Exhibit 99.1
Hatteras Financial Corp. Announces Second Quarter 2013 Financial Results
WINSTON-SALEM, N.C.--(BUSINESS WIRE)--July 23, 2013--Hatteras Financial Corp. (NYSE: HTS) (“Hatteras” or the “Company”) today announced financial results for the quarter ended June 30, 2013.
Second Quarter 2013 Highlights
- GAAP net income of $0.66 per weighted average share
- Net income of $0.60 per weighted average share excluding Eurodollar gains
- Declared a $0.70 per share dividend
- Quarter end book value of $22.18 per share
- Equity decline of 19.3 % for quarter and year-to-date
- Maintained earning assets
- Realized average net interest spread of 0.93%
- Weighted average constant prepayment rate (“CPR”) of 20.8
- Annualized total expense ratio of 0.92% of average shareholders’ equity
- Return on average common equity of 9.47%
- Weighted average repurchase agreement rate of 0.38%
Second Quarter 2013 Results
During the quarter ended June 30, 2013, the Company earned net income available to common shareholders of $65.3 million, or $0.66 per diluted common share, compared to net income of $61.8 million, or $0.62 per diluted common share, during the quarter ended March 31, 2013. The Company realized gains of $8.8 million on sales of its agency securities during the quarter. In addition, $5.5 million of net income was attributable to the mark-to-market of the positive move in the hedge related Eurodollar futures contracts during the quarter. Net interest income for the quarter ended June 30, 2013 was $63.4 million, compared to $71.4 million for the quarter ended March 31, 2013 reflecting the decreasing yield on the portfolio. The Company’s average earning assets increased to $24.8 billion for the second quarter of 2013 from $24.1 billion in the first quarter of 2013. The Company’s net interest margin decreased to 0.93% for the second quarter of 2013 from 1.11% in the first quarter of 2013. The Company’s cost of funds (including hedges) was 0.92% compared to 0.95% in the first quarter of 2013. The Company’s average repurchase agreement (repo) rate for the second quarter of 2013 was 0.38% compared to 0.41% in the first quarter of 2013. The weighted average interest rate on the Company’s interest rate swaps declined from 1.43% in the first quarter of 2013 to 1.41% in the second quarter of 2013. Operating expenses increased slightly to $6.9 million from the prior quarter amount of $6.7 million. Total annualized expenses were 0.92% of average shareholders’ equity for the quarter ended June 30, 2013, slightly above the previous quarter at 0.88%, mostly a reflection of the decrease in average equity.
“A market sell-off resulted in U.S. Treasury and agency security interest rates increasing steadily throughout May and June with spreads over the Treasury curve widening to levels higher than we’ve seen since the Federal Reserve’s first quantitative easing program,” said Michael R. Hough, the Company’s Chief Executive Officer. “Prices on hybrid adjustable-rate mortgage securities (ARMs) moved dramatically during the last two weeks of June and underperformed relative to fixed-rate mortgage securities. This was compounded by the less orderly markets over quarter end.”
“While we have always managed to a longer term horizon, periods of short term volatility must be managed independently. Our business model has proven resilient in the past and is designed to provide flexibility to better manage through periods of volatility. The liquidity position we had heading into the sell-off enabled us to be in control and protect the portfolio we have built. While we like how Hatteras is positioned for the now improved investing and prepayment environment, we will closely monitor the markets and adjust our portfolio accordingly.”
Dividend
The Company declared a dividend of $0.70 per share of common stock with respect to the quarter ended June 30, 2013 unchanged from the dividend declared for the quarter ended March 31, 2013. Using the closing share price of $24.64 on June 30, 2013, the second quarter dividend equates to an annualized dividend yield of 11.4%.
The Company 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 June 30, 2013.
Portfolio
The Company’s weighted average earning assets, consisting of residential mortgage securities issued by Fannie Mae and Freddie Mac (“agency securities”), was $24.8 billion for the quarter ended June 30, 2013, compared to $24.1 billion for the previous quarter. The portfolio’s weighted average coupon was 2.72% during the second quarter of 2013, compared to 2.86% during the first quarter of 2013, reflecting lower rates on new security purchases and coupon resets. The annualized yield on average assets was 1.85% for the second quarter of 2013, compared to 2.06% for the first quarter of 2013, reflecting a higher premium amortization expense and the lower coupon rate.
At June 30, 2013, the Company’s portfolio of agency securities consisted of 89.1% of adjustable-rate agency securities and 10.9% of 15-year fixed-rate agency securities. The Company’s adjustable-rate agency securities portfolio at June 30, 2013 is summarized below.
| (Dollars in | | | | | | | | | Weighted Avg. | | | | | | |
| thousands) | | | % of ARM | | Current | | Weighted Avg. | | Amortized | | | | Weighted Avg. | | |
| Months to Reset | | | Portfolio | | Face value | | Coupon | | Purchase Price | | Amortized Cost | | Market Price | | Market Value |
| 0-12 | | | 3.9 | % | | $ | 833,434 | | 2.93 | % | | $ | 101.29 | | $ | 844,196 | | $ | 106.40 | | $ | 886,755 |
| 13-24 | | | 6.0 | % | | | 1,276,823 | | 3.95 | % | | $ | 102.32 | | | 1,306,484 | | $ | 105.89 | | | 1,351,981 |
| 25-36 | | | 12.8 | % | | | 2,751,990 | | 3.17 | % | | $ | 102.40 | | | 2,817,912 | | $ | 104.39 | | | 2,872,775 |
| 37-48 | | | 10.8 | % | | | 2,359,605 | | 2.63 | % | | $ | 102.69 | | | 2,423,176 | | $ | 102.99 | | | 2,430,083 |
| 49-60 | | | 13.2 | % | | | 2,880,306 | | 3.07 | % | | $ | 102.61 | | | 2,955,497 | | $ | 103.52 | | | 2,981,697 |
| 61-72 | | | 21.2 | % | | | 4,651,072 | | 2.67 | % | | $ | 103.15 | | | 4,797,678 | | $ | 102.34 | | | 4,759,817 |
| 73-84 | | | 28.0 | % | | | 6,251,251 | | 2.21 | % | | $ | 103.38 | | | 6,462,677 | | $ | 100.61 | | | 6,289,383 |
| 85-96 | | | 0.1 | % | | | 13,075 | | 3.64 | % | | $ | 103.46 | | | 13,527 | | $ | 103.82 | | | 13,575 |
| 97-108 | | | 1.7 | % | | | 387,101 | | 2.86 | % | | $ | 103.44 | | | 400,408 | | $ | 101.46 | | | 392,769 |
| 109-120 | | | 2.3 | % | | | 517,595 | | 2.45 | % | | $ | 103.45 | | | 535,450 | | $ | 99.64 | | | 515,741 |
| Total ARMS | | | 100.0 | % | | $ | 21,922,252 | | 2.73 | % | | $ | 102.90 | | $ | 22,557,005 | | $ | 102.61 | | $ | 22,494,576 |
| | | | | | | | | | | | | | | | | | | | | | |
The Company’s fixed-rate agency securities portfolio at June 30, 2013 is summarized below.
| | | | | | | | | | | | | | |
| | | | | | | | Weighted Avg. | | | | | | |
| (Dollars in | | | | Current | | Weighted Avg. | | Amortized | | | | Weighted Avg. | | |
| thousands) | | | | Face value | | Coupon | | Purchase Price | | Amortized Cost | | Market Price | | Market Value |
| Total Fixed Rate | | | | $ | 2,740,233 | | 2.51 | % | | $ | 103.70 | | $ | 2,841,716 | | $ | 100.77 | | $ | 2,761,467 |
Portfolio repayments remained elevated during the second quarter of 2013, and the expense of amortizing the premium on the Company’s securities was $48.8 million, compared to $43.2 million during the first quarter of 2013. 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 second quarter of 2013 was 28.1%, compared to 26.0% during the first quarter of 2013. The Company’s weighted average one-month CPR for the quarter ended June 30, 2013 was 20.8, as compared to 19.0 for the quarter ended March 31, 2013. CPR measures the unscheduled repayment rate as a percentage of principal on an annualized basis.
Portfolio Financing and Leverage
At June 30, 2013, the Company financed its portfolio with approximately $23.1 billion of borrowings under repurchase agreements bearing fixed interest rates until maturity. The Company’s repurchase debt-to-shareholders’ equity ratio at June 30, 2013 was 9.3 to 1 compared to 7.4 to 1 for the prior quarter. The increase was primarily due to the decrease in average equity. At June 30, 2013, the Company’s repurchase agreements had a weighted average remaining term of approximately 24 days.
The Company uses interest rate swap agreements and Eurodollar futures contracts 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 June 30, 2013, the Company had entered into interest rate swaps with a notional amount of $11.1 billion. The swap agreements, which are indexed to 30-day LIBOR, have an average remaining term of 28 months at an average fixed rate of 1.41%. Of this total, $9.3 billion were in effect as of June 30, 2013 with the remaining $1.8 billion becoming effective over the next 13 months. The Company’s Eurodollar futures contracts, which it does not designate as hedges, represent interest rate swaps in the notional equivalent amount of $800 million with a weighted average interest rate of 1.35% and a term of 56 months.
Book Value
The Company’s book value (shareholders’ equity less preferred stock liquidation preference) per common share on June 30, 2013 was $22.18 compared to $28.18 on March 31, 2013, a decrease of $6.00. The Company’s agency securities declined in price without a similar rate of increase in the value of its interest rate hedges. On a per share basis, book value at June 30, 2013 consisted of $25.16 of common equity, $0.26 of retained earnings, ($1.47) of unrealized loss on agency securities, ($0.44) unrealized loss on forward purchases, and ($1.33) of unrealized losses on interest rate swaps.
Conference Call
The Company will host a conference call at 10:00 a.m. EDT on Wednesday July 24, 2013, to discuss financial results for the second quarter ended June 30, 2013. 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, July 24, 2013 at approximately 12:00 noon ET through Thursday, August 1, 2013 at 9:00 a.m. ET. Dial (877) 344-7529 and enter the conference ID number 10031969. 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.
Supplemental Information
The Company has provided a supplemental unaudited information package to provide additional disclosure and financial information for the benefit of the Company’s shareholders. This can be found under “Presentations” in the Investor Relations section of the Company’s website at www.hatfin.com.
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 portfolio of agency securities and 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-K for the year ended December 31, 2012, 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. |
| Consolidated Balance Sheets |
| |
| (Dollars in thousands, except share amounts) | | | | (Unaudited) | | | |
| | | | June 30,2013 | | | December 31, 2012 |
| Assets | | | | | | | |
| | | | | | | |
| Mortgage-backed securities, at fair value | | | | | | | |
| (including pledged assets of $24,163,526 and $22,591,973 at June 30, 2013 | | | | $25,256,043 | | | $23,919,251 |
| and December 31, 2012, respectively) | | | | | | | |
| Cash and cash equivalents | | | | 88,987 | | | 168,424 |
| Restricted cash | | | | 149,210 | | | 281,021 |
| Unsettled purchased mortgage-backed securities, at fair value | | | | 133,597 | | | 138,338 |
| Receivable for securities sold | | | | 7,251 | | | 1,587,535 |
| Accrued interest receivable | | | | 73,957 | | | 77,113 |
| Principal payments receivable | | | | 199,553 | | | 190,832 |
| Debt security, held to maturity, at cost | | | | 15,000 | | | 15,000 |
| Interest rate hedge asset | | | | 25,921 | | | - |
| Other assets | | | | 26,856 | | | 26,604 |
| Total assets | | | | $25,976,375 | | | $26,404,118 |
| | | | | | | |
| Liabilities and shareholders’ equity | | | | | | | |
| Repurchase agreements | | | | $23,077,252 | | | $22,866,429 |
| Payable for unsettled securities | | | | 136,373 | | | 137,121 |
| Accrued interest payable | | | | 4,773 | | | 7,592 |
| Interest rate hedge liability | | | | 157,869 | | | 243,945 |
| Dividend payable | | | | 73,809 | | | 73,804 |
| Accounts payable and other liabilities | | | | 47,210 | | | 2,363 |
| Total liabilities | | | | $23,497,286 | | | $23,331,254 |
| | | | | | | |
| 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 June 30, 2013 | | | | | | | |
| and December 31, 2012, respectively ($287,500 aggregate liquidation preference) | | | | 278,252 | | | 278,252 |
| Common stock, $.001 par value, 200,000,000 shares authorized, | | | | | | | |
| 98,830,054 and 98,822,654 shares issued and outstanding at | | | | | | | |
| June 30, 2013 and December 31, 2012, respectively | | | | 99 | | | 99 |
| Additional paid-in capital | | | | 2,495,559 | | | 2,494,303 |
| Retained earnings (accumulated deficit) | | | | 26,012 | | | 37,356 |
| Accumulated other comprehensive income | | | | (320,833) | | | 262,854 |
| Total shareholders’ equity | | | | 2,479,089 | | | 3,072,864 |
| Total liabilities and shareholders’ equity | | | | $25,976,375 | | | $26,404,118 |
Table 2
| Hatteras Financial Corp. |
| Consolidated Statements of Income |
| (Unaudited) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| (Dollars in thousands, except per share amounts) | | | Three months | | | Three months | | | Six months | | | Six months |
| | | Ended | | | Ended | | | Ended | | | Ended |
| | | June 30, 2013 | | | June 30, 2012 | | | June 30, 2013 | | | June 30, 2012 |
| | | | | | | | | | | | |
| Interest income: | | | | | | | | | | | | |
| Interest income on mortgage-backed securities | | | $ | 115,115 | | | $ | 128,720 | | | $ | 239,356 | | | $ | 241,480 |
| Interest income on short-term cash investments | | | | 359 | | | | 441 | | | | 801 | | | | 773 |
| Total interest income | | | | 115,474 | | | | 129,161 | | | | 240,157 | | | | 242,253 |
| | | | | | | | | | | | |
| Interest expense | | | | 52,079 | | | | 46,169 | | | | 105,356 | | | | 87,278 |
| | | | | | | | | | | | |
| Net interest income | | | | 63,395 | | | | 82,992 | | | | 134,801 | | | | 154,975 |
| | | | | | | | | | | | |
| Operating expenses: | | | | | | | | | | | | |
| Management fee | | | | 4,714 | | | | 4,312 | | | | 9,434 | | | | 8,154 |
| Share based compensation | | | | 627 | | | | 425 | | | | 1,256 | | | | 854 |
| General and administrative | | | | 1,602 | | | | 1,316 | | | | 2,971 | | | | 2,229 |
| Total operating expenses | | | | 6,943 | | | | 6,053 | | | | 13,661 | | | | 11,237 |
| | | | | | | | | | | | |
| Other income: | | | | | | | | | | | | |
| Net gain on sale of mortgage-backed securities | | | | 8,802 | | | | 12,205 | | | | 11,302 | | | | 14,710 |
| Net gain on futures contracts | | | | 5,485 | | | | - | | | | 5,536 | | | | - |
| Total other income | | | | 14,287 | | | | 12,205 | | | | 16,838 | | | | 14,710 |
| | | | | | | | | | | | |
| Net income | | | | 70,739 | | | | 89,144 | | | | 137,978 | | | | 158,448 |
| Dividends on preferred stock | | | | 5,480 | | | | – | | | | 10,960 | | | | – |
| Net income available to common shareholders | | | $ | 65,259 | | | $ | 89,144 | | | $ | 127,018 | | | $ | 158,448 |
| | | | | | | | | | | | |
| Earnings per share - common stock, basic | | | $ | 0.66 | | | $ | 0.91 | | | $ | 1.29 | | | $ | 1.80 |
| | | | | | | | | | | | |
| Earnings per share - common stock, diluted | | | $ | 0.66 | | | $ | 0.91 | | | $ | 1.29 | | | $ | 1.80 |
| | | | | | | | | | | | |
| Dividends per share of common stock | | | $ | 0.70 | | | $ | 0.90 | | | $ | 1.40 | | | $ | 1.80 |
| | | | | | | | | | | | |
| Weighted average common shares outstanding, basic | | | | 98,830,054 | | | | 97,969,074 | | | | 98,828,827 | | | | 87,789,596 |
| | | | | | | | | | | | |
| Weighted average common shares outstanding, diluted | | | | 98,830,054 | | | | 97,969,074 | | | | 98,828,827 | | | | 87,789,596 |
Table 3
| Hatteras Financial Corp |
| Consolidated Statements of Comprehensive Income |
| (Unaudited) |
| | | | | | | | | |
| (Dollars in thousands) | | | | | | | | | |
| | | | | | | | | |
| | | For the three | | For the three | | For the six | | For the six |
| | | months ended | | months ended | | months ended | | months ended |
| | | June 30, 2013 | | June 30, 2012 | | June 30, 2013 | | June 30, 2012 |
| Net income | | | $70,739 | | $89,144 | | $137,978 | | $158,448 |
| | | | | | | | | |
| Other comprehensive income: | | | | | | | | | |
| | | | | | | | | |
| Net unrealized (losses) gains on securities available for sale | | | (613,461) | | 47,241 | | (632,313) | | 72,072 |
| Net unrealized gains (losses) on interest rate hedges | | | 23,580 | | (33,988) | | 48,626 | | (31,734) |
| Other comprehensive income | | | (589,881) | | 13,253 | | (583,687) | | 40,338 |
| | | | | | | | | |
| Comprehensive income | | | ($519,142) | | $102,397 | | ($445,709) | | $198,786 |
Table 4
Key Statistics |
(Amounts are unaudited and subject to change) |
| | | |
| | | Three months ended (unaudited) |
| | | | | | | | | | | |
| | | June 30, 2013 | | March 31, 2013 | | December 31, 2012 | | September 30, 2012 | | June 30, 2012 |
| | | | | | | | | | | |
| Statement of Income Data | | | | | | | | | | | |
| Interest income | | | $ | 115,474 | | | $ | 124,683 | | | $ | 131,728 | | | $ | 132,327 | | | $ | 129,161 | |
| Interest Expense | | | | (52,079 | ) | | | (53,277 | ) | | | (57,019 | ) | | | (52,767 | ) | | | (46,169 | ) |
| Net Interest Income | | | | 63,395 | | | | 71,406 | | | | 74,709 | | | | 79,560 | | | | 82,992 | |
| | | | | | | | | | | |
| Gain on sale of mortgage-backed securities | | | | 8,802 | | | | 2,500 | | | | 39,103 | | | | 10,534 | | | | 12,205 | |
| Net gain on futures contracts | | | | 5,485 | | | | 51 | | | | – | | | | – | | | | – | |
| | | | | | | | | | | |
| Operating Expenses | | | | (6,943 | ) | | | (6,718 | ) | | | (7,065 | ) | | | (6,044 | ) | | | (6,053 | ) |
| | | | | | | | | | | |
| Net income | | | | 70,739 | | | | 67,239 | | | | 106,747 | | | | 84,050 | | | | 89,144 | |
| Dividends on preferred stock | | | | (5,480 | ) | | | (5,480 | ) | | | (5,481 | ) | | | (2,070 | ) | | | – | |
| Net income available to common shareholders | | | $ | 65,259 | | | $ | 61,759 | | | $ | 101,266 | | | $ | 81,980 | | | $ | 89,144 | |
| | | | | | | | | | | |
| Earnings per share - common stock, basic | | | $ | 0.66 | | | $ | 0.62 | | | $ | 1.02 | | | $ | 0.83 | | | $ | 0.91 | |
| | | | | | | | | | | |
| Earnings per share - common stock, diluted | | | $ | 0.66 | | | $ | 0.62 | | | $ | 1.02 | | | $ | 0.83 | | | $ | 0.91 | |
| | | | | | | | | | | |
| Weighted average shares outstanding | | | | 98,830 | | | | 98,828 | | | | 98,812 | | | | 98,234 | | | | 97,969 | |
| | | | | | | | | | | |
| Distributions per common share | | | $ | 0.70 | | | $ | 0.70 | | | $ | 0.70 | | | $ | 0.80 | | | $ | 0.90 | |
| | | | | | | | | | | |
| Key Portfolio Statistics | | | | | | | | | | | |
| Average MBS | | | $ | 24,824,334 | | | $ | 24,126,341 | | | $ | 25,783,448 | | | $ | 24,414,506 | | | $ | 21,149,623 | |
| Average Repurchase Agreements | | | $ | 22,701,463 | | | $ | 22,342,818 | | | $ | 23,692,240 | | | $ | 22,541,260 | | | $ | 19,599,942 | |
| Average Equity | | | $ | 3,034,954 | | | $ | 3,066,197 | | | $ | 3,158,139 | | | $ | 2,889,126 | | | $ | 2,762,948 | |
| Average Portfolio Yield | | | | 1.85 | % | | | 2.06 | % | | | 2.04 | % | | | 2.16 | % | | | 2.43 | % |
| Average Cost of Funds | | | | 0.92 | % | | | 0.95 | % | | | 0.96 | % | | | 0.94 | % | | | 0.94 | % |
| Interest Rate Spread | | | | 0.93 | % | | | 1.11 | % | | | 1.08 | % | | | 1.22 | % | | | 1.49 | % |
| Return on Average Common Equity | | | | 9.47 | % | | | 8.86 | % | | | 14.07 | % | | | 11.78 | % | | | 12.91 | % |
| Average Annual Portfolio Repayment Rate | | | | 28.10 | % | | | 26.01 | % | | | 26.55 | % | | | 27.61 | % | | | 25.42 | % |
| Debt to Equity (at period end) | | | | 9.3:1 | | | | 7.4:1 | | | | 7.4:1 | | | | 7.3:1 | | | | 7.5:1 | |
| Debt to Capital (at period end) | | | | 8.3:1 | | | | 8.1:1 | | | | 8.2:1 | | | | 8.5:1 | | | | 8.1:1 | |
|
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 June 30, 2013 |
(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 | | | $ | 14,043,290 | | | | $ | (147,577 | ) | | | | $ | 153,385 | | | | $ | 14,049,098 | | | | 55.7 | % |
| Fixed Rate | | | | 2,127,131 | | | | | (60,120 | ) | | | | | - | | | | | 2,067,011 | | | | 8.2 | % |
| Total Fannie Mae | | | | 16,170,421 | | | | | (207,697 | ) | | | | | 153,385 | | | | | 16,116,109 | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Freddie Mac Certificates | | | | | | | | | | | | | | | | | | | |
| ARMS | | | | 8,513,715 | | | | | (115,264 | ) | | | | | 47,027 | | | | | 8,445,478 | | | | 33.4 | % |
| Fixed Rate | | | | 714,585 | | | | | (20,129 | ) | | | | | - | | | | | 694,456 | | | | 2.7 | % |
| Total Freddie Mac | | | | 9,228,300 | | | | | (135,393 | ) | | | | | 47,027 | | | | | 9,139,934 | | | | |
| | | | | | | | | | | | | | | | | | | | |
| Total Agency Securities | | | $ | 25,398,721 | | | | $ | (343,090 | ) | | | | $ | 200,412 | | | | $ | 25,256,043 | | | | |
Table 6
Repo Borrowings June 30, 2013 |
(Amounts are unaudited and subject to change) |
| | | | |
(dollars in thousands) | | | | June 30, 2013 |
| | | | | | |
| | | | | | Weighted Average |
| | | | Balance | | Contractual Rate |
| Within 30 days | | | | $22,569,149 | | 0.37% |
| 30 days to 3 months | | | | 508,103 | | 0.38% |
| 3 months to 36 months | | | - | | - |
| | | | $23,077,252 | | 0.37% |
Table 7
Hatteras Swap Portfolio as of June 30, 2013 |
(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 | | | $ 1,200,000 | | | 7 | | | 1.90% |
| Over 12 months to 24 months | | | 3,800,000 | | | 19 | | | 1.78% |
| Over 24 months to 36 months | | | 2,700,000 | | | 30 | | | 1.30% |
| Over 36 months to 48 months | | | 2,600,000 | | | 43 | | | 0.91% |
| Over 48 months to 60 months | | | 800,000 | | | 53 | | | 0.93% |
| | | | | | | | | |
| Total | | | $ 11,100,000 | | | 28 | | | 1.41% |
| (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 | | | 45 | | | 0.95% |
| Over 12 months to 24 months | | | 200,000 | | | 56 | | | 0.94% |
| | | | | | | | | |
| Total | | | $ 1,800,000 | | | 46 | | | 0.95% |
CONTACT:
Hatteras Financial Corp.
Kenneth A. Steele, 336-760-9331
Chief Financial Officer
or
Compass Investor Relations
Mark Collinson, Partner, 714-222-5161
www.compass-ir.com
