- GAAP net income of $101.7 million, or $0.87 per diluted share.
- Core Earnings of $44.8 million, or $0.38 per diluted share.
- A component of the Company’s net income for the quarter was $15.0 million, or $0.13 per diluted share, of appreciation on forward settling purchases (also referred to as “drop income”) that was accounted for as net gain from investments on our statement of operations and therefore excluded from our Core Earnings.
- Operating expenses of 1.33% of average net assets.
- June 30, 2012 net asset value of $13.52 per share after declaring a $0.50 dividend per share on June 8, 2012.
- Interest rate spread net of hedge of 1.71%.
- Weighted average amortized cost of Agency RMBS of $103.47.
|Asset Type||Coupon||Settle Date||Par Value (in thousands)||Weighted Average Price|
|15 Year Fixed Rate||3.00||%||July 2012||1,414,103||105.44|
|15 Year Fixed Rate||3.00||%||August 2012||150,000||105.33|
|15 Year Fixed Rate||3.00||%||October 2012||100,000||104.95|
|30 Year Fixed Rate||3.50||%||September 2012||1,150,000||105.59|
|30 Year Fixed Rate||3.50||%||October 2012||1,250,000||105.32|
|Hybrid ARMs||2.44||%||July 2012||148,853||104.52|
|Hybrid ARMs||2.40||%||August 2012||40,000||104.25|
|Hybrid ARMs||2.40||%||September 2012||200,000||104.10|
|Interest Rate Swaps||Expiration Date||Fixed Pay Rate||Floating Receive Rate (1)||Notional Amount (in thousands)|
|Credit Suisse International (3)||7/13/2017||0.86||%||0.456||%||$||750,000|
|Interest Rate Caps||Expiration Date||Notional Amount (in thousands)|
|The Royal Bank of Scotland plc||7/16/2019||1.25||%||$||500,000|
|Morgan Stanley Capital Service, Inc.||7/16/2022||1.75||500,000|