- June 30, 2013 net asset value per common share of $10.20 after declaring a $0.34 dividend per common share on June 10, 2013.
- June 30, 2013 leverage ratio of 7.5 to 1.
- GAAP net loss available to common shares of $402.3 million, or $2.32 per diluted common share. The main contributors were:
- Net realized loss from investments of $211.4 million.
- Net unrealized depreciation on investments of $444.9 million.
- Net unrealized appreciation on swap and cap contracts of $215.5 million.
- Core Earnings plus Drop Income of $63.4 million, or $0.37 per diluted common share ($0.18 Core Earnings and $0.19 Drop Income).
- Operating expenses of 0.98% of average net assets.
- Interest rate spread net of hedge including drop income of 1.36%.
- Weighted average amortized cost of Agency RMBS of $104.32.
|Fannie Mae 30 Year 3.5%|
|Date||Press Release||Price Day Prior to Release||Price Day of Release||Change||Yield Day of Release|
|May 22, 2013||Minutes of the Federal Open Market Committee ("FOMC")||105.359||104.672||(0.687||)||2.65||%|
|May 28, 2013||Minutes of the Fed Board's discount rate meetings||104.578||103.516||(1.062||)||2.85||%|
|June 19, 2013||The Fed issues FOMC statement||103.328||101.984||(1.344||)||3.04||%|