Exhibit 99.1
Hatteras Financial Corp. Announces Fourth Quarter 2012 Financial Results
WINSTON-SALEM, N.C.--(BUSINESS WIRE)--February 12, 2013--Hatteras Financial Corp. (NYSE: HTS) (“Hatteras” or the “Company”) today announced financial results for the quarter ended December 31, 2012.
Fourth Quarter 2012 Highlights
- Net income of $1.02 per weighted average share
- Declared a $0.70 per share common dividend
- Book value $28.19 per share at year end
- Net return on average common equity of 14.07%
- Average net interest spread of 1.08%
- Annualized total expense ratio of 0.89% of average shareholders’ equity
Full Year 2012 Highlights
- Net income of $3.67 per weighted average share
- Declared $3.30 per share common dividends
- Book value increased $1.11 per share
- Net return on average common equity of 12.96%
- Undistributed taxable income of $0.45 per share at year end
Fourth Quarter 2012 Results
During the quarter ended December 31, 2012, the Company earned net income available to common shareholders of $101.3 million, or $1.02 per diluted common share, compared to net income of $82.0 million, or $0.83 per diluted common share during the quarter ended September 30, 2012. Net interest income for the quarter ended December 31, 2012 was $74.7 million, compared to $79.6 million for the quarter ended September 30, 2012. The Company’s net interest margin decreased to 1.08% for the fourth quarter of 2012 from 1.22% in the third quarter of 2012 due to a portfolio yield drop that was not offset by a corresponding decrease in the Company’s cost of funds. The Company’s cost funds (including hedges) increased 0.02% to 0.96% for the quarter ended December 31, 2012. The Company’s average repurchase agreement (repo) rate increased to 0.44% in the fourth quarter of 2012, from 0.41% in the third quarter of 2012, on all outstanding short-term repo positions. The Company realized gain on sale of mortgage-backed securities (MBS) of $39.1 million during the quarter compared to $10.5 million for the previous quarter. The annualized expense ratio for the quarter was 0.89% of average shareholders’ equity for the quarter ended December 31, 2012 as compared to 0.84% for the prior quarter.
“We achieved solid returns for our investors in 2012 despite uncertain market conditions that impacted the interest rate and mortgage markets,” said Michael R. Hough the Company’s Chief Executive Officer. “Our take away from last year is that our clear long-term strategy enables us to continue to generate solid risk-adjusted returns while best positioning Hatteras for future volatility.”
Mr. Hough added “We believe the ARM based, short-duration balance sheet we have carefully built over the past five years properly reflects where we should be positioned today in light of domestic and global economic uncertainty. We need to remain diligent in continuing to assess the risks in our portfolio and maintaining the appropriate balance of assets and liabilities that is imperative at this point of the economic cycle.”
Dividend
The Company declared a dividend of $0.70 per share of common stock with respect to the quarter ended December 31, 2012, which was a decrease from the $0.80 per share dividend for the quarter ended September 30, 2012. Based on the closing share price of $24.81 on December 31, 2012, the fourth quarter dividend equates to an annualized yield of 11.3%. The Company also declared a dividend of $0.4765625 per share of the Company's 7.625% Series A Cumulative Redeemable Preferred Stock with respect to the quarter ended December 31, 2012.
Portfolio
The Company’s weighted average earning assets, consisting of residential mortgage securities issued by Fannie Mae and Freddie Mac (“agency securities”), was $25.8 billion for the quarter ended December 31, 2012, compared to $24.4 billion for the previous quarter. The portfolio’s weighted average coupon was 2.93% for the fourth quarter of 2012, compared to 2.99% for the third quarter of 2012, reflecting lower rates on new security purchases. The annualized yield on average assets was 2.04% for the fourth quarter of 2012, compared to 2.16% for the third quarter of 2012.
At December 31, 2012, the Company’s portfolio of agency securities consisted of 93.7% of adjustable-rate agency securities and 6.3% of 15-year fixed-rate agency securities. At December 31, 2012, the Company owned $22.4 billion of adjustable-rate agency securities with a weighted average coupon of 2.95% and a weighted average cost basis of $102.79, and $1.5 billion of 15-year fixed-rate agency securities with a weighted average coupon of 2.62%, and a weighted average cost basis of $103.64. The Company’s adjustable-rate agency securities portfolio at December 31, 2012 is summarized below.
| Hatteras Financial Corp ARM Portfolio |
| | | | | | Weighted Avg. | | | | | | |
| (dollars in thousands) | | Current | | Weighted Avg. | | Amortized | | | | Weighted
Avg. | | |
| Months to Reset | | Face value | | Coupon | | Purchase Price | | Amortized Cost | | Market Price | | Market Value |
| 0-12 | | $ | 856,698 | | 4.03 | % | | $ | 101.24 | | $ | 867,348 | | $ | 106.79 | | $ | 914,832 |
| 13-24 | | | 911,412 | | 3.88 | % | | $ | 102.28 | | | 932,202 | | $ | 106.08 | | | 966,854 |
| 25-36 | | | 2,155,206 | | 3.60 | % | | $ | 102.27 | | | 2,204,154 | | $ | 105.55 | | | 2,274,763 |
| 37-48 | | | 3,059,130 | | 3.06 | % | | $ | 102.38 | | | 3,132,043 | | $ | 104.84 | | | 3,207,245 |
| 49-60 | | | 3,450,959 | | 2.76 | % | | $ | 102.82 | | | 3,548,369 | | $ | 104.81 | | | 3,616,891 |
| 61-72 | | | 2,868,337 | | 3.26 | % | | $ | 102.55 | | | 2,941,356 | | $ | 105.54 | | | 3,027,295 |
| 73-84 | | | 7,276,854 | | 2.44 | % | | $ | 103.37 | | | 7,522,264 | | $ | 104.54 | | | 7,607,359 |
| 85-96 | | | 126,924 | | 3.08 | % | | $ | 103.47 | | | 131,327 | | $ | 105.17 | | | 133,487 |
| 97-108 | | | - | | - | | | $ | - | | | - | | $ | - | | | - |
| 109-120 | | | 610,509 | | 2.81 | % | | $ | 103.53 | | | 632,087 | | $ | 105.00 | | | 641,013 |
| 121-140 | | | 19,995 | | 2.69 | % | | $ | 103.72 | | | 20,739 | | $ | 104.65 | | | 20,923 |
| Total ARMS | | $ | 21,336,024 | | 2.95 | % | | $ | 102.79 | | $ | 21,931,889 | | $ | 105.04 | | $ | 22,410,662 |
| | | | | | | | | | | | | | | | | | |
During the fourth quarter of 2012, the expense of amortizing the premium on the Company’s securities was $50.1 million, compared to $47.3 million during the third quarter of 2012. The weighted-average principal repayment rate (scheduled and unscheduled principal payments as a percentage of the weighted-average portfolio, on an annualized basis) during the fourth quarter of 2012 was 26.6%, compared to 27.6% during the third quarter of 2012. The Company’s weighted-average one-month constant prepayment rate (CPR) for the quarter ended December 31, 2012 was 19.8, as compared to 20.5 for the quarter ended September 30, 2012. CPR measures unscheduled repayment rate as a percentage of principal on an annualized basis.
Portfolio Financing and Leverage
At December 31, 2012, the Company financed its portfolio with approximately $22.9 billion of borrowings under repurchase agreements. The Company’s repo debt-to-shareholders’ equity ratio at December 31, 2012, was 7.4 to 1. The Company 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 December 31, 2012, the Company had entered into interest rate swaps with a notional amount of $10.7 billion. The swap agreements, which are indexed to 30-day LIBOR, have a weighted average remaining term of 31 months at a weighted average fixed rate of 1.47%.
Book Value
The Company’s book value (shareholders’ equity) per share on December 31, 2012 was $28.19, down $1.41 or 4.76%, from the per share book value of $29.60 on September 30, 2012. On a per share basis, the book value at December 31, 2012 consisted of $25.15 of common equity, $0.38 of retained earnings, $5.12 of unrealized gains on agency securities, and ($2.46) of unrealized losses on interest rate swaps.
Full Year 2012 Results
Although the Company experienced spread compression over the course of the year as long-term interest rates declined with little change in short-term rates, 2012 still offered a favorable earning environment. The Company generated net income of $341.7 million, for the 12 months ended December 31, 2012, which equaled $3.67 per weighted average share of common stock. Return on weighted average equity for the year was 12.96%. Book value per share increased $1.11, or 4.1%, from $27.08 on December 31, 2011 to $28.19 on December 31, 2012.
For the 12 months ended December 31, 2012, the annualized yield on weighted average assets during the period was 2.28%, and the annualized cost of funds on the weighted average repurchase balance was 0.96%. This resulted in a weighted average interest rate spread of 1.32% for the year.
Conference Call
The Company will host a conference call at 10:00 a.m. ET on Wednesday February 13, 2013, to discuss financial results for the fourth quarter ended December 31, 2012. To participate in the event by telephone, please dial (888) 317-6016 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) 317-6016. Canada callers should dial (855) 669-9657. A digital replay of the call will be available on Wednesday, February 13, 2013 at approximately 12:00 noon ET through Thursday, February 21, 2013 at 9:00 a.m. ET. Dial (877) 344-7529 and enter the conference ID number 10025029. 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, among others, statements about the Company’s MBS portfolio and repurchase agreements, future volatility in the domestic and global economies, risks in the portfolio and the Company’s return profile. Factors that may cause actual results to differ materially from current expectations include the risk factors discussed in the Company’s most recent Annual Report on Form 10-K and 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.
| |
| Hatteras Financial Corp. |
| Balance Sheets |
| |
| (Dollars in thousands, except share amounts) | | | | | | |
| December 31, 2012 | | | | | December 31, 2011 |
| Assets | | | | | | |
| | | | | | |
| Mortgage-backed securities, at fair value | | | | | | |
| (including pledged assets of $22,591,973 and $17,012,472 at December 31, 2012 | $ | 23,919,251 | | | | | $ | 17,741,873 |
| and December 31, 2011, respectively) | | | | | | |
| Cash and cash equivalents | | 168,424 | | | | | | 347,045 |
| Restricted cash | | 281,021 | | | | | | 237,014 |
| Unsettled purchased mortgage-backed securities, at fair value | | 138,338 | | | | | | 49,630 |
| Receivable for securities sold | | 1,587,535 | | | | | | - |
| Accrued interest receivable | | 77,113 | | | | | | 63,025 |
| Principal payments receivable | | 190,832 | | | | | | 105,333 |
| Debt security, held to maturity, at cost | | 15,000 | | | | | | 15,000 |
| Other assets | | 26,604 | | | | | | 27,799 |
| Total assets | $ | 26,404,118 | | | | | $ | 18,586,719 |
| | | | | | |
| | | | | | |
| | | | | | |
| Liabilities and shareholders’ equity | | | | | | |
| Repurchase agreements | $ | 22,866,429 | | | | | $ | 16,162,375 |
| Payable for unsettled securities | | 137,121 | | | | | | 48,999 |
| Accrued interest payable | | 7,592 | | | | | | 4,596 |
| Interest rate hedge liability | | 243,945 | | | | | | 219,167 |
| Dividend payable | | 73,804 | | | | | | 69,141 |
| Accounts payable and other liabilities | | 2,363 | | | | | | 2,253 |
| Total liabilities | $ | 23,331,254 | | | | | $ | 16,506,531 |
| | | | | | |
| Shareholders’ equity: | | | | | | |
| 7.625% Series A Cumulative Redeemable Preferred stock, $.001 par value, 25,000,000 | | | | | | |
| shares authorized, 11,500,000 and 0 shares issued and outstanding at December 31, 2012 | | | | | | |
| and 2011, respectively ($287,500 aggregate liquidation preference) | | 278,252 | | | | | | – |
| Common stock, $.001 par value, 200,000,000 shares authorized, | | | | | | |
| 98,822,654 and 76,823,220 shares issued and outstanding at December 31, 2012 and | | | | | | |
| 2011, respectively | | 99 | | | | | | 77 |
| Additional paid-in capital | | 2,494,303 | | | | | | 1,904,748 |
| Retained earnings | | 37,356 | | | | | | 2,041 |
| Accumulated other comprehensive income | | 262,854 | | | | | | 173,322 |
| Total shareholders’ equity | | 3,072,864 | | | | | | 2,080,188 |
| Total liabilities and shareholders’ equity | $ | 26,404,118 | | | | | $ | 18,586,719 |
| |
| Hatteras Financial Corp. |
| Statements of Income |
| For the years ended December 31, 2012, 2011 and 2010 |
| | | | | | | | |
| (Dollars in thousands, except share amounts) | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | 2012 | | | 2011 | | | 2010 |
| | | | | | | | |
| Interest income: | | | | | | | | |
| Interest income on mortgage-backed securities | | $ | 504,800 | | | $ | 424,713 | | | $ | 263,751 |
| Interest income on short-term cash investments | | | 1,508 | | | | 1,407 | | | | 1,265 |
| Interest income | | | 506,308 | | | | 426,120 | | | | 265,016 |
| | | | | | | | |
Interest expense | | | 197,064 | | | | 144,662 | | | | 95,923 |
| | | | | | | | |
Net interest income | | | 309,244 | | | | 281,458 | | | | 169,093 |
| | | | | | | | |
| Operating expenses: | | | | | | | | |
| Management fee | | | 17,420 | | | | 13,787 | | | | 9,205 |
| Share based compensation | | | 1,920 | | | | 1,150 | | | | 1,432 |
| General and administrative | | | 5,006 | | | | 2,724 | | | | 2,507 |
| Total operating expenses | | | 24,346 | | | | 17,661 | | | | 13,144 |
| | | | | | | | |
| Other income/(expense): | | | | | | | | |
| Net gain on sale of mortgage-backed securities | | | 64,347 | | | | 20,576 | | | | 13,551 |
| | | | | | | | |
| Net income | | | 349,245 | | | | 284,373 | | | | 169,500 |
| Dividends on preferred stock | | | 7,551 | | | | 0 | | | | 0 |
| Net income available to common shareholders | | $ | 341,694 | | | $ | 284,373 | | | $ | 169,500 |
| | | | | | | | |
| Earnings per share - common stock, basic | | $ | 3.67 | | | $ | 3.97 | | | $ | 4.30 |
| | | | | | | | |
| Earnings per share - common stock, diluted | | $ | 3.67 | | | $ | 3.97 | | | $ | 4.30 |
| | | | | | | | |
| Weighted average common shares outstanding, basic | | | 93,185,520 | | | | 71,708,058 | | | | 39,454,362 |
| | | | | | | | |
| Weighted average common shares outstanding, diluted | | | 93,185,520 | | | | 71,708,058 | | | | 39,454,362 |
| |
| Hatteras Financial Corp. |
| Statements of Comprehensive Income |
| For the years ended December 31, 2012, 2011 and 2010 |
| | | | | | | | |
| (Dollars in thousands) | | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| | 2012 | | | 2011 | | | 2010 |
| Net income | | $ | 349,245 | | | | $ | 284,373 | | | | $ | 169,500 | |
| | | | | | | | |
| Other comprehensive income (loss): | | | | | | | | |
| | | | | | | | |
| Net unrealized gains (losses) on securities available for sale | | | 115,008 | | | | | 223,333 | | | | | (34,898 | ) |
| Net unrealized (losses) gains on derivative instruments | | | (25,476 | ) | | | | (155,902 | ) | | | | (11,934 | ) |
| Other comprehensive income (loss) | | | 89,532 | | | | | 67,431 | | | | | (46,832 | ) |
| | | | | | | | |
| Comprehensive income | | $ | 438,777 | | | | $ | 351,804 | | | | $ | 122,668 | |
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Key Statistics |
(Amounts are unaudited and subject to change) |
| |
| (in thousands, except per share amounts) | | | | | | | | | | | | | | | |
| | | Three months ended (unaudited) |
| | | | | | | | | | | | | | | |
| | | December 31, 2012 | | | September 30, 2012 | | | June 30, 2012 | | | March 31, 2012 | | | December 31, 2011 |
| | | | | | | | | | | | | | | |
| Statement of Income Data | | | | | | | | | | | | | | | |
| Interest income | | | $ | 131,728 | | | | $ | 132,327 | | | | $ | 129,161 | | | | $ | 113,092 | | | | $ | 114,821 | |
| Interest Expense | | | | (57,019 | ) | | | | (52,767 | ) | | | | (46,169 | ) | | | | (41,109 | ) | | | | (42,299 | ) |
| Net Interest Income | | | | 74,709 | | | | | 79,560 | | | | | 82,992 | | | | | 71,983 | | | | | 72,522 | |
| | | | | | | | | | | | | | | |
| Gain on sale of mortgage-backed securities | | | | 39,103 | | | | | 10,534 | | | | | 12,205 | | | | | 2,505 | | | | | 2,841 | |
| | | | | | | | | | | | | | | |
| Operating Expenses | | | | (7,065 | ) | | | | (6,044 | ) | | | | (6,053 | ) | | | | (5,184 | ) | | | | (4,738 | ) |
| | | | | | | | | | | | | | | |
| Net income | | | | 106,747 | | | | | 84,050 | | | | | 89,144 | | | | | 69,304 | | | | | 70,625 | |
| Dividends on preferred stock | | | | (5,481 | ) | | | | (2,070 | ) | | | | – | | | | | – | | | | | – | |
| Net income available to common shareholders | | | $ | 101,266 | | | | $ | 81,980 | | | | $ | 89,144 | | | | $ | 69,304 | | | | $ | 70,625 | |
| | | | | | | | | | | | | | | |
| Earnings per share - common stock, basic | | | $ | 1.02 | | | | $ | 0.83 | | | | $ | 0.91 | | | | $ | 0.89 | | | | $ | 0.92 | |
| | | | | | | | | | | | | | | |
| Earnings per share - common stock, diluted | | | $ | 1.02 | | | | $ | 0.83 | | | | $ | 0.91 | | | | $ | 0.89 | | | | $ | 0.92 | |
| | | | | | | | | | | | | | | |
| Weighted average shares outstanding | | | | 98,812 | | | | | 98,233 | | | | | 97,969 | | | | | 77,610 | | | | | 76,607 | |
| | | | | | | | | | | | | | | |
| Distributions per common share | | | $ | 0.70 | | | | $ | 0.80 | | | | $ | 0.90 | | | | $ | 0.90 | | | | $ | 0.90 | |
| | | | | | | | | | | | | | | |
| Key Portfolio Statistics | | | | | | | | | | | | | | | |
| Average MBS | | | $ | 25,783,448 | | | | $ | 24,414,506 | | | | $ | 21,149,623 | | | | $ | 17,259,040 | | | | $ | 17,608,752 | |
| Average Repurchase Agreements | | | $ | 23,692,240 | | | | $ | 22,541,260 | | | | $ | 19,599,942 | | | | $ | 15,981,764 | | | | $ | 16,280,835 | |
| Average Equity | | | $ | 3,158,139 | | | | $ | 2,889,126 | | | | $ | 2,762,948 | | | | $ | 2,113,079 | | | | $ | 2,040,843 | |
| Average Portfolio Yield | | | | 2.04 | % | | | | 2.16 | % | | | | 2.43 | % | | | | 2.61 | % | | | | 2.60 | % |
| Average Cost of Funds | | | | 0.96 | % | | | | 0.94 | % | | | | 0.94 | % | | | | 1.03 | % | | | | 1.04 | % |
| Interest Rate Spread | | | | 1.08 | % | | | | 1.22 | % | | | | 1.49 | % | | | | 1.58 | % | | | | 1.56 | % |
| Return on Average Common Equity | | | | 14.07 | % | | | | 11.78 | % | | | | 12.91 | % | | | | 13.12 | % | | | | 13.84 | % |
| Average Annual Portfolio Repayment Rate | | | | 26.55 | % | | | | 27.61 | % | | | | 25.42 | % | | | | 25.67 | % | | | | 27.39 | % |
| Debt to Equity (at period end) | | | | 7.4:1 | | | | | 7.3:1 | | | | | 7.5:1 | | | | | 6.2:1 | | | | | 7.8:1 | |
| Debt to Capital (at period end) | | | | 8.2:1 | | | | | 8.5:1 | | | | | 8.1:1 | | | | | 6.7:1 | | | | | 8.5:1 | |
| | |
| Mortgage-backed Securities Portfolio as of December 31, 2012 |
| (Amounts are unaudited and subject to change) |
| |
| (dollars in thousands) | | Agency | | | | | | | | |
| | | Securities | | Gross | | Gross | | | | |
| | | Amortized | | Unrealized | | Unrealized | | Estimated | | |
| | | Cost | | Loss | | Gain | | Fair Value | | % of Total |
| Agency Securities | | | | | | | | | | |
| Fannie Mae Certificates | | | | | | | | | | |
| ARMS | | $ | 14,081,259 | | $ | (100 | ) | | $ | 329,780 | | $ | 14,410,939 | | 60.3 | % |
| Fixed Rate | | | 743,299 | | | | | 9,296 | | | 752,595 | | 3.1 | % |
| Total Fannie Mae | | | 14,824,558 | | | (100 | ) | | | 339,076 | | | 15,163,534 | | |
| | | | | | | | | | | |
| Freddie Mac Certificates | | | | | | | | | | |
| ARMS | | | 7,850,630 | | | (21 | ) | | | 149,114 | | | 7,999,723 | | 33.4 | % |
| Fixed Rate | | | 744,720 | | | - | | | | 11,274 | | | 755,994 | | 3.2 | % |
| Total Freddie Mac | | | 8,595,350 | | | (21 | ) | | | 160,388 | | $ | 8,755,717 | | |
| | | | | | | | | | | |
| Total Agency Securities | | $ | 23,419,908 | | $ | (121 | ) | | $ | 499,464 | | $ | 23,919,251 | | |
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ARM Mortgage-backed Securities Portfolio as of December 31, 2012 |
(Amounts are unaudited and subject to change) |
| |
| (dollars in thousands) | | % of ARM | | | Current | | | Weighted Avg. | | | Weighted Avg. | | | |
| Months to Reset | | Portfolio | | | Face value | | | Coupon | | | Market Price | | | Market Value |
| 0-12 | | 4.10 | % | | | $ | 856,698 | | | 4.03 | % | | | $ | 106.79 | | | $ | 914,832 |
| 13-24 | | 4.30 | % | | | | 911,412 | | | 3.88 | % | | | $ | 106.08 | | | | 966,854 |
| 25-36 | | 10.20 | % | | | | 2,155,206 | | | 3.60 | % | | | $ | 105.55 | | | | 2,274,763 |
| 37-48 | | 14.30 | % | | | | 3,059,130 | | | 3.06 | % | | | $ | 104.84 | | | | 3,207,245 |
| 49-60 | | 16.10 | % | | | | 3,450,959 | | | 2.76 | % | | | $ | 104.81 | | | | 3,616,891 |
| 61-72 | | 13.50 | % | | | | 2,868,337 | | | 3.26 | % | | | $ | 105.54 | | | | 3,027,295 |
| 73-84 | | 33.90 | % | | | | 7,276,854 | | | 2.44 | % | | | $ | 104.54 | | | | 7,607,359 |
| 85-96 | | 0.60 | % | | | | 126,924 | | | 3.08 | % | | | $ | 105.17 | | | | 133,487 |
| 97-108 | | - | | | - | | | - | | | | | - | | | | - |
| 109-120 | | 2.90 | % | | | | 610,509 | | | 2.81 | % | | | $ | 105.00 | | | | 641,013 |
| 121-140 | | 0.10 | % | | | | 19,995 | | | 2.69 | % | | | $ | 104.65 | | | | 20,923 |
| | 100.00 | % | | | $ | 21,336,024 | | | 2.95 | % | | | $ | 105.04 | | | $ | 22,410,662 |
| |
Repo Borrowings December 31, 2012 |
(Amounts are unaudited and subject to change) |
| |
| (dollars in thousands) | | December 31, 2012 |
| | | | |
| | | | Weighted Average |
| | Balance | | Contractual Rate |
| Within 30 days | | $ | 20,500,568 | | 0.47 | % |
| 30 days to 3 months | | | 2,365,861 | | 0.48 | % |
| 3 months to 36 months | | | - | | - | |
| | $ | 22,866,429 | | 0.47 | % |
| |
Hatteras Swap Portfolio as of December 31, 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 | | $ | 800,000 | | | 6 | | | 2.05 | % |
| Over 12 months to 24 months | | | 2,400,000 | | | 20 | | | 1.76 | % |
| Over 24 months to 36 months | | | 3,700,000 | | | 30 | | | 1.73 | % |
| Over 36 months to 48 months | | | 2,400,000 | | | 42 | | | 0.92 | % |
| Over 48 months to 60 months | | | 1,400,000 | | | 52 | | | 0.89 | % |
| | | | | | | | |
| Total | | $ | 10,700,000 | | | 31 | | | 1.47 | % |
| |
| (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 | | $ | 1,600,000 | | 43 | | 0.89 | % |
| Over 12 months to 24 months | | | 400,000 | | 37 | | 0.99 | % |
| | | | | | |
| Total | | $ | 2,000,000 | | 42 | | 0.91 | % |
CONTACT:
Hatteras Financial Corp.
Kenneth A. Steele, Chief Financial Officer
336- 760-9331
or
CCG Investor Relations
Mark Collinson, Partner
310-954-1343
www.ccgir.com
