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Share Name | Share Symbol | Market | Type |
---|---|---|---|
C3 AI Inc | NYSE:AI | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.09 | -0.35% | 25.84 | 26.35 | 25.71 | 26.11 | 1,106,112 | 19:13:38 |
x
|
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For
the fiscal year ended December 31, 2012
|
o
|
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For
the transition period from to
|
Virginia
|
|
54-1873198
|
(State or Other Jurisdiction of Incorporation or Organization)
|
|
(I.R.S. Employer Identification No.)
|
Title of Each Class of Securities
|
Name of Each Exchange on Which Registered
|
|
Class A Common Stock, Par Value $0.01
|
New York Stock Exchange
|
Large Accelerated Filer
o
|
Accelerated Filer
x
|
Non-Accelerated Filer
o
|
Smaller Reporting Company
o
|
Page
|
||
1
|
||
|
||
PART I
|
||
ITEM 1.
|
3
|
|
ITEM 1A.
|
10
|
|
ITEM 1B.
|
26
|
|
ITEM 2.
|
26
|
|
ITEM 3.
|
27
|
|
ITEM 4.
|
27
|
|
|
||
PART II
|
||
ITEM 5.
|
28
|
|
ITEM 6.
|
31
|
|
ITEM 7.
|
33
|
|
ITEM 7A.
|
51
|
|
ITEM 8.
|
51
|
|
ITEM 9.
|
52
|
|
ITEM 9A.
|
52
|
|
ITEM 9B.
|
52
|
|
|
||
PART III
|
||
ITEM 10.
|
53
|
|
ITEM 11.
|
53
|
|
ITEM 12.
|
53
|
|
ITEM 13.
|
53
|
|
ITEM 14.
|
53
|
|
|
||
PART IV
|
||
ITEM 15.
|
54
|
|
|
||
56
|
||
|
||
F-1
|
|
·
|
the availability and terms of, and our ability to deploy, capital and our ability to grow our business through a strategy focused on acquiring primarily residential mortgage-backed securities (MBS) that are either issued by U.S. government agencies or guaranteed as to principal and interest by U.S. government agencies or U.S. government sponsored agencies (agency-backed MBS), and MBS issued by private organizations (private-label MBS);
|
|
·
|
our ability to forecast our tax attributes, which are based upon various facts and assumptions, and our ability to protect and use our net operating losses (NOLs), and net capital losses (NCLs), to offset future taxable income and gains, including whether our shareholder rights plan (Rights Plan) will be effective in preventing an ownership change that would significantly limit our ability to utilize such losses;
|
|
·
|
our investment, hedging and financing strategies and the success of these strategies;
|
|
·
|
the effect of changes in prepayment rates, interest rates and default rates on our portfolio;
|
|
·
|
the effect of governmental regulation and actions;
|
|
·
|
the outcome of contingencies, including pending legal and regulatory proceedings;
|
|
·
|
our ability to quantify and manage risk;
|
|
·
|
our ability to realize any reflation of our assets;
|
|
·
|
our liquidity;
|
|
·
|
our asset valuation policies;
|
|
·
|
our decisions with respect to, and ability to make, future dividends;
|
|
·
|
our ability to maintain our exclusion from the definition of “investment company” under the Investment Company Act of 1940, as amended (the 1940 Act); and
|
|
·
|
the effect of general economic conditions on our business.
|
|
·
|
effects of regulatory proceedings, litigation and contractual claims against us, our officers and our directors;
|
|
·
|
the overall environment for interest rates, changes in interest rates, interest rate spreads, the yield curve and prepayment rates;
|
|
·
|
current conditions and further adverse developments in the residential mortgage market and the overall economy;
|
|
·
|
potential risk attributable to our mortgage-related portfolios, including changes in fair value;
|
|
·
|
our use of leverage and our dependence on repurchase agreements and other short-term borrowings to finance our mortgage-related holdings;
|
|
·
|
the availability of certain short-term liquidity sources;
|
|
·
|
the federal conservatorship of the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) and related efforts, along with any changes in laws and regulations affecting the relationship between Fannie Mae and Freddie Mac and the federal government;
|
|
·
|
mortgage loan prepayment activity, modification programs and future legislative action;
|
|
·
|
changes in our acquisition, hedging and leverage strategies, changes in our asset allocation and changes in our operational policies, all of which may be changed by us without shareholder approval;
|
|
·
|
competition for investment opportunities, including competition from the U.S. Department of Treasury (U.S. Treasury) and the U.S. Federal Reserve, for investments in agency-backed MBS;
|
|
·
|
failure of sovereign or municipal entities to meet their debt obligations or a downgrade in the credit rating of such debt obligations;
|
|
·
|
fluctuating quarterly operating results;
|
|
·
|
changes in laws and regulations and industry practices that may adversely affect our business;
|
|
·
|
volatility of the securities markets and activity in the secondary securities markets; and
|
|
·
|
the other important factors identified in this Annual Report on Form 10-K under the caption “Item 1A—Risk Factors.”
|
ITEM 1.
|
BUSI
N
ESS
|
|
Face Amount
|
|
|
Fair Value
|
|
|||
Trading
|
|
|
|
|
|
|
||
Agency-backed MBS
|
|
|
|
|
|
|
||
Fannie Mae
|
|
$
|
984,565
|
|
|
$
|
1,083,810
|
|
Freddie Mac
|
|
|
432,507
|
|
|
|
472,630
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
65
|
|
|
|
70
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
12,130
|
|
|
|
7,519
|
|
Re-REMIC securities
|
|
|
318,488
|
|
|
|
191,567
|
|
Other mortgage related assets
|
|
|
96,138
|
|
|
|
478
|
|
Total
|
$
|
1,843,893
|
|
|
$
|
1,756,074
|
|
·
|
Fannie Mae MBS. The Federal National Mortgage Association (Fannie Mae) is a privately-owned, federally-chartered corporation organized and existing under the Federal National Mortgage Association Charter Act. Fannie Mae provides funds to the mortgage market primarily by purchasing home mortgage loans from local lenders, thereby replenishing their funds for additional lending. Fannie Mae guarantees to registered holders of Fannie Mae certificates that it will distribute amounts representing scheduled principal and interest (at the rate provided by the Fannie Mae certificate) on the mortgage loans in the pool underlying the Fannie Mae certificate, whether or not received, and the full principal amount of any mortgage loan foreclosed or otherwise finally liquidated, whether or not the principal amount is actually received by Fannie Mae.
|
|
·
|
Freddie Mac MBS. The Federal Home Loan Mortgage Corporation (Freddie Mac) is a privately-owned government-sponsored enterprise created pursuant to Title III of the Emergency Home Finance Act of 1970. Freddie Mac’s principal activities currently consist of the purchase of mortgage loans or participation interests in mortgage loans and the resale of the loans and participations in the form of guaranteed MBS. Freddie Mac guarantees to holders of Freddie Mac certificates the timely payment of interest at the applicable pass-through rate and ultimate collection of all principal on the holder’s pro rata share of the unpaid principal balance of the underlying mortgage loans, but does not guarantee the timely payment of scheduled principal on the underlying mortgage loans.
|
·
|
Residential Prime Senior MBS. Residential prime securities are MBS backed by prime residential mortgage loans. We believe prime residential mortgage loans were generally high credit-quality loans, and generally had balances greater than conforming loan limits. Prime securities were typically backed by loans that had relatively high weighted average FICO scores (700 or higher), low weighted average loan-to-value ratios (75% or less), limited concentrations of investor properties, and a low percentage of loans with low FICO scores or high loan-to-value ratios at origination. Senior securities are those interests in a securitization that have the first right to cash flows and are last in line to absorb losses, therefore have the least credit risk in a securitization transaction. To further reduce credit risk, most, if not all, principal collected from the underlying asset pool is used to pay down the senior securities until certain performance tests are satisfied. If certain performance tests are satisfied, principal payments are allocated, generally on a pro rata basis, between the senior securities and the subordinated securities.
|
|
·
|
Residential Non-Prime Senior MBS. Residential non-prime securities are MBS backed by non-prime residential mortgage loans. Non-prime residential loans included Alt-A loans, which generally had higher credit quality than subprime and lower credit quality than prime loans. Alt-A loans originally represented loans with alternative documentation, but the definition has shifted over time to include loans with additional risk characteristics and a higher percentage of investor loans. In an Alt-A loan, the borrower’s income may not be verified, and in some cases, may not be disclosed on the loan application. Alt-A loans may also have expanded criteria that allow for higher debt-to-income ratios with higher accompanying loan-to-value ratios than would otherwise be permissible for prime loans. Residential non-prime senior securities are those interests in a securitization that have the first right to cash flows and are last in line to absorb losses. Delinquencies are expected to be higher than the prime senior MBS; however, the levels of credit and structural support are also higher and, as a result, the non-prime senior MBS is expected to better withstand the higher levels of credit losses than subordinate securities of the same securitization. Credit support is the face amount of securities subordinate to the applicable security that protects the security from credit losses and is generally expressed as a percentage of the securitization’s underlying pool balance.
|
|
·
|
Residential Subordinate MBS. Subordinate securities are the interests in a securitization that are not senior interests. The most subordinate securities are those interests in a securitization that have the last right to cash flows and are first in line to absorb losses. Subordinate securities absorb the initial credit losses from a securitization structure, thus protecting the senior securities. Subordinate securities have a lower priority to receive principal and interest payments than the senior securities. Subordinate securities receive few, if any, principal payments until certain performance tests are satisfied. If certain performance tests are satisfied, principal payments are shared between the senior securities and the subordinated securities. Subordinate securities generally receive interest payments even if they do not receive principal payments. Residential subordinate securities can be backed by prime and non-prime residential loans.
|
|
·
|
Residential Re-REMIC Support MBS. A re-REMIC MBS is a re-securitization of MBS. Depending on the structure of the re-REMIC MBS, the cash flows from, and any credit losses absorbed by, the underlying MBS are allocated among the re-REMIC MBS issued in the re-securitization transaction in a variety of ways. For instance, when one or more prime residential senior securities are pooled and securitized to create a two-tranche structure with a re-REMIC senior security and a re-REMIC support security, all principal payments from the underlying senior securities are directed to the re-REMIC senior security until its face value is zero. Thereafter, all principal payments are directed to the re-REMIC support security. Credit losses, if any, are first absorbed by the re-REMIC support security; however, these credit losses occur only when credit losses exceed the credit protection provided to the underlying senior securities by the subordinate securities within their respective securitization structures. Both the re-REMIC senior security and the re-REMIC support security generally receive interest while any face value is outstanding.
|
|
·
|
Market risk.
Market risk is the risk to our earnings or capital resulting from adverse changes in the values of assets resulting from movement in market interest rates, equity prices, as well as market expectations concerning the underlying assets.
|
|
·
|
Interest rate risk
. Interest rate risk is the risk of loss resulting from changes in interest rates and the resulting changes in our cash flows, including prepayments. Another component of interest rate risk is the risk to our earnings or capital resulting from adverse changes in the values of assets due to a change in the level of market interest rates, as well as market expectations concerning the underlying assets.
|
|
·
|
Prepayment risk
. Prepayment risk is the risk related to the early unscheduled payment of principal on our MBS portfolio. The effective yield over the remaining life of a security cannot be known for certain as the actual cash flow is not known. With the early payment of principal, we will not earn future interest income on that portion of the principal; therefore, decreasing the yield we had expected to earn at the time of purchase.
|
|
·
|
Credit risk.
Credit risk is the risk of loss due to a borrower’s or institutional counterparty’s unwillingness or inability to pay its obligations.
|
|
·
|
Operations risk.
Operations risk is the risk of loss resulting from systems failure, inadequate controls, human error, fraud or unforeseen catastrophes.
|
|
·
|
Liquidity risk.
Liquidity risk is the risk that we may be unable to meet our obligations as they come due because of our inability to liquidate assets or obtain funding. Liquidity risk also includes the risk of having to sell assets at a loss to generate liquid funds.
|
|
·
|
Regulatory risk.
Regulatory risk is the risk of loss, including fines, penalties or restrictions in our activities from failing to comply with current or future federal, state or local laws (including federal and state securities laws), and rules and regulations pertaining to financial services activities, including the loss of our exclusion from regulation as an investment company under the 1940 Act.
|
|
·
|
Legal risk.
Legal risk is the risk of loss, disruption or other negative effect on our operations or condition that arises from unenforceable contracts, lawsuits, adverse judgments, or adverse governmental or regulatory actions or proceedings, or the threat thereof.
|
|
·
|
Reputational risk.
Reputational risk is the risk that negative publicity regarding our practices, whether true or not, will cause a decline in the customer base, resulting in costly litigation, or reduce our revenues.
|
|
·
|
Equity ownership risk
. Equity ownership risk arises from making equity investments that create an ownership interest in portfolio companies, and is a combination of credit, market, operational, liquidity, compliance and reputation risks.
|
|
·
|
identifying, assessing and reporting on risk exposures and trends;
|
|
·
|
establishing and revising as necessary policies, procedures and risk limits;
|
|
·
|
monitoring and reporting on adherence with risk policies and limits;
|
|
·
|
developing and applying new measurement methods to the risk process as appropriate; and
|
|
·
|
approving new business initiatives.
|
ITEM 1A.
|
RISK FAC
T
ORS
|
|
·
|
allowing certain homeowners whose homes are encumbered by Fannie Mae or Freddie Mac conforming mortgages to refinance those mortgages into lower interest rate mortgages with either Fannie Mae or Freddie Mac;
|
|
·
|
creating the Homeowner Stability Initiative, which is intended to utilize various incentives for banks and mortgage servicers to modify residential mortgage loans with the goal of reducing monthly mortgage principal and interest payments for certain qualified homeowners; and
|
|
·
|
allowing judicial modifications of Fannie Mae and Freddie Mac conforming residential mortgage loans during bankruptcy proceedings.
|
|
·
|
interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates;
|
|
·
|
available interest rate hedging may not correspond directly with the interest rate risk for which protection is sought;
|
|
·
|
the duration of the hedge may not match the duration of the related liability;
|
|
·
|
the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and
|
|
·
|
the party owing money in the hedging transaction may default on its obligation to pay.
|
|
·
|
conditions in the global financial markets and economic conditions generally;
|
|
·
|
changes in interest rates and prepayment rates;
|
|
·
|
actions taken by the U.S. Federal Reserve and the U.S. Treasury;
|
|
·
|
changes in laws and regulations and industry practices;
|
|
·
|
actions taken by ratings agencies with respect to the U.S.’s credit rating; and
|
|
·
|
other market developments.
|
|
·
|
actual or unanticipated variations in our quarterly results;
|
|
·
|
changes in our financial estimates by securities analysts;
|
|
·
|
conditions or trends affecting companies that make investments similar to ours;
|
|
·
|
changes in interest rate environments and the mortgage market that cause our borrowing costs to increase, our reported yields on our MBS portfolio to decrease or that cause the value of our MBS portfolio to decrease;
|
|
·
|
changes in the market valuations of the securities in our MBS portfolio and other principal investments;
|
|
·
|
negative changes in the public’s perception of the prospects of investment or financial services companies;
|
|
·
|
changes in the regulatory environment in which our business operates;
|
|
·
|
dilution resulting from new equity issuances or the conversion of Class B common stock into Class A common stock;
|
|
·
|
effects of litigation and contractual claims against us, our officers and our directors, including the potential settlement and litigation of such claims;
|
|
·
|
general economic conditions such as a recession, or interest rate or currency rate fluctuations; and
|
|
·
|
additions or departures of our key personnel.
|
ITEM 1B.
|
UNR
E
SOLVED STAFF COMMENTS
|
ITEM 2.
|
PR
OP
ERTIES
|
ITEM 3.
|
LEG
A
L PROCEEDINGS
|
ITEM 4.
|
MI
NE
SAFETY DISCLOSURES
|
ITEM 5.
|
MARK
ET
FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES
|
|
Price Range of
Class A
Common Stock
|
|
||||||
|
High
|
|
|
Low
|
|
|||
Year Ended December 31, 2012
|
|
|
|
|
|
|
||
Fourth Quarter
|
|
$
|
24.21
|
|
|
$
|
17.84
|
|
Third Quarter
|
|
|
25.49
|
|
|
|
21.59
|
|
Second Quarter
|
|
|
23.93
|
|
|
|
20.85
|
|
First Quarter
|
|
|
25.19
|
|
|
|
20.24
|
|
Year Ended December 31, 2011
|
|
|
|
|
|
|
|
|
Fourth Quarter
|
|
|
26.12
|
|
|
19.00
|
|
|
Third Quarter
|
|
|
31.88
|
|
|
|
22.50
|
|
Second Quarter
|
|
|
32.63
|
|
|
|
26.04
|
|
First Quarter
|
|
|
31.24
|
|
|
|
23.80
|
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.875
|
|
December 5
|
December 17
|
December 31
|
|||
September 30
|
|
|
0.875
|
|
September 13
|
September 28
|
October 31
|
|||
June 30
|
|
|
0.875
|
|
June 15
|
June 29
|
July 31
|
|||
March 31
|
|
|
0.875
|
|
March 16
|
March 26
|
April 30
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.875
|
|
December 21
|
December 31
|
January 31, 2012
|
|||
September 30
|
|
|
0.875
|
|
September 19
|
September 30
|
October 31
|
|||
June 30
|
|
|
0.875
|
|
June 23
|
July 5
|
July 29
|
|||
March 31
|
|
|
0.750
|
|
March 24
|
April 4
|
April 29
|
Period
|
|
Total Number
of Shares
Purchased
|
|
|
Average
Price Paid
Per Share
|
|
|
Total Number of Shares
Purchased as Part of
Publicly Announced
Plans or Programs
(1)
|
|
|
Maximum Number of
Shares that May
Yet Be Purchased Under
the Plans or Programs
(1)
|
|
||||
October 1 to October 31, 2012
|
|
|
—
|
|
|
$
|
—
|
|
|
|
—
|
|
|
|
—
|
|
November 1 to November 30, 2012
|
|
|
41,790
|
|
|
|
18.79
|
|
|
|
41,790
|
|
|
|
205,485
|
(2)
|
December 1 to December 31, 2012
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
41,790
|
|
|
$
|
18.79
|
|
|
|
41,790
|
|
|
|
205,485
|
(2)
|
(1)
|
On July 28, 2010, our Board of Directors announced that it had authorized a new share repurchase program (the 2010 Repurchase Program) in order to better position us to continue share repurchases while preserving our ability to use our NCL and NOL carryforwards. Under the 2010 Repurchase Program, we may repurchase up to 500,000 shares of our Class A common stock. Repurchases under the 2010 Repurchase Program may be made from time to time on the open market and in private transactions at management’s discretion in accordance with applicable federal securities laws. The timing of repurchases and the exact number of shares of Class A common stock to be purchased will depend upon market conditions and other factors. The 2010 Repurchase Program is funded using our cash on hand and cash generated from operations. The 2010 Repurchase Program has no expiration date and may be suspended or terminated at any time without prior notice.
|
(2)
|
We repurchased 294,515 shares of our Class A common stock under the 2010 repurchase Program through December 31, 2012.
|
|
|
AAIC
Prices
(1)
|
|
|
AAIC
Indexed
|
|
|
Peer
Group
(2)
|
|
|
S&P 500
Indexed
|
|
||||
December 31, 2007
|
|
$
|
62.80
|
|
|
$
|
100.00
|
|
|
$
|
100.00
|
|
|
$
|
100.00
|
|
December 31, 2008
|
|
|
3.40
|
|
|
|
5.41
|
|
|
|
24.37
|
|
|
|
63.06
|
|
December 31, 2009
|
|
|
15.23
|
|
|
|
24.25
|
|
|
|
29.57
|
|
|
|
79.70
|
|
December 31, 2010
|
|
|
23.99
|
|
|
|
40.13
|
|
|
|
54.95
|
|
|
|
91.67
|
|
December 31, 2011
|
|
|
21.33
|
|
|
|
40.05
|
|
|
|
48.47
|
|
|
|
93.62
|
|
December 31, 2012
|
|
|
20.77
|
|
|
|
47.31
|
|
|
|
77.95
|
|
|
|
108.55
|
|
(1)
|
Closing price of our Class A common stock on the NYSE on the last trading day of each year as shown adjusted for the impact of 1-for-20 reverse stock split effective on October 6, 2009.
|
(2)
|
Our Peer Group Index includes the following companies: American Capital, Ltd., Arbor Realty Trust, Inc., Capital Trust, Inc., Dynex Capital, Inc., FirstCity Financial Corporation, Hercules Technology Growth Capital, Inc., Kohlberg Capital Corporation, Main Street Capital Corporation, MCG Capital Corporation, NewStar Financial, Inc., NorthStar Realty Finance Corp., RAIT Financial Trust, Redwood Trust, Inc., and Resource America, Inc.
|
ITEM 6.
|
SELEC TED FINANCIAL DATA |
|
Year Ended December 31,
|
|
||||||||||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
||||||
Consolidated Statements of Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest on MBS
|
|
$
|
64,154
|
|
|
$
|
52,545
|
|
|
$
|
39,566
|
|
|
$
|
13,940
|
|
|
$
|
77,954
|
|
Interest on loans held for sale
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
37
|
|
Dividends
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
112
|
|
|
|
724
|
|
Other interest income
|
|
|
—
|
|
|
|
—
|
|
|
|
1
|
|
|
|
27
|
|
|
|
2,379
|
|
Total interest income
|
|
|
64,154
|
|
|
|
52,545
|
|
|
|
39,567
|
|
|
|
14,079
|
|
|
|
81,094
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest expense
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest on short-term debt
|
|
|
4,475
|
|
|
|
2,043
|
|
|
|
593
|
|
|
|
495
|
|
|
|
50,554
|
|
Interest on long-term debt
|
|
|
490
|
|
|
|
465
|
|
|
|
562
|
|
|
|
3,150
|
|
|
|
21,764
|
|
Interest on mortgage loans and mortgage banking operations
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
401
|
|
Other interest expense
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
32
|
|
Total interest expense
|
|
|
4,965
|
|
|
|
2,508
|
|
|
|
1,155
|
|
|
|
3,645
|
|
|
|
72,751
|
|
Net interest income
|
|
|
59,189
|
|
|
|
50,037
|
|
|
|
38,412
|
|
|
|
10,434
|
|
|
|
8,343
|
|
Other (loss) income, net
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment (loss) gain, net
|
|
|
(10,723
|
)
|
|
|
(19,166
|
)
|
|
|
3,328
|
|
|
|
3,926
|
|
|
(390,378
|
)
|
|
Other (loss) gain, net
|
|
|
(15
|
)
|
|
|
(14
|
)
|
|
|
(14
|
)
|
|
|
(151
|
)
|
|
|
83,947
|
|
Gain on extinguishment of long-term debt
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
160,435
|
|
|
|
39,083
|
|
Total other (loss) income, net
|
|
|
(10,738
|
)
|
|
|
(19,180
|
)
|
|
|
3,314
|
|
|
|
164,210
|
|
|
(267,348
|
)
|
|
Income (loss) from continuing operations before other expenses
|
|
|
48,451
|
|
|
|
30,857
|
|
|
|
41,726
|
|
|
|
174,644
|
|
|
(259,005
|
)
|
|
Other expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and benefits
|
|
|
10,339
|
|
|
|
10,065
|
|
|
|
10,660
|
|
|
|
14,366
|
|
|
|
21,780
|
|
Professional services
|
|
|
4,118
|
|
|
|
1,833
|
|
|
|
1,263
|
|
|
|
7,053
|
|
|
|
6,056
|
|
Business development
|
|
|
136
|
|
|
|
121
|
|
|
|
97
|
|
|
|
6,577
|
|
|
|
604
|
|
Occupancy and equipment
|
|
|
467
|
|
|
|
374
|
|
|
|
388
|
|
|
|
538
|
|
|
|
1,248
|
|
Communications
|
|
|
202
|
|
|
|
197
|
|
|
|
204
|
|
|
|
246
|
|
|
|
237
|
|
Other operating expenses
|
|
|
2,184
|
|
|
|
1,599
|
|
|
|
2,022
|
|
|
|
5,709
|
|
|
|
18,771
|
|
Total other expenses
|
|
|
17,446
|
|
|
|
14,189
|
|
|
|
14,634
|
|
|
|
34,489
|
|
|
|
48,696
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss) from continuing operations before income taxes
|
|
|
31,005
|
|
|
|
16,668
|
|
|
|
27,092
|
|
|
|
140,155
|
|
|
(307,701
|
)
|
|
Income tax (benefit) provision
|
|
|
(160,821
|
)
|
|
|
1,495
|
|
|
|
506
|
|
|
|
9,522
|
|
|
|
1,899
|
|
Net income (loss) from continuing operations, net of taxes
|
|
|
191,826
|
|
|
|
15,173
|
|
|
|
26,586
|
|
|
|
130,633
|
|
|
(309,600
|
)
|
|
Loss from discontinued operations, net of taxes
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
(25,547
|
)
|
|
|
(194,730
|
)
|
|
Net income (loss)
|
|
|
191,826
|
|
|
|
15,173
|
|
|
|
26,586
|
|
|
|
105,086
|
|
|
(504,330
|
)
|
|
Net loss attributable to noncontrolling interest
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
(11,459
|
)
|
|
|
(86,867
|
)
|
|
Net income (loss) attributable to Arlington Asset Investment Corp. shareholders
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
|
$
|
116,545
|
|
$
|
(417,463
|
)
|
|
December 31,
|
|
||||||||||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
|
2009
|
|
|
2008
|
|
||||||
Consolidated Balance Sheet Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Cash and cash equivalents
|
|
$
|
35,837
|
|
|
$
|
20,018
|
|
|
$
|
12,412
|
|
|
$
|
10,123
|
|
|
$
|
46,851
|
|
Receivables
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
|
|
4,869
|
|
|
|
2,366
|
|
|
|
2,345
|
|
|
|
2,011
|
|
|
|
1,130
|
|
Sold securities receivable
|
|
|
26,773
|
|
|
|
41,321
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Other
|
|
|
644
|
|
|
|
11
|
|
|
|
219
|
|
|
|
20
|
|
|
|
356
|
|
Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Available-for-sale
|
|
|
199,156
|
|
|
|
179,566
|
|
|
|
252,909
|
|
|
|
295,600
|
|
|
|
139,955
|
|
Trading
|
|
|
1,556,440
|
|
|
|
636,872
|
|
|
|
174,055
|
|
|
|
—
|
|
|
|
—
|
|
U.S. Treasury bonds, at fair value
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
550,000
|
|
Other investments
|
|
|
2,347
|
|
|
|
2,946
|
|
|
|
8,287
|
|
|
|
2,580
|
|
|
|
13,802
|
|
Derivative assets, at fair value
|
|
|
—
|
|
|
|
504
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Deferred tax assets, net
|
162,281
|
—
|
—
|
—
|
—
|
|||||||||||||||
Deposits
|
|
|
85,652
|
|
|
|
71,079
|
|
|
|
4,748
|
|
|
|
2,589
|
|
|
|
—
|
|
Prepaid expenses and other assets
|
|
|
159
|
|
|
|
377
|
|
|
|
358
|
|
|
|
726
|
|
|
|
7,475
|
|
Assets of discontinued operation
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
800,722
|
|
Total assets
|
|
$
|
2,074,158
|
|
|
$
|
955,060
|
|
|
$
|
455,333
|
|
|
$
|
313,649
|
|
|
$
|
1,560,291
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
1,497,191
|
|
|
$
|
647,977
|
|
|
$
|
190,220
|
|
|
$
|
126,830
|
|
|
$
|
647,003
|
|
Interest payable
|
|
|
582
|
|
|
|
504
|
|
|
|
187
|
|
|
|
124
|
|
|
|
2,019
|
|
Accrued compensation and benefits
|
|
|
1,542
|
|
|
|
6,177
|
|
|
|
7,201
|
|
|
|
5,921
|
|
|
|
3,339
|
|
Dividend payable
|
|
|
—
|
|
|
|
6,785
|
|
|
|
4,655
|
|
|
|
—
|
|
|
|
—
|
|
Derivative liabilities, at fair value
|
|
|
76,850
|
|
|
|
63,024
|
|
|
|
2,398
|
|
|
|
—
|
|
|
|
—
|
|
Purchased securities payable
|
|
|
—
|
|
|
|
15,820
|
|
|
|
2,555
|
|
|
|
—
|
|
|
|
—
|
|
Accounts payable, accrued expenses and other liabilities
|
|
|
17,837
|
|
|
|
16,401
|
|
|
|
16,373
|
|
|
|
13,904
|
|
|
|
13,322
|
|
Long-term debt
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
16,857
|
|
|
|
254,357
|
|
Liabilities of discontinued operation
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
496,995
|
|
Total liabilities
|
|
|
1,609,002
|
|
|
|
771,688
|
|
|
|
238,589
|
|
|
|
163,636
|
|
|
|
1,417,035
|
|
Equity
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common stock and additional paid-in capital
|
|
|
1,638,193
|
|
|
|
1,508,790
|
|
|
|
1,506,048
|
|
|
|
1,507,474
|
|
|
|
1,494,722
|
|
Accumulated other comprehensive income (loss), net of taxes
|
|
|
38,985
|
|
|
|
38,367
|
|
|
|
63,495
|
|
|
|
7,015
|
|
|
(118
|
)
|
|
Accumulated deficit
|
|
|
(1,212,022
|
)
|
|
|
(1,363,785
|
)
|
|
|
(1,352,799
|
)
|
|
|
(1,364,476
|
)
|
|
|
(1,481,021
|
)
|
Total Arlington Asset Investment Corp. shareholders’ equity
|
|
|
465,156
|
|
|
|
183,372
|
|
|
|
216,744
|
|
|
|
150,013
|
|
|
|
13,583
|
|
Noncontrolling interest
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
129,673
|
|
Total equity
|
|
|
465,156
|
|
|
|
183,372
|
|
|
|
216,744
|
|
|
|
150,013
|
|
|
|
143,256
|
|
Total liabilities and equity
|
|
$
|
2,074,158
|
|
|
$
|
955,060
|
|
|
$
|
455,333
|
|
|
$
|
313,649
|
|
|
$
|
1,560,291
|
|
Statistical Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic earnings (loss) per share
(3)
|
|
$
|
18.80
|
|
|
$
|
1.97
|
|
|
$
|
3.44
|
|
|
$
|
15.19
|
|
$
|
(55.23
|
)
|
|
Diluted earnings (loss) per share
(3)
|
|
$
|
18.73
|
|
|
$
|
1.96
|
|
|
$
|
3.38
|
|
|
$
|
14.89
|
|
$
|
(55.23
|
)
|
|
Book value per share
(1) (3)
|
|
$
|
35.24
|
|
|
$
|
23.67
|
|
|
$
|
28.46
|
|
$
|
19.54
|
(2)
|
|
$
|
1.80
|
(2)
|
|
Total employees
(1)
|
|
|
11
|
|
|
|
10
|
|
|
|
10
|
|
|
|
10
|
|
|
|
579
|
|
Return on average assets
|
|
|
14
|
%
|
|
|
2
|
%
|
|
|
7
|
%
|
|
|
25
|
%
|
|
|
(16
|
)%
|
Return on average equity
|
|
|
78
|
%
|
|
|
7
|
%
|
|
|
15
|
%
|
|
|
65
|
%
|
|
|
(98
|
)%
|
Dividend payout ratio
|
|
|
19
|
%
|
|
|
172
|
%
|
|
|
55
|
%
|
|
|
—
|
|
|
|
—
|
|
Average Equity to assets ratio
|
|
|
18
|
%
|
|
|
24
|
%
|
|
|
46
|
%
|
|
|
38
|
%
|
|
|
17
|
%
|
Basic weighted average shares outstanding (in thousands)
(3)
|
|
|
10,205
|
|
|
|
7,720
|
|
|
|
7,734
|
|
|
|
7,675
|
|
|
|
7,558
|
|
Diluted weighted average shares outstanding (in thousands)
(3)
|
|
|
10,242
|
|
|
|
7,741
|
|
|
|
7,873
|
|
|
|
7,825
|
|
|
|
7,558
|
|
Cash dividends per common share
(3)
|
|
$
|
3.50
|
|
|
$
|
3.375
|
|
|
$
|
1.90
|
|
|
$
|
—
|
|
|
$
|
—
|
|
(1)
|
As of end of the period reported.
|
(2)
|
Excludes employee stock and purchase loan receivable shares of 80 shares pledged as collateral as of December 31, 2009 and 2008.
|
(3)
|
Reflects the impact of 1-for-20 reverse stock split effective on October 6, 2009.
|
ITEM 7.
|
MANAGE
M
ENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
|
|
·
|
conditions in the global financial markets and economic conditions;
|
|
·
|
changes in interest rates and prepayment rates;
|
|
·
|
actions taken by the U.S. Federal Reserve and the U.S. Treasury;
|
|
·
|
changes in laws and regulations and industry practices;
|
|
·
|
actions taken by ratings agencies with respect to the U.S.’s credit rating; and
|
|
·
|
other market developments.
|
|
|
Year Ended December 31,
|
|
|||||||||
(Dollars in thousands)
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|||
Net interest income
|
|
$
|
59,189
|
|
|
$
|
50,037
|
|
|
$
|
38,412
|
|
Other (loss) income, net
|
|
|
(10,738
|
)
|
|
|
(19,180
|
)
|
|
|
3,314
|
|
Other expenses
|
|
|
17,446
|
|
|
|
14,189
|
|
|
|
14,634
|
|
Income before income taxes
|
|
|
31,005
|
|
|
|
16,668
|
|
|
|
27,092
|
|
Income tax (benefit) provision
|
|
|
(160,821
|
)
|
|
|
1,495
|
|
|
|
506
|
|
Net income
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
|
Year Ended December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
GAAP net income
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
Adjustments
|
|
|
|
|
|
|
|
|
Adjusted expenses
(1)
|
|
|
2,627
|
|
|
|
1,825
|
|
Release of valuation allowance on deferred tax assets
|
|
|
(162,519
|
)
|
|
|
—
|
|
Stock compensation
|
|
|
998
|
|
|
|
1,014
|
|
Net unrealized mark-to-market loss on trading MBS and hedge instruments
|
|
|
7,352
|
|
|
|
31,353
|
|
Other-than-temporary impairment charges
|
|
|
15,708
|
|
|
|
1,223
|
|
Adjusted interest related to purchase discount accretion
(2)
|
|
|
(5,644
|
)
|
|
|
(4,218
|
)
|
Non-GAAP core operating income
|
|
$
|
50,348
|
|
|
$
|
46,370
|
|
(1)
|
Adjusted expenses reflect certain professional fees, litigation expenses and recovery, and income taxes that are not considered representative of routine or core operating-related activities of our company.
|
(2)
|
Adjusted interest related to purchase discount accretion represents purchase discount accretion in excess of principal repayment in excess of proportional share of invested capital.
|
|
Face Amount
|
|
|
Fair Value
|
|
|||
Trading
|
|
|
|
|
|
|
||
Agency-backed MBS
|
|
|
|
|
|
|
||
Fannie Mae
|
|
$
|
984,565
|
|
|
$
|
1,083,810
|
|
Freddie Mac
|
|
|
432,507
|
|
|
|
472,630
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
65
|
|
|
|
70
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
12,130
|
|
|
|
7,519
|
|
Re-REMIC securities
|
|
|
318,488
|
|
|
|
191,567
|
|
Other mortgage related assets
|
|
|
96,138
|
|
|
|
478
|
|
Total
|
|
$
|
1,843,893
|
|
|
$
|
1,756,074
|
|
|
Year Ended December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Interest income
|
|
$
|
64,154
|
|
|
$
|
52,545
|
|
Interest expense
|
|
|
4,965
|
|
|
|
2,508
|
|
Net interest income
|
|
|
59,189
|
|
|
|
50,037
|
|
Other loss, net
|
|
|
|
|
|
|
|
|
Investment loss, net
|
|
|
(10,723
|
)
|
|
|
(19,166
|
)
|
Other loss
|
|
|
(15
|
)
|
|
|
(14
|
)
|
Total other loss, net
|
|
|
(10,738
|
)
|
|
|
(19,180
|
)
|
Other expenses
|
|
|
17,446
|
|
|
|
14,189
|
|
Income before income taxes
|
|
|
31,005
|
|
|
|
16,668
|
|
Income tax (benefit) provision
|
|
|
(160,821
|
)
|
|
|
1,495
|
|
Net income
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
Year Ended December 31,
|
|
|||||||
2012
|
|
2011
|
|
|||||
Net interest income
|
$
|
59,679
|
|
$
|
50,502
|
|
||
Investment loss, net
|
|
(10,723
|
)
|
|
(19,166
|
)
|
|
Year Ended December 31,
|
|
||||||||||||||||||||||
|
2012
|
|
|
2011
|
|
|||||||||||||||||||
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|||||||
Agency-backed MBS
|
|
$
|
971,725
|
|
|
$
|
39,705
|
|
|
|
4.09
|
%
|
|
$
|
556,097
|
|
|
$
|
24,931
|
|
|
|
4.48
|
%
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
7,787
|
|
|
|
1,319
|
|
|
|
16.94
|
%
|
|
|
13,676
|
|
|
|
1,750
|
|
|
|
12.80
|
%
|
Re-REMIC securities
|
|
|
140,890
|
|
|
|
23,007
|
|
|
|
16.33
|
%
|
|
|
136,500
|
|
|
|
25,421
|
|
|
|
18.62
|
%
|
Other investments
|
|
|
1,054
|
|
|
|
122
|
|
|
|
11.57
|
%
|
|
|
1,923
|
|
|
|
278
|
|
|
|
14.48
|
%
|
|
$
|
1,121,456
|
|
|
|
64,153
|
|
|
|
5.72
|
%
|
|
$
|
708,196
|
|
|
|
52,380
|
|
|
|
7.40
|
%
|
|
Other
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
|
|
|
165
|
|
|
|
|
|
|
|
|
|
|
|
64,154
|
|
|
|
|
|
|
|
|
|
|
|
52,545
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
953,152
|
|
|
|
(4,475
|
)
|
|
|
(0.46
|
)%
|
|
$
|
559,086
|
|
|
|
(2,043
|
)
|
|
|
(0.36
|
)%
|
Net interest income/spread
|
|
|
|
|
|
$
|
59,679
|
|
|
|
5.26
|
%
|
|
|
|
|
|
$
|
50,502
|
|
|
|
7.04
|
%
|
|
Year Ended December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Realized gains on sale of available-for-sale investments, net
|
|
$
|
9,813
|
|
|
$
|
14,894
|
|
Available-for-sale and cost method securities—other-than-temporary impairment charges
|
|
|
(15,708
|
)
|
|
|
(1,223
|
)
|
Gains on trading investments, net
|
|
|
22,280
|
|
|
|
31,837
|
|
Losses from derivative instruments, net
|
|
|
(28,755
|
)
|
|
|
(64,625
|
)
|
Other, net
|
|
|
1,647
|
|
|
(49
|
)
|
|
Investment loss, net
|
|
$
|
(10,723
|
)
|
|
$
|
(19,166
|
)
|
|
Year Ended December 31,
|
|
||||||
|
2011
|
|
|
2010
|
|
|||
Interest income
|
|
$
|
52,545
|
|
|
$
|
39,567
|
|
Interest expense
|
|
|
2,508
|
|
|
|
1,155
|
|
Net interest income
|
|
|
50,037
|
|
|
|
38,412
|
|
Other (loss) income, net
|
|
|
|
|
|
|
|
|
Investment (loss) gain, net
|
|
|
(19,166
|
)
|
|
|
3,328
|
|
Other loss
|
|
|
(14
|
)
|
|
|
(14
|
)
|
Total other (loss) income, net
|
|
|
(19,180
|
)
|
|
|
3,314
|
|
Other expenses
|
|
|
14,189
|
|
|
|
14,634
|
|
Income before income taxes
|
|
|
16,668
|
|
|
|
27,092
|
|
Income tax provision
|
|
|
1,495
|
|
|
|
506
|
|
Net income
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
Year Ended December 31,
|
|
|||||||
2011
|
|
2010
|
|
|||||
Net interest income
|
$
|
50,502
|
|
$
|
38,974
|
|
||
Investment (loss) gain, net
|
|
(19,166
|
)
|
|
3,328
|
|
|
Year Ended December 31,
|
|
||||||||||||||||||||||
|
2011
|
|
|
2010
|
|
|||||||||||||||||||
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|
Average
Balance
|
|
|
Income
(Expense)
|
|
|
Yield
(Cost)
|
|
|||||||
Agency-backed MBS
|
|
$
|
556,097
|
|
|
$
|
24,931
|
|
|
|
4.48
|
%
|
|
$
|
155,929
|
|
|
$
|
7,344
|
|
|
|
4.71
|
%
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
13,676
|
|
|
|
1,750
|
|
|
|
12.80
|
%
|
|
|
64,822
|
|
|
|
10,446
|
|
|
|
16.11
|
%
|
Re-REMIC securities
|
|
|
136,500
|
|
|
|
25,421
|
|
|
|
18.62
|
%
|
|
|
109,330
|
|
|
|
21,637
|
|
|
|
19.79
|
%
|
Other investments
|
|
|
1,923
|
|
|
|
278
|
|
|
|
14.48
|
%
|
|
|
1,216
|
|
|
|
139
|
|
|
|
11.47
|
%
|
|
$
|
708,196
|
|
|
|
52,380
|
|
|
|
7.40
|
%
|
|
$
|
331,297
|
|
|
|
39,566
|
|
|
|
11.94
|
%
|
|
Other
(1)
|
|
|
|
|
|
|
165
|
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|
|
|
|
|
|
|
|
|
|
52,545
|
|
|
|
|
|
|
|
|
|
|
|
39,567
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
559,086
|
|
|
|
(2,043
|
)
|
|
|
(0.36
|
)%
|
|
$
|
157,968
|
|
|
|
(593
|
)
|
|
|
(0.37
|
)%
|
Net interest income/spread
|
|
|
|
|
|
$
|
50,502
|
|
|
|
7.04
|
%
|
|
|
|
|
|
$
|
38,974
|
|
|
|
11.57
|
%
|
(1)
|
Includes interest income on cash and other miscellaneous interest-earning assets.
|
|
Year Ended December 31,
|
|
||||||
|
2011
|
|
|
2010
|
|
|||
Realized gains on sale of available-for-sale investments, net
|
|
$
|
14,894
|
|
|
$
|
10,051
|
|
Available-for-sale and cost method securities—other-than-temporary impairment charges
|
|
|
(1,223
|
)
|
|
|
—
|
|
Gains (losses) on trading investments, net
|
|
|
31,837
|
|
|
|
(4,471
|
)
|
Losses from derivative instruments, net
|
|
|
(64,625
|
)
|
|
|
(3,046
|
)
|
Other, net
|
|
|
(49
|
)
|
|
|
794
|
|
Investment (loss) gain, net
|
|
$
|
(19,166
|
)
|
|
$
|
3,328
|
|
|
December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Outstanding balance
|
|
$
|
1,497,191
|
|
|
$
|
647,977
|
|
Weighted-average rate
|
|
|
0.52
|
%
|
|
|
0.49
|
%
|
Weighted-average term to maturity
|
|
14.5 days
|
|
|
13.1 days
|
|
||
Maximum amount outstanding at any month-end during the period
|
|
$
|
1,497,191
|
|
|
$
|
659,459
|
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.875
|
|
December 5
|
December 17
|
December 31
|
|||
September 30
|
|
|
0.875
|
|
September 13
|
September 28
|
October 31
|
|||
June 30
|
|
|
0.875
|
|
June 15
|
June 29
|
July 31
|
|||
March 31
|
|
|
0.875
|
|
March 16
|
March 26
|
April 30
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.875
|
|
December 21
|
December 31
|
January 31, 2012
|
|||
September 30
|
|
|
0.875
|
|
September 19
|
September 30
|
October 31
|
|||
June 30
|
|
|
0.875
|
|
June 23
|
July 5
|
July 29
|
|||
March 31
|
|
|
0.750
|
|
March 24
|
April 4
|
April 29
|
Quarter Ended
|
|
Dividend Amount
|
|
Declaration Date
|
Record Date
|
Pay Date
|
||||
December 31
|
|
$
|
0.60
|
|
December 20
|
December 31
|
January 31, 2011
|
|||
September 30
|
|
|
0.60
|
|
September 20
|
September 30
|
October 29
|
|||
June 30
|
|
|
0.35
|
|
May 26
|
June 30
|
July 30
|
|||
March 31
|
|
|
0.35
|
|
February 10
|
March 31
|
April 30
|
|
2013
|
|
|
2014
|
|
|
2015
|
|
|
2016
|
|
|
2017
|
|
|
Thereafter
|
|
|
Total
|
|
||||||||
Borrowings
(1)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,000
|
|
|
$
|
15,000
|
|
Minimum rental and other contractual commitments
(2)
|
|
|
269
|
|
|
|
256
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
525
|
|
Capital commitments
(3)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
269
|
|
|
$
|
256
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,000
|
|
|
$
|
15,525
|
|
(1)
|
This table excludes interest payments to be made on our long-term debt securities. Based on the weighted average interest rate of 3.09% as of December 31, 2012, approximately $115.9 thousand in accrued interest on the current outstanding principal will be paid for the quarter ending March 31, 2013. Interest on the $15.0 million of long-term debt floats based on the 3-month LIBOR; therefore, actual coupon interest will likely differ from this estimate. These long-term debt securities mature beginning in October 2033 through July 2035.
|
(2)
|
Equipment and office rent expense for 2012, 2011 and 2010 was $262.7 thousand, $173.3 thousand and $162.1 thousand, respectively.
|
(3)
|
The table above excludes $0.6 million of uncalled capital commitments as of December 31, 2012 to various investment partnerships that may be called over the next ten years. This commitment was $1.3 million at December 31, 2011. This amount was excluded because we cannot currently determine when, if ever, the commitments will be called. Also, the table above does not include a liability for unrecognized income tax benefits of $12.8 million that are not contractual obligations by nature. We cannot determine, with any degree of certainty, the amount that would be payable or the period of cash settlement to the respective taxing jurisdiction.
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
Private-
Label
Securities
|
|
||||
Yield (% of amortized cost)
|
|
|
16.9
|
%
|
|
|
16.3
|
%
|
|
|
16.4
|
%
|
Average cost (% of face value)
|
|
|
61.7
|
%
|
|
|
47.8
|
%
|
|
|
48.3
|
%
|
Weighted average coupon
|
|
|
2.6
|
%
|
|
|
4.5
|
%
|
|
|
4.4
|
%
|
Delinquencies greater than 60 plus days
|
|
|
34.0
|
%
|
|
|
17.9
|
%
|
|
|
18.5
|
%
|
Credit enhancement
|
|
|
—
|
|
|
3.1
|
%
|
|
|
3.0
|
%
|
|
Severity (three months average)
|
|
|
49.4
|
%
|
|
|
45.6
|
%
|
|
|
45.8
|
%
|
Constant prepayment rate (three months average)
|
|
|
19.2
|
%
|
|
|
16.8
|
%
|
|
|
16.9
|
%
|
|
December 31, 2012
|
|
||||||||||||||||||||||||||||||||||
|
Value
|
|
|
Value
with
10%
Increase
in
Default
Rate
|
|
|
Percent
Change
|
|
|
Value
with 10%
Decrease
in
Default
Rate
|
|
|
Percent
Change
|
|
|
Value
with
10%
Increase
in
Loss
Severity
Rate
|
|
|
Percent
Change
|
|
|
Value
with 10%
Decrease
in
Loss
Severity
Rate
|
|
|
Percent
Change
|
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Private-label MBS
|
|
$
|
199,086
|
|
|
$
|
193,623
|
|
|
|
(2.74
|
)%
|
|
$
|
204,782
|
|
|
|
2.86
|
%
|
|
$
|
191,260
|
|
|
|
(3.93
|
)%
|
|
$
|
206,920
|
|
|
|
3.93
|
%
|
Agency-backed MBS
|
1,556,510
|
1,556,510
|
—
|
1,556,510
|
—
|
1,556,510
|
—
|
1,556,510
|
—
|
|||||||||||||||||||||||||||
Other
|
|
|
318,562
|
|
|
|
318,562
|
|
|
|
—
|
|
|
|
318,562
|
|
|
|
—
|
|
|
|
318,562
|
|
|
|
—
|
|
|
|
318,562
|
|
|
|
—
|
|
Total assets
|
|
$
|
2,074,158
|
|
|
$
|
2,068,695
|
|
|
|
(0.26
|
)%
|
|
$
|
2,079,854
|
|
|
|
0.27
|
%
|
|
$
|
2,066,332
|
|
|
|
(0.38
|
)%
|
|
$
|
2,081,992
|
|
|
|
0.38
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
$
|
1,609,002
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
Equity
|
|
|
465,156
|
|
|
|
459,693
|
|
|
|
(1.17
|
)%
|
|
|
470,852
|
|
|
|
1.22
|
%
|
|
|
457,330
|
|
|
|
(1.68
|
)%
|
|
|
472,990
|
|
|
|
1.68
|
%
|
Total liabilities and equity
|
|
$
|
2,074,158
|
|
|
$
|
2,068,695
|
|
|
|
(0.26
|
)%
|
|
$
|
2,079,854
|
|
|
|
0.27
|
%
|
|
$
|
2,066,332
|
|
|
|
(0.38
|
)%
|
|
$
|
2,081,992
|
|
|
|
0.38
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value per share
|
|
$
|
35.24
|
|
|
$
|
34.83
|
|
|
|
(1.17
|
)%
|
|
$
|
35.68
|
|
|
|
1.22
|
%
|
|
$
|
34.65
|
|
|
|
(1.68
|
)%
|
|
$
|
35.84
|
|
|
|
1.68
|
%
|
|
December 31, 2012
|
|
||||||||||||||||||
|
Value
|
|
|
Value
with 100
Basis Point
Increase in
Interest
Rates
|
|
|
Percent
Change
|
|
|
Value
with 100
Basis Point
Decrease in
Interest
Rates
|
|
|
Percent
Change
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
MBS
|
|
$
|
1,755,596
|
|
|
$
|
1,669,352
|
|
|
|
(4.91
|
)%
|
|
$
|
1,805,742
|
|
|
|
2.86
|
%
|
Other
|
|
|
318,562
|
|
|
|
318,562
|
|
|
|
—
|
|
|
|
318,562
|
|
|
|
—
|
|
Total assets
|
|
$
|
2,074,158
|
|
|
$
|
1,987,914
|
|
|
|
(4.16
|
)%
|
|
$
|
2,124,304
|
|
|
|
2.42
|
%
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
1,497,191
|
|
|
$
|
1,497,191
|
|
|
|
—
|
|
|
$
|
1,497,191
|
|
|
|
—
|
|
Derivative liability
|
|
|
76,850
|
|
|
|
33,038
|
|
|
|
(57.01
|
)%
|
|
|
120,663
|
|
|
|
57.01
|
%
|
Other
|
|
|
34,961
|
|
|
|
34,961
|
|
|
|
—
|
|
|
|
34,961
|
|
|
|
—
|
|
Total liabilities
|
|
|
1,609,002
|
|
|
|
1,565,190
|
|
|
|
(2.72
|
)%
|
|
|
1,652,815
|
|
|
|
2.72
|
%
|
Equity
|
|
|
465,156
|
|
|
|
422,724
|
|
|
|
(9.12
|
)%
|
|
|
471,489
|
|
|
|
1.36
|
%
|
Total liabilities and equity
|
|
$
|
2,074,158
|
|
|
$
|
1,987,914
|
|
|
|
(4.16
|
)%
|
|
$
|
2,124,304
|
|
|
|
2.42
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value per share
|
|
$
|
35.24
|
|
|
$
|
32.03
|
|
|
|
(9.12
|
)%
|
|
$
|
35.72
|
|
|
|
1.36
|
%
|
|
December 31, 2012
|
|
||||||||||||||||||
|
Value
|
|
|
Value with 10%
Increase
in Price
|
|
|
Percent
Change
|
|
|
Value with 10%
Decrease
in Price
|
|
|
Percent
Change
|
|
||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Equity and cost method investment
|
|
$
|
1,869
|
|
|
$
|
2,056
|
|
|
|
10.00
|
%
|
|
$
|
1,682
|
|
|
|
(10.00
|
)%
|
Other
|
|
|
2,072,289
|
|
|
|
2,072,289
|
|
|
|
—
|
|
|
|
2,072,289
|
|
|
|
—
|
|
Total assets
|
|
$
|
2,074,158
|
|
|
$
|
2,074,345
|
|
|
|
0.01
|
%
|
|
$
|
2,073,971
|
|
|
|
(0.01
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
$
|
1,609,002
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
|
$
|
1,609,002
|
|
|
|
—
|
|
Equity
|
|
|
465,156
|
|
|
|
465,343
|
|
|
|
0.04
|
%
|
|
|
464,969
|
|
|
|
(0.04
|
)%
|
Total liabilities and equity
|
|
$
|
2,074,158
|
|
|
$
|
2,074,345
|
|
|
|
0.01
|
%
|
|
$
|
2,073,971
|
|
|
|
(0.01
|
)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Book value per share
|
|
$
|
35.24
|
|
|
$
|
35.26
|
|
|
|
0.04
|
%
|
|
$
|
35.23
|
|
|
|
(0.04
|
)%
|
Level 1 Inputs—
|
Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by us;
|
Level 2 Inputs—
|
Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
|
Level 3 Inputs—
|
Unobservable inputs for the asset or liability, including significant assumptions and other market participants.
|
ITEM 7A.
|
QUAN
TIT
ATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|
ITEM 8.
|
FINA
NC
IAL STATEMENTS AND SUPPLEMENTARY DATA
|
ITEM 9.
|
CHANGES IN
AND
DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
|
ITEM 9A.
|
CON
TRO
LS AND PROCEDURES
|
|
·
|
pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company;
|
|
·
|
provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and
|
|
·
|
provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements.
|
ITEM 9B.
|
OTHER
IN
FORMATION
|
ITEM 10.
|
DIR
ECT
ORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
|
ITEM 11.
|
EX
ECU
TIVE COMPENSATION
|
ITEM 12.
|
SEC
URI
TY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
|
ITEM 13.
|
CER
TAIN
RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE
|
ITEM 14.
|
P
RIN
CIPAL ACCOUNTANT FEES AND SERVICES
|
ITEM 15.
|
EXHIBITS AND FINANCIAL STATE
ME
NT SCHEDULES
|
|
·
|
Report of Independent Registered Public Accounting Firm (page F-2)
|
|
·
|
Consolidated Balance Sheets—Years ended 2012 and 2011 (page F-3)
|
|
·
|
Consolidated Statements of Comprehensive Income—Years ended 2012, 2011 and 2010 (page F-4)
|
|
·
|
Consolidated Statements of Changes in Equity—Years ended 2012, 2011 and 2010 (page F-5)
|
|
·
|
Consolidated Statements of Cash Flows—Years ended 2012, 2011 and 2010 (page F-8)
|
|
·
|
Notes to Consolidated Financial Statements (page F-9)
|
Exhibit
Number
|
Exhibit Title
|
|
3.01
|
Amended and Restated Articles of Incorporation, as amended (incorporated by reference to Exhibit 3.1 to the Registrant’s Quarterly Report on Form 10-Q filed on November 9, 2009).
|
|
|
|
|
3.02
|
Amended and Restated Bylaws, as amended (incorporated by reference to Exhibit 3.1 to the Registrant’s Current Report on Form 8-K filed on July 28, 2011).
|
|
|
|
|
4.01
|
Form of Specimen Certificate for Class A Common Stock (incorporated by reference to Exhibit 4.01 to the Registrant’s Annual Report on Form 10-K filed on February 24, 2010).
|
|
|
|
|
4.02
|
Shareholder Rights Agreement, dated June 5, 2009 (incorporated by reference to Exhibit 4.1 to the Registrant’s Current Report on Form 8-K filed on June 5, 2009).
|
|
|
|
|
10.01
|
Friedman, Billings, Ramsey Group, Inc. 2004 Long-Term Incentive Plan (incorporated by reference to Appendix A to the Registrant’s Definitive Proxy Statement on Schedule 14A filed on April 29, 2004).*
|
|
|
|
|
10.02
|
Friedman, Billings, Ramsey Group, Inc. 1997 Stock and Annual Incentive Plan (incorporated by reference to Exhibit 10.06 to Amendment No. 2 to the Registration Statement on Form S-1 (File No. 333-39107) filed by Friedman, Billings, Ramsey Group, Inc. on December 19, 1997).*
|
|
|
|
|
10.03
|
Friedman, Billings, Ramsey Group, Inc. Non-Employee Director Stock Compensation Plan (incorporated by reference to Exhibit 10.07 to Amendment No. 2 to the Registration Statement on Form S-1 (File No. 333-39107) filed by Friedman, Billings, Ramsey Group, Inc. on December 19, 1997).*
|
|
|
|
|
10.04
|
Friedman, Billings, Ramsey Group, Inc. Amended and Restated Non-Employee Director Stock Compensation Plan (incorporated by reference to Exhibit 10.04 to the Registrant’s Annual Report on Form 10-K filed on February 23, 2012).*
|
|
10.05
|
Arlington Asset Investment Corp. Incentive Plan (incorporated by reference to the Registrant’s Current Report on Form 8-K filed on April 16, 2010).*
|
10.06
|
Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed on June 6, 2011).*
|
|
|
|
|
10.07
|
Form of Restricted Stock Unit Agreement under Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (incorporated by reference to Exhibit 10.2 to the Registrant’s Current Report on Form 8-K filed on June 6, 2011).*
|
|
|
|
|
10.0
8
|
Form of Restricted Stock Award Agreement under Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (incorporated by reference to Exhibit 10.07 to the Registrant’s Annual Report on Form 10-K, filed on February 23, 2012).*
|
|
|
|
|
10.0
9
|
Form of Indemnification Agreement (incorporated by reference to Exhibit 10.08 to the Registrant’s Annual Report on Form 10-K, filed on February 23, 2012).*
|
|
10.10
|
Form of Performance Share Unit Award Agreement under Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (incorporated by reference to Exhibit 10.1 to the Registrant’s Current Report on Form 8-K filed on August 16, 2012).
|
|
11.01
|
Statement regarding Computation of Per Share Earnings (included in Part II, Item 8, and Note 2 to the Registrant’s Consolidated Financial Statements).†
|
|
|
|
|
Computation of Ratio of Earnings to Fixed Charges.†
|
||
|
|
|
List of Subsidiaries of the Registrant.†
|
||
Consent of PricewaterhouseCoopers LLP.†
|
||
|
|
|
24.01
|
Power of Attorney (included on the signature page to this Annual Report on Form 10-K and incorporated by reference herein).†
|
|
|
|
|
Certification of Chief Executive Officer pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.†
|
||
|
|
|
Certification of Chief Financial Officer pursuant to Rule 13a-14(a)/15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.†
|
||
|
|
|
Certification of Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.†
|
||
|
|
|
Certification of Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.†
|
||
|
|
|
101.INS
|
INSTANCE DOCUMENT**
|
|
101.SCH
|
SCHEMA DOCUMENT**
|
|
101.CAL
|
CALCULATION LINKBASE DOCUMENT**
|
|
101.LAB
|
LABELS LINKBASE DOCUMENT**
|
|
101.PRE
|
PRESENTATION LINKBASE DOCUMENT**
|
|
101.DEF
|
DEFINITION LINKBASE DOCUMENT**
|
†
|
Filed herewith.
|
*
|
Compensatory plan or arrangement.
|
**
|
Submitted electronically herewith. Attached as Exhibit 101 are the following materials from the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012, formatted in XBRL (eXtensible Business Reporting Language): (i) Consolidated Balance Sheets at December 31, 2012 and December 31, 2011; (ii) Consolidated Statements of Comprehensive Income for the years ended December 31, 2012, 2011 and 2010; (iii) Consolidated Statements of Changes in Equity for the years ended December 31, 2012, 2011 and 2010; and (iv) Consolidated Statements of Cash Flows for the years ended 2012, 2011 and 2010. Pursuant to Rule 406T of Regulation S-T this data is deemed not filed or part of a registration statement or prospectus for purposes of sections 11 or 12 of the Securities Act of 1933, is deemed not filed for purposes of section 18 of the Securities and Exchange Act of 1934, and otherwise is not subject to liability under these sections.
|
|
ARLINGTON ASSET INVESTMENT CORP.
|
|
|
|
|
Date: February 8, 2013
|
By:
|
/s/ ERIC F. BILLINGS
|
|
|
Eric F. Billings
|
|
|
Chief Executive Officer
|
Signature
|
|
Title
|
|
Date
|
|
|
|
|
|
/s/ ERIC F. BILLINGS
|
|
Chairman, Chief Executive Officer and
|
|
February 8, 2013
|
ERIC F. BILLINGS
|
|
Director (Principal Executive Officer)
|
|
|
|
|
|
|
|
/s/ J. ROCK TONKEL, JR.
|
|
President, Chief Operating Officer and
|
|
February 8, 2013
|
J. ROCK TONKEL, JR.
|
|
Director
|
|
|
|
|
|
|
|
/s/ KURT R. HARRINGTON
|
|
Executive Vice President and Chief
|
|
February 8, 2013
|
KURT R. HARRINGTON
|
|
Financial Officer (Principal Financial Officer)
|
|
|
|
|
|
|
|
/s/ DANIEL J. ALTOBELLO
|
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Director
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February 8, 2013
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DANIEL J. ALTOBELLO
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/s/ DANIEL E. BERCE
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Director
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February 8, 2013
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DANIEL E. BERCE
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/s/ PETER A. GALLAGHER
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Director
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February 8, 2013
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PETER A. GALLAGHER
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/s/ RALPH S. MICHAEL III
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Director
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February 8, 2013
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RALPH S. MICHAEL III
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/s/ WALLACE L. TIMMENY
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Director
|
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February 8, 2013
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WALLACE L. TIMMENY
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Page
|
|
Report of Independent Registered Public Accounting Firm
|
F-2
|
|
|
Consolidated Balance Sheets as of December 31, 2012 and 2011
|
F-3
|
|
|
Consolidated Statements of Comprehensive Income for the years ended December 31, 2012, 2011 and 2010
|
F-4
|
|
|
Consolidated Statements of Changes in Equity for the years ended December 31, 2012, 2011 and 2010
|
F-5
|
|
|
Consolidated Statements of Cash Flows for the years ended December 31, 2012, 2011 and 2010
|
F-8
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|
|
Notes to Consolidated Financial Statements
|
F-9
|
/s/ PricewaterhouseCoopers LLP
|
|
McLean, Virginia
|
|
February 8, 2013
|
|
December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
ASSETS
|
|
|
|
|
|
|
||
Cash and cash equivalents
|
|
$
|
35,837
|
|
|
$
|
20,018
|
|
Receivables
|
|
|
|
|
|
|
|
|
Interest
|
|
|
4,869
|
|
|
|
2,366
|
|
Sold securities receivable
|
|
|
26,773
|
|
|
|
41,321
|
|
Other
|
|
|
644
|
|
|
|
11
|
|
Mortgage-backed securities, at fair value
|
|
|
|
|
|
|
|
|
Available-for-sale
|
|
|
199,156
|
|
|
|
179,566
|
|
Trading
|
|
|
1,556,440
|
|
|
|
636,872
|
|
Other investments
|
|
|
2,347
|
|
|
|
2,946
|
|
Derivative assets, at fair value
|
|
|
—
|
|
|
|
504
|
|
Deferred tax assets, net
|
162,281
|
—
|
||||||
Deposits
|
|
|
85,652
|
|
|
|
71,079
|
|
Prepaid expenses and other assets
|
|
|
159
|
|
|
|
377
|
|
Total assets
|
|
$
|
2,074,158
|
|
|
$
|
955,060
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
$
|
1,497,191
|
|
|
$
|
647,977
|
|
Purchased securities payable
|
|
|
—
|
|
|
|
15,820
|
|
Interest payable
|
|
|
582
|
|
|
|
504
|
|
Accrued compensation and benefits
|
|
|
1,542
|
|
|
|
6,177
|
|
Dividend payable
|
|
|
—
|
|
|
|
6,785
|
|
Derivative liabilities, at fair value
|
|
|
76,850
|
|
|
|
63,024
|
|
Accounts payable, accrued expenses and other liabilities
|
|
|
17,837
|
|
|
|
16,401
|
|
Long-term debt
|
|
|
15,000
|
|
|
|
15,000
|
|
Total liabilities
|
|
|
1,609,002
|
|
|
|
771,688
|
|
|
|
|
|
|
|
|
|
|
Commitments and contingencies (Note 7)
|
|
|
—
|
|
|
|
—
|
|
Equity:
|
|
|
|
|
|
|
|
|
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding
|
|
|
—
|
|
|
|
—
|
|
Class A common stock, $0.01 par value, 450,000,000 shares authorized, 12,560,970 and 7,099,336 shares issued and outstanding, respectively
|
|
|
126
|
|
|
|
71
|
|
Class B common stock, $0.01 par value, 100,000,000 shares authorized, 554,055 and 566,112 shares issued and outstanding, respectively
|
|
|
6
|
|
|
|
6
|
|
Additional paid-in capital
|
|
|
1,638,061
|
|
|
|
1,508,713
|
|
Accumulated other comprehensive income, net of taxes of $429 and $-0-, respectively
|
|
|
38,985
|
|
|
|
38,367
|
|
Accumulated deficit
|
|
|
(1,212,022
|
)
|
|
|
(1,363,785
|
)
|
Total equity
|
|
|
465,156
|
|
|
|
183,372
|
|
Total liabilities and equity
|
|
$
|
2,074,158
|
|
|
$
|
955,060
|
|
|
Year Ended December 31,
|
|
||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
||||
Interest income
|
|
$
|
64,154
|
|
|
$
|
52,545
|
|
|
$
|
39,567
|
|
Interest expense
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest on short-term debt
|
|
|
4,475
|
|
|
|
2,043
|
|
|
|
593
|
|
Interest on long-term debt
|
|
|
490
|
|
|
|
465
|
|
|
|
562
|
|
Total interest expense
|
|
|
4,965
|
|
|
|
2,508
|
|
|
|
1,155
|
|
Net interest income
|
|
|
59,189
|
|
|
|
50,037
|
|
|
|
38,412
|
|
Other (loss) income, net
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment (loss) gain, net
|
|
|
(10,723
|
)
|
|
|
(19,166
|
)
|
|
|
3,328
|
|
Other loss
|
|
|
(15
|
)
|
|
|
(14
|
)
|
|
|
(14
|
)
|
Total other (loss) income, net
|
|
|
(10,738
|
)
|
|
|
(19,180
|
)
|
|
|
3,314
|
|
Operating income before other expenses
|
|
|
48,451
|
|
|
|
30,857
|
|
|
|
41,726
|
|
Other expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
Compensation and benefits
|
|
|
10,339
|
|
|
|
10,065
|
|
|
|
10,660
|
|
Professional services
|
|
|
4,118
|
|
|
|
1,833
|
|
|
|
1,263
|
|
Business development
|
|
|
136
|
|
|
|
121
|
|
|
|
97
|
|
Occupancy and equipment
|
|
|
467
|
|
|
|
374
|
|
|
|
388
|
|
Communications
|
|
|
202
|
|
|
|
197
|
|
|
|
204
|
|
Other operating expenses
|
|
|
2,184
|
|
|
|
1,599
|
|
|
|
2,022
|
|
Total other expenses
|
|
|
17,446
|
|
|
|
14,189
|
|
|
|
14,634
|
|
Income before income taxes
|
|
|
31,005
|
|
|
|
16,668
|
|
|
|
27,092
|
|
Income tax (benefit) provision
|
|
|
(160,821
|
)
|
|
|
1,495
|
|
|
|
506
|
|
Net income
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic earnings per share
|
|
$
|
18.80
|
|
|
$
|
1.97
|
|
|
$
|
3.44
|
|
Diluted earnings per share
|
|
$
|
18.73
|
|
|
$
|
1.96
|
|
|
$
|
3.38
|
|
Dividends declared per share
|
|
$
|
3.50
|
|
|
$
|
3.375
|
|
|
$
|
1.90
|
|
Weighted-average shares outstanding
(in thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
Basic
|
|
|
10,205
|
|
|
|
7,720
|
|
|
|
7,734
|
|
Diluted
|
|
|
10,242
|
|
|
|
7,741
|
|
|
|
7,873
|
|
Other comprehensive income (loss), net of taxes
|
||||||||||||
Unrealized gains (losses) for the period on available-for-sale securities (net of taxes of $429, $-0-, and $-0-, respectively)
|
|
$
|
12,156
|
|
|
$
|
(10,022
|
)
|
|
$
|
60,451
|
|
Reclassification adjustment for gains included in net income on available-for-sale securities (net of taxes of $-0-)
|
|
|
(11,538
|
)
|
|
|
(15,106
|
)
|
|
|
(3,971
|
)
|
Comprehensive income (loss)
|
|
$
|
192,444
|
|
|
$
|
(9,955
|
)
|
|
$
|
83,066
|
|
|
Class A
Common
Stock (#)
|
|
|
Class A
Amount
($)
|
|
|
Class B
Common
Stock (#)
|
|
|
Class B
Amount
($)
|
|
|
Additional
Paid-In
Capital
|
|
|
Accumulated
Other
Compreh
ensive
Income
|
|
|
Accumulated
Deficit
|
|
|
Total
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Balances, December 31, 2009
|
7,352,774
|
$
|
74
|
566,112
|
$
|
6
|
$
|
1,507,394
|
$
|
7,015
|
$
|
(1,364,476
|
)
|
$
|
150,013
|
|||||||||||||||||
Net income
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
26,586
|
|
|
|
26,586
|
|
Issuance of Class A common stock
|
4,353
|
—
|
—
|
—
|
447
|
—
|
—
|
447
|
||||||||||||||||||||||||
Repurchase of Class A common stock
|
|
|
(243,815
|
)
|
|
|
(2
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(4,901
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(4,903
|
)
|
Forfeitures of Class A common stock
|
(6,982
|
)
|
(1
|
)
|
—
|
—
|
(122
|
)
|
—
|
—
|
(123
|
)
|
||||||||||||||||||||
Amortization of Class A common shares issued as stock-based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
3,153
|
|
|
|
—
|
|
|
|
—
|
|
|
|
3,153
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized gain on available-for-sale investment securities, (net of taxes of $-0-)
|
—
|
—
|
—
|
—
|
—
|
56,480
|
—
|
56,480
|
||||||||||||||||||||||||
Dividends declared
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(14,909
|
)
|
|
|
(14,909
|
)
|
Balances, December 31, 2010
|
|
|
7,106,330
|
|
|
$
|
71
|
|
|
|
566,112
|
|
|
$
|
6
|
|
|
$
|
1,505,971
|
|
|
$
|
63,495
|
|
|
$
|
(1,352,799
|
)
|
|
$
|
216,744
|
|
|
Class A
Common
Stock (#)
|
|
|
Class A
Amount
($)
|
|
|
Class B
Common
Stock (#)
|
|
|
Class B
Amount
($)
|
|
|
Additional
Paid-In
Capital
|
|
|
Accumulated
Other
Compreh
ensive
Income
|
|
|
Accumulated
Deficit
|
|
|
Total
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Balances, December 31, 2010
|
7,106,330
|
$
|
71
|
566,112
|
$
|
6
|
$
|
1,505,971
|
$
|
63,495
|
$
|
(1,352,799
|
)
|
$
|
216,744
|
|||||||||||||||||
Net income
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
15,173
|
|
|
|
15,173
|
|
Issuance of Class A common stock
|
29,147
|
—
|
—
|
—
|
545
|
—
|
—
|
545
|
||||||||||||||||||||||||
Repurchase of Class A common stock
|
|
|
(8,910
|
)
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
(229
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(229
|
)
|
|
Forfeitures of Class A common stock
|
(27,231
|
)
|
—
|
—
|
—
|
(770
|
)
|
—
|
—
|
(770
|
)
|
|||||||||||||||||||||
Amortization of Class A common shares issued as stock-based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
601
|
|
|
|
—
|
|
|
|
—
|
|
|
|
601
|
|
Reclassification of restricted stock units issued as stock based awards
|
—
|
—
|
—
|
—
|
2,595
|
—
|
—
|
2,595
|
||||||||||||||||||||||||
Other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized gain on available-for-sale investment securities, (net of taxes of $-0-)
|
—
|
—
|
—
|
—
|
—
|
(25,128
|
)
|
—
|
(25,128
|
)
|
||||||||||||||||||||||
Dividends declared
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(26,159
|
)
|
|
|
(26,159
|
)
|
Balances, December 31, 2011
|
|
|
7,099,336
|
|
|
$
|
71
|
|
|
|
566,112
|
|
|
$
|
6
|
|
|
$
|
1,508,713
|
|
|
$
|
38,367
|
|
|
$
|
(1,363,785
|
)
|
|
$
|
183,372
|
|
|
Class A
Common
Stock (#)
|
|
|
Class A
Amount
($)
|
|
|
Class B
Common
Stock (#)
|
|
|
Class B
Amount
($)
|
|
|
Additional
Paid-In
Capital
|
|
|
Accumulated
Other
Compreh
ensive
Income
|
|
|
Accumulated
Deficit
|
|
|
Total
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Balances, December 31, 2011
|
7,099,336
|
$
|
71
|
566,112
|
$
|
6
|
$
|
1,508,713
|
$
|
38,367
|
$
|
(1,363,785
|
)
|
$
|
183,372
|
|||||||||||||||||
Net income
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
191,826
|
|
|
|
191,826
|
|
Conversion of Class B shares to Class A shares
|
12,057
|
—
|
(12,057
|
)
|
—
|
—
|
—
|
—
|
—
|
|||||||||||||||||||||||
Issuance of Class A common stock
|
5,493,750
|
55
|
—
|
—
|
129,194
|
—
|
—
|
129,249
|
||||||||||||||||||||||||
Repurchase of Class A common stock
|
|
|
(41,790
|
)
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
(786
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(786
|
)
|
|
Forfeitures of Class A common stock
|
(2,383
|
)
|
—
|
—
|
—
|
(55
|
)
|
—
|
—
|
(55
|
)
|
|||||||||||||||||||||
Amortization of Class A common shares issued as stock-based awards
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
995
|
|
|
|
—
|
|
|
|
—
|
|
|
|
995
|
|
Other comprehensive income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized gain on available-for-sale investment securities, (net of taxes of $429)
|
—
|
—
|
—
|
—
|
—
|
618
|
—
|
618
|
||||||||||||||||||||||||
Dividends declared
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(40,063
|
)
|
|
|
(40,063
|
)
|
Balances, December 31, 2012
|
|
|
12,560,970
|
|
|
$
|
126
|
|
|
|
554,055
|
|
|
$
|
6
|
|
|
$
|
1,638,061
|
|
|
$
|
38,985
|
|
|
$
|
(1,212,022
|
)
|
|
$
|
465,156
|
|
|
Year Ended December 31,
|
|
||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
||||
Cash flows from operating activities
|
|
|
|
|
|
|
|
|
|
|||
Net income
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
Adjustments to reconcile net income to net cash provided by operating activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment loss (gain), net
|
|
|
10,723
|
|
|
|
19,166
|
|
|
(3,328
|
)
|
|
Net discount accretion on mortgage-backed securities
|
|
|
(9,888
|
)
|
|
|
(10,867
|
)
|
|
|
(12,250
|
)
|
Release of valuation allowance on deferred tax assets
|
|
|
(162,281
|
)
|
|
|
—
|
|
|
—
|
||
Depreciation and amortization
|
|
|
47
|
|
|
|
48
|
|
|
|
42
|
|
Other
|
|
|
567
|
|
|
|
636
|
|
|
|
3,155
|
|
Changes in operating assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest receivable
|
|
|
(2,503
|
)
|
|
|
(1,254
|
)
|
|
|
(463
|
)
|
Other receivables
|
|
|
(389
|
)
|
|
|
211
|
|
|
(645
|
)
|
|
Prepaid expenses and other assets
|
|
|
750
|
|
|
|
1,490
|
|
|
(1,806
|
)
|
|
Changes in operating liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
Accounts payable and accrued expenses
|
|
|
1,457
|
|
|
|
1,091
|
|
|
|
688
|
|
Accrued compensation and benefits
|
|
|
(4,634
|
)
|
|
|
1,568
|
|
|
|
1,280
|
|
Net cash provided by operating activities
|
|
|
25,675
|
|
|
|
27,262
|
|
|
|
13,259
|
|
Cash flows from investing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases of available-for-sale mortgage-backed securities
|
|
|
(54,709
|
)
|
|
|
(17,190
|
)
|
|
|
(156,858
|
)
|
Purchases of trading mortgage-backed securities
|
|
|
(1,359,536
|
)
|
|
|
(695,486
|
)
|
|
|
(304,494
|
)
|
Proceeds from sales of available-for-sale mortgage-backed securities
|
|
|
34,102
|
|
|
|
79,212
|
|
|
|
253,133
|
|
Proceeds from sales of trading mortgage-backed securities
|
|
|
352,437
|
|
|
|
201,352
|
|
|
|
118,126
|
|
Receipt of principal payments on available-for-sale mortgage-backed securities
|
|
|
20,194
|
|
|
|
14,388
|
|
|
|
26,969
|
|
Receipt of principal payments on trading mortgage-backed securities
|
|
|
83,038
|
|
|
|
37,688
|
|
|
|
12,346
|
|
Payments for derivatives and deposits, net
|
|
|
(29,814
|
)
|
|
|
(72,390
|
)
|
|
|
(4,676
|
)
|
Payments for purchased securities payable
|
|
|
(15,820
|
)
|
|
|
(2,555
|
)
|
|
|
—
|
|
Proceeds from sold securities receivable
|
|
|
41,321
|
|
|
—
|
|
|
—
|
|
||
Other
|
|
|
(11,898
|
)
|
|
|
2,797
|
|
|
(4,188
|
)
|
|
Net cash used in investing activities
|
|
|
(940,685
|
)
|
|
|
(452,184
|
)
|
|
|
(59,642
|
)
|
Cash flows from financing activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Proceeds from repurchase agreements, net
|
|
|
849,214
|
|
|
|
457,756
|
|
|
|
63,390
|
|
Proceeds from stock issuance
|
|
|
129,249
|
|
|
|
—
|
|
|
|
—
|
|
Dividends paid
|
|
|
(46,848
|
)
|
|
|
(24,029
|
)
|
|
|
(10,254
|
)
|
Repurchase of common stock
|
|
|
(786
|
)
|
|
|
(229
|
)
|
|
|
(4,464
|
)
|
Repayments of short-term debt
|
|
|
—
|
|
|
(970
|
)
|
|
|
—
|
|
|
Net cash provided by financing activities
|
|
|
930,829
|
|
|
|
432,528
|
|
|
|
48,672
|
|
Net increase in cash and cash equivalents
|
|
|
15,819
|
|
|
|
7,606
|
|
|
|
2,289
|
|
Cash and cash equivalents, beginning of year
|
|
|
20,018
|
|
|
|
12,412
|
|
|
|
10,123
|
|
Cash and cash equivalents, end of year
|
|
$
|
35,837
|
|
|
$
|
20,018
|
|
|
$
|
12,412
|
|
Supplemental Cash Flow Information
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash payments for interest
|
|
$
|
4,888
|
|
|
$
|
2,190
|
|
|
$
|
1,001
|
|
Cash payments for taxes
|
|
$
|
833
|
|
|
$
|
708
|
|
|
$
|
700
|
|
Note 1.
|
Organization and Nature of Operations:
|
Note 2.
|
Summary of Significant Accounting Policies:
|
Level 1 Inputs—
|
Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company;
|
Level 2 Inputs—
|
Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and
|
Level 3 Inputs—
|
Unobservable inputs for the asset or liability, including significant assumptions of the Company and other market participants.
|
|
December 31, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Carrying
Amount
|
|
|
Estimated
Fair Value
|
|
|
Carrying
Amount
|
|
|
Estimated
Fair Value
|
|
|||||
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash and cash equivalents
|
|
$
|
35,837
|
|
|
$
|
35,837
|
|
|
$
|
20,018
|
|
|
$
|
20,018
|
|
Interest receivable
|
|
|
4,869
|
|
|
|
4,869
|
|
|
|
2,366
|
|
|
|
2,366
|
|
Sold securities receivable
|
|
|
26,773
|
|
|
|
26,773
|
|
|
|
41,321
|
|
|
|
41,321
|
|
Other receivables
|
|
|
644
|
|
|
|
644
|
|
|
|
11
|
|
|
|
11
|
|
MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
1,556,510
|
|
|
|
1,556,510
|
|
|
|
637,011
|
|
|
|
637,011
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
7,519
|
|
|
|
7,519
|
|
|
|
9,311
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
191,567
|
|
|
|
191,567
|
|
|
|
170,116
|
|
|
|
170,116
|
|
Derivative assets
|
|
|
—
|
|
|
|
—
|
|
|
|
504
|
|
|
|
504
|
|
Deferred tax assets, net
|
162,281
|
162,281
|
—
|
—
|
||||||||||||
Other investments
|
|
|
2,347
|
|
|
|
2,347
|
|
|
|
2,946
|
|
|
|
2,946
|
|
Deposits
|
|
|
85,652
|
|
|
|
85,652
|
|
|
|
71,079
|
|
|
|
71,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
|
1,497,191
|
|
|
|
1,497,191
|
|
|
|
647,977
|
|
|
|
647,977
|
|
Purchased securities payable
|
|
|
—
|
|
|
|
—
|
|
|
|
15,820
|
|
|
|
15,820
|
|
Interest payable
|
|
|
582
|
|
|
|
582
|
|
|
|
504
|
|
|
|
504
|
|
Long-term debt
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
15,000
|
|
|
|
15,000
|
|
Derivative liabilities
|
|
|
76,850
|
|
|
|
76,850
|
|
|
|
63,024
|
|
|
|
63,024
|
|
Accounts payable, accrued expenses and other liabilities
|
|
|
17,908
|
|
|
|
17,908
|
|
|
|
16,401
|
|
|
|
16,401
|
|
|
Year Ended December 31,
|
|
||||||||||||||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
||||||||||||||||
|
Basic
|
|
|
Diluted
|
|
|
Basic
|
|
|
Diluted
|
|
|
Basic
|
|
|
Diluted
|
|
|||||||
Weighted average shares outstanding Common stock (in thousands)
|
|
|
10,205
|
|
|
|
10,205
|
|
|
|
7,720
|
|
|
|
7,720
|
|
|
|
7,734
|
|
|
|
7,734
|
|
Stock options, performance share units, and unvested restricted stock (in thousands)
|
|
|
—
|
|
|
|
37
|
|
|
|
—
|
|
|
|
21
|
|
|
|
—
|
|
|
|
139
|
|
Weighted average common and common equivalent shares outstanding (in thousands)
|
|
|
10,205
|
|
|
|
10,242
|
|
|
|
7,720
|
|
|
|
7,741
|
|
|
|
7,734
|
|
|
|
7,873
|
|
Net income applicable to common stock
|
|
$
|
191,826
|
|
|
$
|
191,826
|
|
|
$
|
15,173
|
|
|
$
|
15,173
|
|
|
$
|
26,586
|
|
|
$
|
26,586
|
|
Net income per common share
|
|
$
|
18.80
|
|
|
$
|
18.73
|
|
|
$
|
1.97
|
|
|
$
|
1.96
|
|
|
$
|
3.44
|
|
|
$
|
3.38
|
|
Note 3.
|
Financial Instruments:
|
|
December 31, 2012
|
|
||||||||||||||
|
Total
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|||||
MBS, at fair value Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency-backed MBS
|
|
$
|
1,556,440
|
|
|
$
|
—
|
|
|
$
|
1,556,440
|
|
|
$
|
—
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
70
|
|
|
|
—
|
|
|
|
70
|
|
|
|
—
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
7,519
|
|
|
|
—
|
|
|
|
—
|
|
|
|
7,519
|
|
Re-REMIC securities
|
|
|
191,567
|
|
|
|
—
|
|
|
|
—
|
|
|
|
191,567
|
|
Total available-for-sale
|
|
|
199,156
|
|
|
|
—
|
|
|
|
70
|
|
|
|
199,086
|
|
Total MBS
|
|
|
1,755,596
|
|
|
|
—
|
|
|
|
1,556,510
|
|
|
|
199,086
|
|
Derivative liabilities, at fair value
|
|
|
(76,850
|
)
|
|
|
(76,850
|
)
|
|
|
—
|
|
|
|
—
|
|
Interest-only MBS, at fair value
|
|
|
478
|
|
|
|
—
|
|
|
|
—
|
|
|
|
478
|
|
Total
|
|
$
|
1,679,224
|
|
|
$
|
(76,850
|
)
|
|
$
|
1,556,510
|
|
|
$
|
199,564
|
|
|
December 31, 2011
|
|
||||||||||||||
|
Total
|
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|||||
MBS, at fair value Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Agency-backed MBS
|
|
$
|
636,872
|
|
|
$
|
—
|
|
|
$
|
636,872
|
|
|
$
|
—
|
|
Available-for-sale
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
139
|
|
|
|
—
|
|
|
|
139
|
|
|
|
—
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
9,311
|
|
|
|
—
|
|
|
|
—
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
170,116
|
|
|
|
—
|
|
|
|
—
|
|
|
|
170,116
|
|
Total available-for-sale
|
|
|
179,566
|
|
|
|
—
|
|
|
|
139
|
|
|
|
179,427
|
|
Total MBS
|
|
|
816,438
|
|
|
|
—
|
|
|
|
637,011
|
|
|
|
179,427
|
|
Derivative assets, at fair value
|
|
|
504
|
|
|
|
—
|
|
|
|
504
|
|
|
|
—
|
|
Derivative liabilities, at fair value
|
|
|
(63,024
|
)
|
|
|
(63,024
|
)
|
|
|
—
|
|
|
|
—
|
|
Interest-only MBS, at fair value
|
|
|
1,060
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,060
|
|
Total
|
|
$
|
754,978
|
|
|
$
|
(63,024
|
)
|
|
$
|
637,515
|
|
|
$
|
180,487
|
|
|
December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Original loan-to-value
|
|
|
70
|
%
|
|
|
71
|
%
|
Original FICO score
|
|
|
730
|
|
|
|
729
|
|
Three-month prepayment rate
|
|
|
17
|
%
|
|
|
16
|
%
|
Three-month loss severities
|
|
|
46
|
%
|
|
|
52
|
%
|
Weighted average coupon
|
|
|
4.40
|
%
|
|
|
5.32
|
%
|
|
December 31, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|||||
Discount rate
|
|
|
6.50
|
%
|
|
|
7.43
|
%
|
|
|
7.00
|
%
|
|
|
8.75
|
%
|
Default rate
|
|
|
9.30
|
%
|
|
|
5.00
|
%
|
|
|
10.30
|
%
|
|
|
5.55
|
%
|
Loss severity rate
|
|
|
60.00
|
%
|
|
|
46.60
|
%
|
|
|
60.00
|
%
|
|
|
43.06
|
%
|
Prepayment rate
|
|
|
16.30
|
%
|
|
|
13.75
|
%
|
|
|
17.30
|
%
|
|
|
15.20
|
%
|
|
December 31, 2012
|
|
|
December 31, 2011
|
|
|||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|||||
Discount rate
|
6.50
|
%
|
6.50 – 13.25
|
%
|
7.00
|
%
|
7.45 – 13.73
|
%
|
||||||||
Default rate
|
|
|
9.30
|
%
|
|
|
0.95 – 11.10
|
%
|
|
|
10.30
|
%
|
|
|
2.10 – 13.00
|
%
|
Loss severity rate
|
60.00
|
%
|
28.26 – 57.50
|
%
|
60.00
|
%
|
28.18 – 57.50
|
%
|
||||||||
Prepayment rate
|
|
|
16.30
|
%
|
|
|
6.95 – 20.40
|
%
|
|
|
17.30
|
%
|
|
|
9.60 – 21.00
|
%
|
|
Year Ended December 31, 2012
|
|
||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
||||
Beginning balance, January 1, 2012
|
|
$
|
9,311
|
|
|
$
|
170,116
|
|
|
$
|
179,427
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
(2,463
|
)
|
|
|
(2,898
|
)
|
|
|
(5,361
|
)
|
Included in other comprehensive income
|
|
|
994
|
|
|
45
|
|
|
1,039
|
|||
Purchases
|
|
|
—
|
|
|
|
54,709
|
|
|
|
54,709
|
|
Sales
|
|
|
—
|
|
|
(34,102
|
)
|
|
|
(34,102
|
)
|
|
Payments, net
|
|
|
(1,642
|
)
|
|
|
(19,310
|
)
|
|
|
(20,952
|
)
|
Accretion of discount
|
|
|
1,319
|
|
|
|
23,007
|
|
|
|
24,326
|
|
Ending balance, December 31, 2012
|
|
$
|
7,519
|
|
|
$
|
191,567
|
|
|
$
|
199,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
(2,463
|
)
|
|
$
|
(12,711
|
)
|
|
$
|
(15,174
|
)
|
|
Year Ended December 31, 2011
|
|
||||||||||
|
Senior
Securities
|
|
|
Re-REMIC
Securities
|
|
|
Total
|
|
||||
Beginning balance, January 1, 2011
|
|
$
|
51,038
|
|
|
$
|
201,697
|
|
|
$
|
252,735
|
|
Total net gains (losses)
|
|
|
|
|
|
|
|
|
|
|
|
|
Included in earnings
|
|
|
3,631
|
|
|
|
8,718
|
|
|
|
12,349
|
|
Included in other comprehensive income
|
|
|
(6,912
|
)
|
|
|
(16,760
|
)
|
|
|
(23,672
|
)
|
Purchases
|
|
|
330
|
|
|
|
16,860
|
|
|
|
17,190
|
|
Sales
|
|
|
(37,229
|
)
|
|
|
(41,983
|
)
|
|
|
(79,212
|
)
|
Payments, net
|
|
|
(2,293
|
)
|
|
|
(12,096
|
)
|
|
|
(14,389
|
)
|
Accretion of discount
|
|
|
746
|
|
|
|
13,680
|
|
|
|
14,426
|
|
Ending balance, December 31, 2011
|
|
$
|
9,311
|
|
|
$
|
170,116
|
|
|
$
|
179,427
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date
|
|
$
|
(173
|
)
|
|
$
|
(1,050
|
)
|
|
$
|
(1,223
|
)
|
|
|
Other (loss) income, Investment (loss) gain
|
|
|||||
|
|
2012
|
|
|
2011
|
|
||
Total (losses) gains included in earnings for the period
|
|
$
|
(5,361
|
)
|
|
$
|
12,349
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized gains relating to Level 3 assets still held at the reporting date
|
|
$
|
(15,174
|
)
|
|
$
|
(1,223
|
)
|
|
December 31, 2012
|
|
December 31, 2011
|
|
|||||||||||||||||||||||||||||||||
|
Fair
Value
|
|
|
Net
Unamortized
Premium
(Discount)
|
|
|
Percent
of
Total
Fair
Value
|
|
|
Weighted
Average
Life
|
|
Weighted
Average
Rating(3)
|
|
Fair
Value
|
|
|
Net
Unamortized
Premium
(Discount)
|
|
|
Percent
of
Total
Fair
Value
|
|
|
Weighted
Average
Life
|
|
|
Weighted
Average
Rating(3)
|
|
||||||||||
Trading
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Fannie Mae
|
|
$
|
1,083,810
|
|
|
$
|
—
|
|
|
|
61.73
|
%
|
|
|
4.9
|
|
AAA
|
|
$
|
432,039
|
|
|
$
|
—
|
|
|
|
52.92
|
%
|
|
|
5.7
|
|
|
AAA
|
|
|
Freddie Mac
|
|
|
472,630
|
|
|
|
—
|
|
|
|
26.92
|
%
|
|
|
5.1
|
|
AAA
|
|
|
204,833
|
|
|
|
—
|
|
|
|
25.09
|
%
|
|
|
6.0
|
|
|
|
AAA
|
|
Available-for-sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency-backed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
|
70
|
|
|
|
—
|
|
|
|
0.01
|
%
|
|
|
2.8
|
|
AAA
|
|
|
139
|
|
|
|
—
|
|
|
|
0.01
|
%
|
|
|
5.2
|
|
|
AAA
|
|
|
Private-label
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
7,519
|
|
|
|
(6,519
|
)
|
|
|
0.43
|
%
|
|
|
5.2
|
|
C
|
|
|
9,311
|
|
|
|
(5,196
|
)
|
|
|
1.14
|
%
|
|
|
5.0
|
|
|
CC+
|
|
|
Re-REMIC securities
|
|
|
191,567
|
|
|
|
(164,422
|
)
|
|
|
10.91
|
%
|
|
|
11.4
|
|
NR
|
|
|
170,116
|
|
|
|
(131,541
|
)
|
|
|
20.84
|
%
|
|
|
9.1
|
|
|
NR
|
|
|
|
$
|
1,755,596
|
|
|
$
|
(170,941
|
)
|
|
|
100.00
|
%
|
|
|
|
|
|
|
$
|
816,438
|
|
|
$
|
(136,737
|
)
|
|
|
100.00
|
%
|
|
|
|
|
|
|
|
|
(1)
|
The Company’s MBS portfolio was primarily comprised of fixed-rate MBS at December 31, 2012 and 2011. The weighted-average coupon of the MBS portfolio at December 31, 2012 and 2011 was 4.11% and 4.85%, respectively.
|
(2)
|
As of December 31, 2012 and 2011, the Company’s MBS investments with a fair value of $1,615,421 and $731,432, respectively, were pledged as collateral for repurchase agreements.
|
(3)
|
The securities issued by Fannie Mae and Freddie Mac are not rated by any rating agency; however, they are commonly thought of as having an implied rating of “AAA.” There is no assurance, particularly given the downgrade of the U.S.’s credit rating to “AA” by Standard & Poor’s during the quarter ended September 30, 2011, that these securities would receive such a rating if they were ever rated by a rating agency. The weighted-average rating of the Company’s private-label senior securities is calculated based on face value of the securities.
|
|
|
Year Ended December 31,
|
|
|||||
|
|
2012
|
|
|
2011
|
|
||
Beginning balance
|
|
$
|
194,619
|
|
|
$
|
316,029
|
|
Accretion of discount
|
|
|
(24,326
|
)
|
|
|
(26,279
|
)
|
Reclassifications, net
|
|
|
(3,928
|
)
|
|
|
(47,478
|
)
|
Acquisitions
|
|
|
81,074
|
|
|
|
24,163
|
|
Sales
|
|
|
(39,586
|
)
|
|
|
(71,816
|
)
|
Ending balance
|
|
$
|
207,853
|
|
|
$
|
194,619
|
|
|
|
Year Ended December 31,
|
|
|||||
|
|
2012
|
|
|
2011
|
|
||
Contractually required payments receivable
|
|
$
|
187,237
|
|
|
$
|
47,228
|
|
Cash flows expected to be collected
|
|
|
135,547
|
|
|
|
43,909
|
|
Basis in acquired securities
|
|
|
54,474
|
|
|
|
19,746
|
|
|
|
December 31, 2012
|
|
|||||||||||||
|
|
Amortized
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Cost/
|
|
|
Unrealized
|
|
|
|
|
|||||||
|
|
Cost Basis
(1)
|
|
|
Gains
|
|
|
Losses
|
|
|
Fair Value
|
|
||||
Agency-backed MBS
|
|
$
|
64
|
|
|
$
|
6
|
|
|
$
|
—
|
|
|
$
|
70
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
5,611
|
|
|
|
1,908
|
|
|
|
—
|
|
|
|
7,519
|
|
Re-REMIC securities
|
|
|
154,067
|
|
|
|
37,500
|
|
|
|
—
|
|
|
|
191,567
|
|
Total
|
|
$
|
159,742
|
|
|
$
|
39,414
|
|
|
$
|
—
|
|
|
$
|
199,156
|
|
(1)
|
The amortized cost of MBS includes unamortized net discounts of $170,941 at December 31, 2012.
|
|
|
December 31, 2011
|
|
|||||||||||||
|
|
Amortized
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Cost/
|
|
|
Unrealized
|
|
|
|
|
|||||||
|
|
Cost Basis
(1)
|
|
|
Gains
|
|
|
Losses
|
|
|
Fair Value
|
|
||||
Agency-backed MBS
|
|
$
|
128
|
|
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
139
|
|
Private-label MBS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Senior securities
|
|
|
8,397
|
|
|
|
914
|
|
|
|
—
|
|
|
|
9,311
|
|
Re-REMIC securities
|
|
|
132,661
|
|
|
|
37,455
|
|
|
|
—
|
|
|
|
170,116
|
|
Total
|
|
$
|
141,186
|
|
|
$
|
38,380
|
|
|
$
|
—
|
|
|
$
|
179,566
|
|
(1)
|
The amortized cost of MBS includes unamortized net discounts of $136,737 at December 31, 2011.
|
|
Year Ended December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Cumulative other-than-temporary impairment beginning balance
|
|
$
|
8,594
|
|
|
$
|
7,371
|
|
Additions
|
|
|
|
|
|
|
|
|
Other-than-temporary impairments not previously recognized
|
|
|
13,986
|
|
|
|
1,223
|
|
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments
|
|
|
1,188
|
|
|
|
—
|
|
Cumulative other-than-temporary impairment ending balance
|
|
$
|
23,768
|
|
|
$
|
8,594
|
|
Year Ended December 31,
|
||||||||||||||||
|
2012
|
|
|
2011
|
|
|||||||||||
|
Agency-
Backed MBS
|
|
|
Private-Label MBS
|
|
|
Agency-
Backed MBS
|
|
|
Private-Label MBS
|
|
|||||
Proceeds from sales
|
|
$
|
379,271
|
|
|
$
|
34,102
|
|
|
$
|
242,673
|
|
|
$
|
79,211
|
|
Gross gains
|
|
|
5,223
|
|
|
|
9,813
|
|
|
|
4,316
|
|
|
|
13,220
|
|
Gross losses
|
|
|
395
|
|
|
|
—
|
|
|
|
388
|
|
|
|
191
|
|
|
December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Interest-only MBS
|
|
$
|
478
|
|
|
$
|
1,060
|
|
Non-public equity securities
|
|
|
975
|
|
|
|
975
|
|
Investments funds
|
|
|
894
|
|
|
|
911
|
|
Total other investments
|
|
$
|
2,347
|
|
|
$
|
2,946
|
|
Note 4.
|
Borrowings:
|
|
December 31,
|
|
||||||
|
2012
|
|
|
2011
|
|
|||
Outstanding balance
|
|
$
|
1,497,191
|
|
|
$
|
647,977
|
|
Value of assets pledged as collateral
|
|
|
|
|
|
|
|
|
Agency-backed MBS
|
|
|
1,547,760
|
|
|
|
653,322
|
|
Private-label MBS
|
|
|
67,661
|
|
|
|
78,110
|
|
Weighted-average rate
|
|
|
0.52
|
%
|
|
|
0.49
|
%
|
Weighted-average term to maturity
|
|
14.5 days
|
|
|
13.1 days
|
|
||
Weighted-average outstanding balance during the year ended
|
|
$
|
953,152
|
|
|
$
|
559,086
|
|
Weighted-average rate during the year ended
|
|
|
0.46
|
%
|
|
|
0.36
|
%
|
Note 5.
|
Derivative Financial Instruments and Hedging Activities:
|
|
|
December 31, 2012
|
|
|
December 31, 2011
|
|
||||||||||
|
|
Notional Amount
|
|
|
Fair Value
|
|
|
Notional Amount
|
|
|
Fair Value
|
|
||||
No hedge designation
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
Eurodollar futures
(1)
|
|
$
|
17,525,000
|
|
|
$
|
(76,850
|
)
|
|
$
|
12,157,000
|
|
|
$
|
(62,556
|
)
|
10-year U.S. Treasury note futures
(2)
|
|
|
—
|
|
|
|
—
|
|
|
39,700
|
|
|
|
(468
|
)
|
|
Commitment to purchase MBS
(3)
|
|
|
—
|
|
|
|
—
|
|
|
|
75,000
|
|
|
|
504
|
(1)
|
The $17,525,000 total notional amount of Eurodollar futures contracts as of December 31, 2012 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between 2013 and 2018. As of December 31, 2012, the Company maintained $85,652 as a deposit and margin against the open Eurodollar futures contracts.
|
(2)
|
The total notional amount of 10-year U.S. Treasury note futures represents the accumulation of 10-year U.S. Treasury note futures.
|
(3)
|
The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate MBS securities.
|
Note 6.
|
Income Taxes:
|
|
●
|
the sustainability of recent operating profitability;
|
|
●
|
the predictability of future operating profitability of the character necessary to realize the deferred tax assets; and
|
|
●
|
the carryforward periods for the net operating loss and capital loss carryforwards.
|
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|||
Federal
|
|
$
|
(123,205)
|
|
|
$
|
698
|
|
$
|
(329
|
)
|
|
State
|
|
|
(37,616)
|
|
|
|
797
|
|
|
|
835
|
|
|
$
|
(160,821
|
)
|
|
$
|
1,495
|
|
|
$
|
506
|
|
|
Current
|
|
$
|
1,889
|
|
|
$
|
1,495
|
|
|
$
|
506
|
|
Deferred
|
|
|
(162,710
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
$
|
(160,821
|
)
|
|
$
|
1,495
|
|
|
$
|
506
|
|
|
|
2012
|
|
|
2011
|
|
||
Unrealized investment gains and losses
|
|
$
|
54,761
|
|
|
$
|
43,930
|
|
Accrued compensation
|
|
|
(266
|
)
|
|
|
(644
|
)
|
Capital loss carry-forward
|
|
|
116,918
|
|
|
|
159,724
|
|
Other, net
|
|
|
19,683
|
|
|
|
17,675
|
|
Net operating loss
|
|
|
94,423
|
|
|
|
114,489
|
|
Unrealized gain on AFS securities
|
|
|
(16,160
|
)
|
|
|
(15,731
|
)
|
Valuation allowance
|
|
|
(107,078
|
)
|
|
|
(319,443
|
)
|
Net deferred tax asset
|
|
$
|
162,281
|
|
|
$
|
—
|
|
|
|
December 31,
|
|
|||||||||
|
|
2012
|
|
|
2011
|
|
|
2010
|
|
|||
Federal income tax at statutory rate
|
|
$
|
10,852
|
|
|
$
|
5,853
|
|
|
$
|
9,482
|
|
State income taxes, net of federal benefit
|
|
|
1,813
|
|
|
|
1,357
|
|
|
|
2,115
|
|
Executive compensation
|
|
|
—
|
|
|
|
1,075
|
|
|
|
1,057
|
|
Effect of stock based compensation
|
|
|
—
|
|
|
|
1,330
|
|
|
|
1,787
|
|
Expiration of capital loss carryover
|
|
|
37,935
|
|
|
|
66,439
|
|
|
|
—
|
|
Other, net
|
|
|
945
|
|
|
294
|
|
|
|
187
|
||
Valuation allowance
|
|
|
(212,366
|
)
|
|
|
(74,853
|
)
|
|
|
(14,122
|
)
|
Total income tax (benefit) provision
|
|
$
|
(160,821
|
)
|
|
$
|
1,495
|
|
|
$
|
506
|
|
|
|
2012
|
|
|
2011
|
|
||
Balance at January 1
|
|
$
|
12,810
|
|
|
$
|
12,810
|
|
Additions based on tax positions related to the current year
|
|
|
—
|
|
|
|
—
|
|
Additions for tax positions of prior years
|
|
|
—
|
|
|
|
—
|
|
Reductions for tax positions of prior years
|
|
|
—
|
|
|
|
—
|
|
Settlements
|
|
|
—
|
|
|
|
—
|
|
Balance at December 31
|
|
$
|
12,810
|
|
|
$
|
12,810
|
|
Note 7.
|
Commitments and Contingencies:
|
|
2013
|
|
|
2014
|
|
|
2015
|
|
|
2016
|
|
|
2017
|
|
|
Thereafter
|
|
|
Total
|
|
||||||||
Borrowings
(1)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,000
|
|
|
$
|
15,000
|
|
Minimum rental and other contractual commitments
(2)
|
|
|
269
|
|
|
|
256
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
525
|
|
Capital commitments
(3)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
$
|
269
|
|
|
$
|
256
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,000
|
|
|
$
|
15,525
|
|
(1)
|
This table excludes interest payments to be made on the Company’s long-term debt securities. Based on the weighted average interest rate of 3.09% as of December 31, 2012, approximately $116 in accrued interest on the current outstanding principal will be paid for the quarter ending March 31, 2013. Interest on the $15,000 of long-term debt is based on the 3-month LIBOR; therefore, actual coupon interest will likely differ from this estimate. These long-term debt securities mature beginning in October 2033 through July 2035.
|
(2)
|
Equipment and office rent expense for 2012, 2011 and 2010 was $263, $173 and $162, respectively.
|
(3)
|
The table above excludes $619 of uncalled capital commitments to various investment partnerships that may be called over the next ten years. This amount was excluded because the Company cannot currently determine when, if ever, the commitments will be called. Also, the table above does not include a liability for unrecognized income tax benefits of $12,810 that are not contractual obligations by nature. The Company cannot determine, with any degree of certainty, the amount that would be payable or the period of cash settlement to the respective taxing jurisdiction.
|
Note 8.
|
Shareholders’ Equity:
|
Offering date
|
March 26, 2012
|
September 26, 2012
|
||||||
Shares offered to public
|
1,755,000 | 3,000,000 | ||||||
Underwriter’s over-allotment
|
263,250 | 450,000 | ||||||
Total shares of Class A common stock
|
2,018,250 | 3,450,000 | ||||||
Offering price per share
|
$ | 23.90 | $ | 24.80 | ||||
Net proceeds
(1)
|
$ | 46,015 | $ | 83,234 |
(1)
|
Net of underwriting discounts and commissions and expenses.
|
Quarter Ended
|
Dividend Amount
|
Declaration Date
|
Record Date
|
Pay Date
|
||||||
December 31
|
$ | 0.875 |
December 5
|
December 17
|
December 31
|
|||||
September 30
|
0.875 |
September 13
|
September 28
|
October 31
|
||||||
June 30
|
0.875 |
June 15
|
June 29
|
July 31
|
||||||
March 31
|
0.875 |
March 16
|
March 26
|
April 30
|
Quarter Ended
|
Dividend Amount
|
Declaration Date
|
Record Date
|
Pay Date
|
||||||
December 31
|
$ | 0.875 |
December 21
|
December 31
|
January 31, 2012
|
|||||
September 30
|
0.875 |
September 19
|
September 30
|
October 31
|
||||||
June 30
|
0.875 |
June 23
|
July 5
|
July 29
|
||||||
March 31
|
0.750 |
March 24
|
April 4
|
April 29
|
|
Number of
Shares
|
|
|
Weighted-average
Grant-date Fair
Value
|
|
|
Weighted-average
Remaining Vested
Period
|
|
||||
Share Balance as of December 31, 2009
|
|
|
263,878
|
|
|
$
|
59.40
|
|
|
|
1.2
|
|
Forfeitures
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
Vestitures
|
|
|
(131,632
|
)
|
|
|
59.20
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2010
|
|
|
132,246
|
|
|
|
59.40
|
|
|
|
0.2
|
|
Granted
|
14,000
|
27.66
|
—
|
|||||||||
Forfeitures
|
|
|
(15
|
)
|
|
|
125.00
|
|
|
|
—
|
|
Vestitures
|
|
|
(131,025
|
)
|
|
|
58.80
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2011
|
|
|
15,206
|
|
|
|
35.40
|
|
|
|
2.0
|
|
Granted
|
|
|
25,500
|
|
|
|
22.99
|
|
|
|
—
|
|
Forfeitures
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
Vestitures
|
|
|
(5,871
|
)
|
|
|
47.60
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2012
|
|
|
34,835
|
|
|
|
24.24
|
|
|
|
2.2
|
|
|
Number of
Shares
|
|
|
Weighted-average
Grant-date Fair
Value
|
|
|
Weighted-average
Remaining Vesting
Period
|
|
||||
Share Balance as of December 31, 2009
|
|
|
15,415
|
|
|
$
|
247.00
|
|
|
|
0.8
|
|
Shares issued to Trust
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Shares distributed from Trust
|
|
|
(4,609
|
)
|
|
|
84.60
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2010
|
|
|
10,806
|
|
|
|
285.00
|
|
|
|
0.2
|
|
Shares issued to Trust
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Shares distributed from Trust
|
|
|
(1,651
|
)
|
|
|
56.00
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2011
|
|
|
9,155
|
|
|
|
310.40
|
|
|
|
0.0
|
|
Shares issued to Trust
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
Shares distributed from Trust
|
|
|
—
|
|
|
—
|
|
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Share Balance as of December 31, 2012
|
|
|
9,155
|
|
|
|
310.40
|
|
|
|
0.0
|
|
|
Year Ended
|
|
||||||||||
|
2012
|
|
|
2011
|
|
|
2010
|
|
||||
Shares repurchased
|
|
|
41,790
|
|
|
|
8,910
|
|
|
|
243,815
|
|
Total cost
|
|
$
|
786
|
|
|
$
|
229
|
|
|
$
|
4,903
|
|
Average price
|
|
$
|
18.79
|
|
|
$
|
25.70
|
|
|
$
|
20.08
|
|
Note 9.
|
Financial Instruments with Off-Balance-Sheet Risk and Credit Risk:
|
Note 10.
|
Quarterly Data (Unaudited):
|
|
Net Interest Income
|
|
|
Net Income (Loss)
|
|
|
Basic Earnings
(Loss) Per Share
|
|
|
Diluted Earnings
(Loss) Per Share
|
|
|||||
2012
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
First Quarter
|
|
$
|
12,546
|
|
|
$
|
10,762
|
|
|
$
|
1.37
|
|
|
$
|
1.37
|
|
Second Quarter
|
|
|
14,914
|
|
|
|
2,144
|
|
|
|
0.22
|
|
|
|
0.22
|
|
Third Quarter
|
|
|
14,271
|
|
|
|
3,123
|
|
|
0.31
|
|
|
0.31
|
|||
Fourth Quarter
|
|
|
17,458
|
|
|
|
175,797
|
|
|
|
13.30
|
|
|
|
13.21
|
|
Total Year
|
|
$
|
59,189
|
|
|
$
|
191,826
|
|
|
|
18.80
|
|
|
|
18.73
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
First Quarter
|
|
$
|
12,063
|
|
|
$
|
19,785
|
|
|
$
|
2.58
|
|
|
$
|
2.58
|
|
Second Quarter
|
|
|
12,670
|
|
|
|
91
|
|
|
|
0.01
|
|
|
|
0.01
|
|
Third Quarter
|
|
|
12,404
|
|
|
|
(11,643
|
)
|
|
|
(1.50
|
)
|
|
|
(1.50
|
)
|
Fourth Quarter
|
|
|
12,900
|
|
|
|
6,940
|
|
|
|
0.90
|
|
|
|
0.89
|
|
Total Year
|
|
$
|
50,037
|
|
|
$
|
15,173
|
|
|
|
1.97
|
|
|
|
1.96
|
|
1 Year C3 AI Chart |
1 Month C3 AI Chart |
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