Exhibit 99.1
Hatteras Financial Corp. Announces Third Quarter 2012 Financial Results
WINSTON-SALEM, N.C.--(BUSINESS WIRE)--October 23, 2012--Hatteras Financial Corp. (NYSE: HTS) (“Hatteras” or the “Company”) today announced financial results for the quarter ended September 30, 2012.
Third Quarter 2012 Highlights
- Generated net income of $0.83 per weighted average share
- Declared an $0.80 per share dividend
- Quarter end book value of $29.60 per share, up 7.8% from June 30, 2012
- Earned a net return on average equity of 11.64%
- Realized average net interest spread of 1.22%
- Weighted average constant prepayment rate of 20.5
- Annualized total expense ratio of 0.84% of average shareholders’ equity
- Issued $278.3 million of preferred stock at an annual rate of 7.625%
Third Quarter 2012 Results
During the quarter ended September 30, 2012, the Company earned net income of $82.0 million, or $0.83 per diluted common share, compared to net income of $89.1 million, or $0.91 per diluted common share, during the quarter ended June 30, 2012. Net interest income for the quarter ended September 30, 2012 was $79.6 million, compared to $83.0 million for the quarter ended June 30, 2012 reflecting the continued compression of net interest margin. The Company’s average earning assets increased to $24.4 billion for the third quarter of 2012 from $21.1 billion in the second quarter of 2012 as the Company deployed the proceeds from its $278.3 million preferred stock offering completed in the third quarter of 2012. The Company’s net interest margin decreased to 1.22% for the third quarter of 2012 from 1.49% in the second quarter of 2012 as a result of compression in portfolio yield. The Company’s cost of funds (including hedges) was 0.94%, unchanged from the second quarter of 2012. The Company’s average repurchase agreement (repo) rate for the third quarter of 2012 was 0.41%, up from 0.36% in the second quarter of 2012. The weighted average interest rate on interest rate swaps declined from 1.54% in the second quarter of 2012 to 1.48% in the third quarter as maturing swaps were generally replaced with new lower-cost swap positions. Operating expenses were relatively flat with prior quarter at $6.0 million for the third quarter of 2012 versus $6.1 million for the second quarter of 2012. Total annualized expenses were 0.84% of average shareholders’ equity for the quarter ended September 30, 2012, slightly below the previous quarter at 0.88%.
“We are pleased with our third quarter results,” said Michael R. Hough, the Company’s Chief Executive Officer “especially considering recent changes we’ve seen in the rate markets. While we reduced our common dividend by $0.10 per share, it was appropriate given the current market and our consistent approach to the business. We have no interest in reaching for return, especially in this market, where yield and spread products in general have further declined to new lows.”
“On the equity side of the balance sheet, we are pleased that our book value per share was up 7.8% from June 30, 2012. During the quarter our portfolio realized the combined benefits of lower interest rates, a significant basis change in mortgage-backed securities, and the opportune timing of our preferred stock offering in August. We were pleased to have had access to this market for the first time and for the attractive cost of this long term capital. Also, we were able to invest the proceeds quickly into securities that directly benefitted from the Federal Reserve’s new quantitative easing program.”
Dividend
The Company declared a dividend of $0.80 per share of common stock with respect to the quarter ended September 30, 2012, compared to a $0.90 per share dividend for the quarter ended June 30, 2012. Using the closing share price of $28.19 on September 30, 2012, the third quarter dividend equates to an annualized dividend yield of 11.4%.
The Company declared a dividend of $0.254167 per share of the Company's 7.625% Series A Cumulative Redeemable Preferred Stock (the "Series A Preferred Stock") with respect to the quarter ended September 30, 2012. The dividend represents the pro-rated dividend for the period from the issuance date of the Series A Preferred Stock through October 14, 2012, based on a quarterly dividend of $0.4765625 per share.
Preferred Stock Offering
On August 27, 2012, the Company completed a public offering of 11,500,000 shares of its Series A Preferred Stock, including 1,500,000 shares issued pursuant to the underwriters’ overallotment option. The Series A Preferred Stock was sold at a gross price of $25.00 per share, resulting in net proceeds of $278.3 million after payment of the underwriting discount and other expenses. The Series A preferred stock pays dividends quarterly at a rate of 7.625% per year. The offering was the Company’s first issuance of preferred equity.
Portfolio
The Company’s weighted average earning assets, consisting of residential mortgage securities issued by Fannie Mae and Freddie Mac (“agency securities”), grew to $24.4 billion for the quarter ended September 30, 2012, compared to $21.1 billion for the previous quarter. The portfolio’s weighted average coupon was 2.99% for the third quarter of 2012, compared to 3.18% for the second quarter of 2012, reflecting lower rates on new security purchases. The annualized yield on average assets was 2.16% for the third quarter of 2012, compared to 2.43% for the second quarter of 2012.
At September 30, 2012, the Company’s portfolio of agency securities consisted of 83.2% of adjustable-rate agency securities and 16.8% of 15-year fixed-rate agency securities. At September 30, 2012, the Company owned $22.0 billion of adjustable-rate agency securities with a weighted average coupon of 3.07% and a weighted average cost basis of $102.71, and $4.4 billion of 15-year fixed-rate agency securities with a weighted average coupon of 2.63%, and a weighted average cost basis of $103.55. The Company’s adjustable-rate agency securities portfolio at September 30, 2012 is summarized below.
| |||||||||||||
(dollars in thousands) | % of ARM | Current | Weighted Avg. | Weighted Avg. Amortized | Weighted Avg. | ||||||||
| Months to Reset | Portfolio | Face value | Coupon | Purchase Price | Amortized Cost | Market Price | Market Value | ||||||
| 0-12 | 5.0% | $ 1,023,762 | 4.40% | $ 101.28 | $ 1,036,872 | $ 107.17 | $ 1,097,137 | ||||||
| 13-24 | 2.0% | 419,020 | 3.99% | $ 101.63 | 425,862 | $ 106.68 | 447,006 | ||||||
| 25-36 | 10.9% | 2,252,591 | 3.83% | $ 102.32 | 2,304,796 | $ 105.96 | 2,386,779 | ||||||
| 37-48 | 16.5% | 3,445,028 | 3.13% | $ 102.43 | 3,528,608 | $ 105.10 | 3,620,883 | ||||||
| 49-60 | 16.8% | 3,508,827 | 2.70% | $ 102.82 | 3,607,928 | $ 105.03 | 3,685,378 | ||||||
| 61-72 | 15.4% | 3,193,506 | 3.32% | $ 102.51 | 3,273,586 | $ 106.04 | 3,386,420 | ||||||
| 73-84 | 30.6% | 6,366,502 | 2.57% | $ 103.26 | 6,573,917 | $ 105.41 | 6,710,844 | ||||||
| 85-96 | 0.3% | 70,091 | 3.55% | $ 103.81 | 72,763 | $ 106.47 | 74,625 | ||||||
| 97-108 | 0.1% | 17,793 | 3.64% | $ 103.50 | 18,416 | $ 106.20 | 18,897 | ||||||
| 109-120 | 2.4% | 499,404 | 2.85% | $ 103.49 | 516,823 | $ 105.69 | 527,831 | ||||||
| Total ARMS | 100.0% | $ 20,796,524 | 3.07% | $ 102.71 | $ 21,359,571 | $ 105.57 | $ 21,955,800 |
During the third quarter of 2012, the expense of amortizing the premium on the Company’s securities was $47.2 million, compared to $35.9 million during the second quarter of 2012. The weighted average principal repayment rate (scheduled and unscheduled principal payments as a percentage of the weighted-average portfolio, on an annual basis) during the third quarter of 2012 was 27.6%, compared to 25.4% during the second quarter of 2012. The Company’s weighted average one-month constant prepayment rate (“CPR”) for the quarter ended September 30, 2012 was 20.5 annualized, as compared to 19.7 for the quarter ended June 30, 2012. CPR measures the unscheduled repayment rate as a percentage of principal on an annualized basis.
Portfolio Financing and Leverage
At September 30, 2012, the Company financed its portfolio with approximately $23.6 billion of borrowings under repurchase agreements bearing fixed interest rates until maturity. The Company’s repurchase debt-to-shareholders’ equity ratio at September 30, 2012, was 7.3 to 1, down from 7.5 to 1 at June 30, 2012. At September 30, 2012, the Company’s repurchase agreements had a weighted average remaining term of approximately 24 days. The Company also uses interest rate swap agreements to synthetically extend the fixed interest period of these liabilities and hedge against the interest rate risk associated with financing the Company’s portfolio. As of September 30, 2012, the Company had entered into interest rate swaps with a notional amount of $10.9 billion. The swap agreements, which are indexed to 30-day LIBOR, have an average remaining term of 34 months at an average fixed rate of 1.48%. Included in these totals are $2.8 billion of forward-starting interest rate swaps which begin over the next 17 months.
Book Value
The Company’s book value (shareholders’ equity less preferred stock liquidation preference) per common share on September 30, 2012 was $29.60, an increase of $2.15, from the per share book value of $27.45 on June 30, 2012. The increase in book value during the quarter was due to the increase in the value of the Company’s agency securities exceeding the increase in loss on the Company’s interest rate swap contracts. On a per share basis, the per share book value at September 30, 2012 consisted of $25.14 of common equity, $0.05 of retained earnings, $7.16 of unrealized gains on agency securities, and offset by $2.75 of unrealized losses on interest rate swaps.
Conference Call
The Company will host a conference call at 10:00 a.m. EDT on Wednesday October 24, 2012, to discuss financial results for the third quarter ended September 30, 2012. To participate in the event by telephone, please dial (877) 317-6789 five to 10 minutes prior to the start time (to allow time for registration) and ask to join the “Hatteras Financial” conference call. International callers should dial (412) 317-6789. Canada callers should dial (866) 605-3852. A digital replay of the call will be available on Wednesday, October 24, 2012 at approximately 12:00 noon ET through Thursday, November 1, 2012 at 9:00 a.m. ET. Dial (877) 344-7529 and enter the conference ID number 10020096. International callers should dial (412) 317-0088 and enter the same conference ID number. The conference call will also be webcast live over the Internet and can be accessed at Hatteras' web site at www.hatfin.com. To monitor the live webcast, please visit the web site at least 15 minutes prior to the start of the call to register, download, and install any necessary audio software. An audio replay of the event will be archived on Hatteras' web site.
About Hatteras Financial Corp.
Hatteras Financial is a real estate investment trust formed in 2007 to invest in single-family residential mortgage pass-through securities guaranteed or issued by U.S. Government agencies or U.S. Government-sponsored entities, such as Fannie Mae, Freddie Mac or Ginnie Mae. Based in Winston-Salem, N.C., Hatteras is managed and advised by Atlantic Capital Advisors LLC. Hatteras is a component of the Russell 1000® index.
Forward-Looking Statements
This press release, together with other statements and information publicly disseminated by the Company, contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. The Company intends such forward-looking statements to be covered by the safe harbor provisions for forward-looking statements contained in the Private Securities Litigation Reform Act of 1995 and includes this statement for purposes of complying with these safe harbor provisions. Forward-looking statements, which are based on certain assumptions and describe the Company's future plans, strategies and expectations, are generally identifiable by use of the words "believe,"”will,” "expect," "intend," "anticipate," "estimate,"”should,” "project" or similar expressions. You should not rely on forward-looking statements since they involve known and unknown risks, uncertainties and other factors that are, in some cases, beyond the Company's control and which could materially affect actual results, performances or achievements. Forward-looking statements in this press release include statements about the current market, mortgage rates, net interest margins and the Company’s long-term return profile. Factors that may cause actual results to differ materially from current expectations include the risk factors discussed in the Company’s Annual Report on Form 10-Kfor the year ended December 31, 2011, as updated by the Company’s Quarterly Reports on Form 10-Q. Accordingly, there is no assurance that the Company's expectations will be realized. Except as otherwise required by the federal securities laws, the Company disclaims any obligation or undertaking to publicly release any updates or revisions to any forward-looking statement contained herein (or elsewhere) to reflect any change in the Company’s expectations with regard thereto or any change in events, conditions or circumstances on which any such statement is based.
Table 1 | |||
| Hatteras Financial Corp. | |||
| Balance Sheets | |||
| (Dollars in thousands, except per share amounts) | (Unaudited) | ||
September 30, 2012 | December 31, 2011 | ||
| Assets | |||
| Mortgage-backed securities, at fair value | |||
| (including pledged assets of $24,857,784 and $17,012,472 at September 30, 2012 | $26,375,137 | $17,741,873 | |
| and December 31, 2011, respectively) | |||
| Cash and cash equivalents | 150,846 | 347,045 | |
| Restricted cash | 302,180 | 237,014 | |
| Unsettled purchased mortgage-backed securities, at fair value | 120,478 | 49,630 | |
| Accrued interest receivable | 80,056 | 63,025 | |
| Principal payments receivable | 182,195 | 105,333 | |
| Debt security, held to maturity, at cost | 15,000 | 15,000 | |
| Other assets | 49,795 | 27,799 | |
| Total assets | $27,275,687 | $18,586,719 | |
| Liabilities and shareholders’ equity | |||
| Repurchase agreements | $23,583,180 | $16,162,375 | |
| Payable for unsettled securities | 118,925 | 48,999 | |
| Accrued interest payable | 4,729 | 4,596 | |
| Interest rate hedge liability | 273,120 | 219,167 | |
| Dividend payable | 81,118 | 69,141 | |
| Accounts payable and other liabilities | 2,059 | 2,253 | |
| Total liabilities | $24,063,131 | $16,506,531 | |
| Shareholders’ equity: | |||
| 7.625% Series A Cumulative Redeemable Preferred stock, $.001 par value, 25,000,000 | |||
| shares authorized, 11,500,000 shares issued and outstanding at September 30, 2012 | |||
| and none at December 31, 2011 ($287,500 aggregate liquidation preference) | 278,263 | – | |
| Common stock, $.001 par value, 200,000,000 shares authorized, | |||
| 98,809,404 and 76,823,220 shares issued and outstanding at | |||
| September 30, 2012 and December 31, 2011, respectively | 99 | 77 | |
| Additional paid-in capital | 2,493,704 | 1,904,748 | |
| Retained earnings | 5,266 | 2,041 | |
| Accumulated other comprehensive income | 435,224 | 173,322 | |
| Total shareholders’ equity | 3,212,556 | 2,080,188 | |
| Total liabilities and shareholders’ equity | $ 27,275,687 | $ 18,586,719 | |
Table 2 | |||||||||||
| Hatteras Financial Corp. | |||||||||||
| Statements of Income | |||||||||||
| (Unaudited) | |||||||||||
| (Dollars in thousands, except per share amounts) | Three months | Three months | Nine months | Nine months | |||||||
| Ended | Ended | Ended | Ended | ||||||||
| September 30, 2012 | September 30, 2011 | September 30, 2012 | September 30, 2011 | ||||||||
| Interest income: | |||||||||||
| Interest income on mortgage-backed securities | $ | 131,940 | $ | 110,125 | $ | 373,420 | $ | 310,248 | |||
| Interest income on other investments | 387 | 380 | 1,160 | 1,051 | |||||||
| Interest income | 132,327 | 110,505 | 374,580 | 311,299 | |||||||
| Interest expense | 52,767 | 40,259 | 140,045 | 102,363 | |||||||
| Net interest income | 79,560 | 70,246 | 234,535 | 208,936 | |||||||
| Operating expenses: | |||||||||||
| Management fee | 4,557 | 3,572 | 12,711 | 10,195 | |||||||
| Share based compensation | 447 | 334 | 1,301 | 735 | |||||||
| General and administrative | 1,040 | 688 | 3,269 | 1,992 | |||||||
| Total operating expenses | 6,044 | 4,594 | 17,281 | 12,922 | |||||||
| Other income: | |||||||||||
| Gain on sale of mortgage-backed securities | 10,534 | 13,330 | 25,244 | 17,735 | |||||||
| Net income | 84,050 | 78,982 | 242,498 | 213,749 | |||||||
| Dividends on preferred stock | 2,070 | 0 | 2,070 | 0 | |||||||
| Net income available to common shareholders | $ | 81,980 | $ | 78,982 | $ | 240,428 | $ | 213,749 | |||
| Earnings per share - common stock, basic | $ | 0.83 | $ | 1.04 | $ | 2.63 | $ | 3.05 | |||
| Earnings per share - common stock, diluted | $ | 0.83 | $ | 1.04 | $ | 2.63 | $ | 3.05 | |||
| Dividends per share of common stock | $ | 0.80 | $ | 1.00 | $ | 2.60 | $ | 3.00 | |||
| Weighted average common shares outstanding, basic | 98,233,589 | 75,743,002 | 91,296,338 | 70,057,263 | |||||||
| Weighted average common shares outstanding, diluted | 98,233,589 | 75,743,002 | 91,296,338 | 70,057,263 | |||||||
Table 3 | |||||||
| Hatteras Financial Corp | |||||||
| Statements of Comprehensive Income | |||||||
| (Unaudited) | |||||||
| (Dollars in thousands) | |||||||
| For the three | For the three | For the nine | For the nine | ||||
| months ended | months ended | months ended | months ended | ||||
| September 30, 2012 | September 30, 2011 | September 30, 2012 | September 30, 2011 | ||||
| Net income | $84,050 | $78,982 | $242,498 | $213,749 | |||
| Other comprehensive income: | |||||||
| Net unrealized gains on securities available for sale | 222,946 | 85,953 | 295,018 | 182,904 | |||
| Net unrealized losses on interest rate hedges | (1,382) | (116,032) | (33,116) | (171,600) | |||
| Other comprehensive income | 221,564 | (30,079) | 261,902 | 11,304 | |||
| Comprehensive income | $305,614 | $48,903 | $504,400 | $225,053 | |||
Table 4 | |||||||||||||||||||
Key Statistics (Amounts are unaudited and subject to change) | |||||||||||||||||||
| (in thousands, except per share amounts) | |||||||||||||||||||
| Three months ended (unaudited) | |||||||||||||||||||
| September 30, 2012 | June 30, 2012 | March 31, 2012 | December 31, 2011 | September 30, 2011 | |||||||||||||||
| Statement of Income Data | |||||||||||||||||||
| Interest income | $ | 132,327 | $ | 129,161 | $ | 113,092 | $ | 114,821 | $ | 110,505 | |||||||||
| Interest Expense | (52,767 | ) | (46,169 | ) | (41,109 | ) | (42,299 | ) | (40,259 | ) | |||||||||
| Net Interest Income | 79,560 | 82,992 | 71,983 | 72,522 | 70,246 | ||||||||||||||
| Gain on sale of mortgage-backed securities | 10,534 | 12,205 | 2,505 | 2,841 | 13,330 | ||||||||||||||
| Operating Expenses | (6,044 | ) | (6,053 | ) | (5,184 | ) | (4,738 | ) | (4,594 | ) | |||||||||
| Net income | 84,050 | 89,144 | 69,304 | 70,625 | 78,982 | ||||||||||||||
| Dividends on preferred stock | (2,070 | ) | – | – | – | – | |||||||||||||
| Net income available to common shareholders | $ | 81,980 | $ | 89,144 | $ | 69,304 | $ | 70,625 | $ | 78,982 | |||||||||
| Earnings per share - common stock, basic | $ | 0.83 | $ | 0.91 | $ | 0.89 | $ | 0.92 | $ | 1.04 | |||||||||
| Earnings per share - common stock, diluted | $ | 0.83 | $ | 0.91 | $ | 0.89 | $ | 0.92 | $ | 1.04 | |||||||||
| Weighted average shares outstanding | 98,234 | 97,969 | 77,610 | 76,606 | 75,743 | ||||||||||||||
| Distributions per common share | $ | 0.80 | $ | 0.90 | $ | 0.90 | $ | 0.90 | $ | 1.00 | |||||||||
| Key Portfolio Statistics | |||||||||||||||||||
| Average MBS | $ | 24,414,506 | $ | 21,149,623 | $ | 17,259,040 | $ | 17,608,752 | $ | 16,192,903 | |||||||||
| Average Repurchase Agreements | $ | 22,541,260 | $ | 19,599,942 | $ | 15,981,764 | $ | 16,280,835 | $ | 14,884,196 | |||||||||
| Average Equity | $ | 2,889,126 | $ | 2,762,948 | $ | 2,113,079 | $ | 2,040,843 | $ | 2,035,296 | |||||||||
| Average Portfolio Yield | 2.16 | % | 2.43 | % | 2.61 | % | 2.60 | % | 2.72 | % | |||||||||
| Average Cost of Funds | 0.94 | % | 0.94 | % | 1.03 | % | 1.04 | % | 1.08 | % | |||||||||
| Interest Rate Spread | 1.22 | % | 1.49 | % | 1.58 | % | 1.56 | % | 1.64 | % | |||||||||
| Return on Average Equity | 11.64 | % | 12.91 | % | 13.12 | % | 13.84 | % | 15.52 | % | |||||||||
| Average Annual Portfolio Repayment Rate | 27.61 | % | 25.42 | % | 25.67 | % | 27.39 | % | 28.55 | % | |||||||||
| Debt to Equity (at period end) | 7.3:1 | 7.5:1 | 6.2:1 | 7.8:1 | 7.9:1 | ||||||||||||||
| Debt to Additional Paid in Capital at period end) | 8.5:1 | 8.1:1 | 6.7:1 | 8.5:1 | 8.4:1 | ||||||||||||||
Note: The average data presented above are computed from the Company’s books and records, using daily weighted values. All percentages are annualized. |
Table 5 | ||||||||||
Mortgage-backed Securities Portfolio as of September 30, 2012 (Amounts are unaudited and subject to change) | ||||||||||
| (dollars in thousands) | MBS | Gross | Gross | |||||||
| Amortized | Unrealized | Unrealized | Estimated | |||||||
| Cost | Loss | Gain | Fair Value | % of Total | ||||||
| Agency MBS | ||||||||||
| Fannie Mae Certificates | ||||||||||
| ARMS | $ 14,098,876 | $ - | $ 410,435 | $ 14,509,311 | 55.0% | |||||
| Fixed Rate | 2,900,357 | - | 56,611 | $ 2,956,968 | 11.2% | |||||
| Total Freddie Mae | 16,999,233 | - | 467,046 | $ 17,466,279 | ||||||
| Freddie Mac Certificates | ||||||||||
| ARMS | 7,260,695 | - | 185,794 | $ 7,446,489 | 28.2% | |||||
| Fixed Rate | 1,436,190 | - | 26,179 | $ 1,462,369 | 5.6% | |||||
| Total Fannie Mae | 8,696,885 | - | 211,973 | $ 8,908,858 | ||||||
| Total Agency MBS | $ 25,696,118 | $ - | $ 679,019 | $ 26,375,137 | ||||||
Table 6 | ||||||||||||||
ARM Mortgage-backed Securities Portfolio as of September 30, 2012 (Amounts are unaudited and subject to change) | ||||||||||||||
(dollars in thousands) | % of ARM | Current | Weighted Avg. | Weighted Avg. | ||||||||||
| Months to Reset | Portfolio | Face value (1) | Coupon (2) | Market Price (5) | Market Value (6) | |||||||||
| 0-12 | 5.0 | % | $ | 1,023,762 | 4.40 | % | $ | 107.17 | $ | 1,097,137 | ||||
| 13-24 | 2.0 | % | 419,020 | 3.99 | % | $ | 106.68 | 447,006 | ||||||
| 25-36 | 10.9 | % | 2,252,591 | 3.83 | % | $ | 105.96 | 2,386,779 | ||||||
| 37-48 | 16.5 | % | 3,445,028 | 3.13 | % | $ | 105.10 | 3,620,883 | ||||||
| 49-60 | 16.8 | % | 3,508,827 | 2.70 | % | $ | 105.03 | 3,685,378 | ||||||
| 61-72 | 15.4 | % | 3,193,506 | 3.32 | % | $ | 106.04 | 3,386,420 | ||||||
| 73-84 | 30.6 | % | 6,366,502 | 2.57 | % | $ | 105.41 | 6,710,844 | ||||||
| 85-96 | 0.3 | % | 70,091 | 3.55 | % | $ | 106.47 | 74,625 | ||||||
| 97-108 | 0.1 | % | 17,793 | 3.64 | % | $ | 106.20 | 18,897 | ||||||
| 109-120 | 2.4 | % | 499,404 | 2.85 | % | $ | 105.69 | 527,831 | ||||||
| Total ARMS | 100.0 | % | $ | 20,796,524 | 3.07 | % | $ | 105.57 | $ | 21,955,800 | ||||
Table 7 | ||||
Repo Borrowings September 30, 2012 | ||||
(Amounts are unaudited and subject to change) | ||||
| (dollars in thousands) |
| |||
September 30, 2012 | ||||
| Weighted Average | ||||
| Balance | Contractual Rate | |||
| Within 30 days | $20,060,323 | 0.40% | ||
| 30 days to 3 months | 3,522,857 | 0.41% | ||
| 3 months to 36 months | - | - | ||
| $23,583,180 | 0.40% | |||
Table 8 | |||||||
Hatteras Swap Portfolio as of September 30, 2012 (Amounts are unaudited and subject to change) | |||||||
(dollars in thousands) | |||||||
| Remaining | Weighted Average | |||||
| Notional | Term | Fixed Interest | |||||
| Maturity | Amount | in Months | Rate in Contract | ||||
| 12 months or less | $ | 900,000 | 7 | 2.00 | % | ||
| Over 12 months to 24 months | 1,600,000 | 20 | 1.92 | % | |||
| Over 24 months to 36 months | 4,000,000 | 31 | 1.70 | % | |||
| Over 36 months to 48 months | 2,400,000 | 42 | 1.10 | % | |||
| Over 48 months to 60 months | 2,000,000 | 53 | 0.88 | % | |||
| Total | $ | 10,900,000 | 34 | 1.48 | % | ||
| (dollars in thousands) | |||||||
| Forward Starting Swaps | |||||||
| included above | Average | Weighted Average | |||||
| Notional | Term | Fixed Interest | |||||
| Cash flow beginning in | Amount | in Months | Rate in Contract | ||||
| 12 months or less | $ | 2,200,000 | 44 | 0.85 | % | ||
| Over 12 months to 24 months | 600,000 | 38 | 0.99 | % | |||
| Total | $ | 2,800,000 | 43 | 0.88 | % | ||
CONTACT:
Hatteras Financial Corp.
Kenneth A. Steele, 336-760-9331
Chief Financial Officer
or
CCG Investor Relations
Mark Collinson, 310-954-1343
Partner
www.ccgir.com