million, or $1.62 per share. Of this amount, $20.3 million, or $1.11 per share, was from sales of Agency RMBS and TBAs, $6.1 million, or $0.34 per share, was from sales of credit investments, $3.4 million, or $0.19 per share was from the transfer of securities previously accounted for as derivatives through linked transactions and $(0.3) million, or $(0.02) per share, was from the net settlement of interest rate swaps.
The CPR for the Agency RMBS investment portfolio was 7.8% for the fourth quarter, and 8.4% for the month of December 2012. The 2012 CPR on the Agency RMBS investment portfolio was 6.4%. (5)
The weighted average cost basis of the Agency RMBS investment portfolio, excluding interest-only securities, was 105.1% as of December 31, 2012. The amortization of premiums (net of any accretion of discounts) on these securities for the fourth quarter of 2012 was $(6.5) million, or $(0.28) per share. The Company recorded year-to-date premium amortization of $(17.4) million, or $(0.95) per share. The unamortized net Agency RMBS premium as of December 31, 2012 was $171.4 million.
Premiums and discounts associated with purchases of the Company's securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded a zero cent retrospective adjustment as a result of the projected cash flows on its bonds. Since the cost basis of the Company's Agency RMBS securities, excluding interest-only securities, exceeds the underlying principal balance by 5.1% as of December 31, 2012, slower actual and projected prepayments can have a meaningful positive impact, while faster actual or projected prepayments can have a meaningful negative impact on the Company's asset yields.
Select the service that is right for you!COMPARE ALL SERVICES
- $2.5+ million portfolio
- Large-cap and dividend focus
- Intraday trade alerts from Cramer
- Weekly roundups
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
- Upgrade/downgrade alerts
- Diversified model portfolio of dividend stocks
- Alerts when market news affect the portfolio
- Bi-weekly updates with exact steps to take - BUY, HOLD, SELL
- Real Money + Doug Kass Plus 15 more Wall Street Pros
- Intraday commentary & news
- Ultra-actionable trading ideas
- 100+ monthly options trading ideas
- Actionable options commentary & news
- Real-time trading community
- Options TV