| Consolidated Condensed Schedule Of Investments |
ELLINGTON FINANCIAL LLC
CONSOLIDATED CONDENSED SCHEDULE OF INVESTMENTS
AT MARCH 31, 2012
(UNAUDITED)
| |
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
Description |
|
Rate |
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
North America |
|
|
|
|
|
|
|
|
| |
|
|
|
|
Long Investments (309.28%) (a) (b) (o) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
Mortgage-Backed Securities (308.14%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
Agency Securities (202.05%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
Fixed Rate Agency Securities (195.93%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal and Interest - Fixed Rate Agency Securities (190.11%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ 153,574 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
$ |
161,433 |
|
| 35,021 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
11/41 |
|
|
36,778 |
|
| 31,190 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
|
32,730 |
|
| 24,071 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
12/41 |
|
|
25,759 |
|
| 22,680 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
|
23,800 |
|
| 19,718 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
8/41 |
|
|
21,398 |
|
| 19,743 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
4/42 |
|
|
20,755 |
|
| 18,458 |
|
Federal Home Loan Mortgage Corporation Pool |
|
5.00% |
|
7/41 |
|
|
20,020 |
|
| 18,361 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
9/41 |
|
|
19,649 |
|
| 18,045 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
10/41 |
|
|
19,305 |
|
| 16,768 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
3/41 |
|
|
18,259 |
|
| 16,716 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
9/41 |
|
|
17,820 |
|
| 13,480 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
11/41 |
|
|
14,150 |
|
| 13,443 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
|
14,123 |
|
| 13,099 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
9/41 |
|
|
13,965 |
|
| 12,546 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
7/41 |
|
|
13,646 |
|
| 12,655 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
10/41 |
|
|
13,300 |
|
| 11,054 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
9/41 |
|
|
12,051 |
|
| 11,147 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
4/26 |
|
|
11,976 |
|
| 11,075 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
|
11,618 |
|
| 10,305 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.00% |
|
1/41 |
|
|
10,812 |
|
| 9,471 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.00% |
|
12/41 |
|
|
9,924 |
|
| 9,133 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.50% |
|
2/41 |
|
|
9,765 |
|
| 9,114 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.50% |
|
10/41 |
|
|
9,705 |
|
| 9,080 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
7/26 |
|
|
9,643 |
|
| 8,194 |
|
Federal National Mortgage Association Pool |
|
5.50% |
|
10/39 |
|
|
8,974 |
|
| 8,259 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.00% |
|
3/41 |
|
|
8,675 |
|
| 7,234 |
|
Federal National Mortgage Association Pool |
|
5.50% |
|
5/40 |
|
|
7,922 |
|
| 7,491 |
|
Federal National Mortgage Association Pool |
|
3.50% |
|
12/41 |
|
|
7,710 |
|
| 6,627 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
6/41 |
|
|
7,192 |
|
| 6,597 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
7/41 |
|
|
7,159 |
|
| 6,462 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
11/39 |
|
|
6,988 |
|
| 6,129 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
6/26 |
|
|
6,509 |
|
| 5,816 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
10/41 |
|
|
6,311 |
|
| 5,664 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
10/41 |
|
|
5,953 |
|
| 5,631 |
|
Federal National Mortgage Association Pool |
|
4.00% |
|
2/42 |
|
|
5,911 |
|
| 5,333 |
|
Federal Home Loan Mortgage Corporation Pool |
|
6.00% |
|
4/39 |
|
|
5,899 |
|
| 5,114 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
11/40 |
|
|
5,550 |
|
| 5,189 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
8/41 |
|
|
5,532 |
|
| 4,869 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
8/41 |
|
|
5,308 |
|
| 4,909 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
12/41 |
|
|
5,235 |
|
| 4,817 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
4/41 |
|
|
5,165 |
|
| 4,684 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
9/41 |
|
|
5,107 |
|
| 4,532 |
|
Federal Home Loan Mortgage Corporation Pool |
|
4.00% |
|
2/42 |
|
|
4,755 |
|
| 4,250 |
|
Federal National Mortgage Association Pool |
|
5.00% |
|
6/40 |
|
|
4,612 |
|
| 4,085 |
|
Federal National Mortgage Association Pool |
|
4.50% |
|
11/41 |
|
|
4,355 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
|
Description |
|
Rate |
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Principal and Interest - Fixed Rate Agency Securities (190.11%) (continued) |
|
|
|
|
|
|
| $ |
4,026 |
|
|
Federal National Mortgage Association Pool |
|
4.00% |
|
9/41 |
|
$ |
4,231 |
|
| |
4,022 |
|
|
Federal National Mortgage Association Pool |
|
4.00% |
|
2/42 |
|
|
4,226 |
|
| |
3,853 |
|
|
Federal National Mortgage Association Pool |
|
5.00% |
|
10/41 |
|
|
4,181 |
|
| |
3,946 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
4.00% |
|
1/41 |
|
|
4,147 |
|
| |
3,887 |
|
|
Federal National Mortgage Association Pool |
|
4.00% |
|
1/42 |
|
|
4,084 |
|
| |
3,870 |
|
|
Federal National Mortgage Association Pool |
|
4.00% |
|
4/42 |
|
|
4,082 |
|
| |
3,707 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
4.50% |
|
9/41 |
|
|
3,947 |
|
| |
3,263 |
|
|
Federal National Mortgage Association Pool |
|
4.50% |
|
10/41 |
|
|
3,494 |
|
| |
3,034 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
3.50% |
|
1/42 |
|
|
3,113 |
|
| |
2,708 |
|
|
Federal National Mortgage Association Pool |
|
4.50% |
|
10/41 |
|
|
2,889 |
|
| |
2,267 |
|
|
Federal National Mortgage Association Pool |
|
4.50% |
|
4/42 |
|
|
2,433 |
|
| |
1,974 |
|
|
Federal National Mortgage Association Pool |
|
5.00% |
|
7/41 |
|
|
2,147 |
|
| |
4,553 |
|
|
Other Federal National Mortgage Association Pools |
|
6.00% |
|
9/39 - 2/40 |
|
|
5,034 |
|
| |
1,193 |
|
|
Other Federal Home Loan Mortgage Corporation Pool |
|
6.00% |
|
5/40 |
|
|
1,320 |
|
| |
731 |
|
|
Other Government National Mortgage Association Pool |
|
5.50% |
|
3/41 |
|
|
819 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
753,353 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only - Fixed Rate Agency Securities (1.47%) |
|
|
|
|
|
|
|
|
| |
30,340 |
|
|
Other Federal National Mortgage Association |
|
4.00% - 5.50% |
|
1/36 - 10/40 |
|
|
3,638 |
|
| |
13,128 |
|
|
Other Federal Home Loan Mortgage Corporation |
|
5.00% - 5.50% |
|
6/33 - 1/39 |
|
|
1,704 |
|
| |
8,171 |
|
|
Other Government National Mortgage Association |
|
5.50% |
|
3/36 |
|
|
475 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
5,817 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA - Fixed Rate Agency Securities (4.35%) |
|
|
|
|
|
|
|
|
| |
16,500 |
|
|
Federal Home Loan Mortgage Corporation Pool (30 Year) |
|
4.00% |
|
4/12 |
|
|
17,249 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
17,249 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Fixed Rate Agency Securities (Cost $772,522) |
|
|
|
|
|
|
776,419 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Floating Rate Agency Securities (6.12%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Principal and Interest - Floating Rate Agency Securities (6.07%) |
|
|
|
|
|
|
|
|
| |
8,567 |
|
|
Federal National Mortgage Association Pool |
|
5.15% |
|
5/38 |
|
|
9,033 |
|
| |
6,350 |
|
|
Federal National Mortgage Association Pool |
|
5.27% |
|
12/35 |
|
|
6,687 |
|
| |
3,243 |
|
|
Federal National Mortgage Association Pool |
|
5.51% |
|
7/37 |
|
|
3,481 |
|
| |
3,245 |
|
|
Federal National Mortgage Association Pool |
|
5.69% |
|
4/36 |
|
|
3,441 |
|
| |
1,336 |
|
|
Other Federal National Mortgage Association Pool |
|
5.27% |
|
9/37 |
|
|
1,423 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
24,065 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Interest Only - Floating Rate Agency Securities (0.05%) |
|
|
|
|
|
|
|
|
| |
1,371 |
|
|
Other Federal National Mortgage Association |
|
5.50% |
|
8/36 |
|
|
199 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
199 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Floating Rate Agency Securities (Cost $23,744) |
|
|
|
|
|
|
24,264 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Agency Securities (Cost $796,266) |
|
|
|
|
|
|
800,683 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
|
Description |
|
Rate |
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
| |
|
|
|
|
|
Private Label Securities (106.09%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Principal and Interest - Private Label Securities (105.83%) |
|
|
|
|
|
|
|
|
| $ |
733,520 |
|
|
Various |
|
0.30% - 9.35% |
|
5/19 - 12/47 |
|
$ |
419,368 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Principal and Interest - Private Label Securities (Cost $429,977) |
|
|
|
|
|
|
419,368 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Interest Only - Private Label Securities (0.26%) |
|
|
|
|
|
|
|
|
| |
68,860 |
|
|
Various |
|
0.50% - 0.65% |
|
9/47 |
|
|
1,033 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Interest Only - Private Label Securities (Cost $572) |
|
|
|
|
|
|
1,033 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Other Private Label Securities (0.00%) |
|
|
|
|
|
|
|
|
| |
195,518 |
|
|
Various |
|
— |
|
6/37 |
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Other Private Label Securities (Cost $530) |
|
|
|
|
|
|
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Private Label Securities (Cost $431,079) |
|
|
|
|
|
|
420,401 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Mortgage-Backed Securities (Cost $1,227,345) |
|
|
|
|
|
|
1,221,084 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Commercial Mortgage Loans (1.14%) (n) |
|
|
|
|
|
|
|
|
| |
5,000 |
|
|
Various |
|
6.25% |
|
11/12 |
|
|
4,500 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Commercial Mortgage Loans (Cost $4,817) |
|
|
|
|
|
|
4,500 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Long Investments (Cost $1,232,162) |
|
|
|
|
|
$ |
1,225,584 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Repurchase Agreements (3.43%) (c) |
|
|
|
|
|
|
|
|
| $ |
13,650 |
|
|
Bank of America Securities |
|
0.04% |
|
4/12 |
|
$ |
13,650 |
|
| |
|
|
|
Collateralized by Par Value $13,000 U.S. Treasury Note, Coupon 1.75%, Maturity Date 5/16 |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Repurchase Agreements (Cost $13,650) |
|
|
|
|
|
$ |
13,650 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Investments Sold Short (-146.33%) |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
TBA - Fixed Rate Agency Securities Sold Short (-142.93%) (d) |
|
|
|
|
|
|
|
|
| $ |
(169,000) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
4.00% |
|
5/12 |
|
$ |
(176,816 |
) |
| |
(154,370) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
4.00% |
|
4/12 |
|
|
(161,847 |
) |
| |
(75,000) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
5.00% |
|
4/12 |
|
|
(81,015 |
) |
| |
(28,610) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
4.50% |
|
4/12 |
|
|
(30,430 |
) |
| |
(26,000) |
|
|
Government National Mortgage Association Pool (30 Year) |
|
5.00% |
|
4/12 |
|
|
(28,726 |
) |
| |
(16,500) |
|
|
Federal Home Loan Mortgage Corporation Pool (30 Year) |
|
5.00% |
|
4/12 |
|
|
(17,772 |
) |
| |
(16,300) |
|
|
Federal National Mortgage Association Pool (15 Year) |
|
4.00% |
|
4/12 |
|
|
(17,270 |
) |
| |
(14,700) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
4.50% |
|
5/12 |
|
|
(15,612 |
) |
| |
(13,500) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
5.50% |
|
4/12 |
|
|
(14,709 |
) |
| |
(11,000) |
|
|
Federal National Mortgage Association Pool (15 Year) |
|
4.50% |
|
4/12 |
|
|
(11,777 |
) |
| |
(3,800) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
3.50% |
|
4/12 |
|
|
(3,903 |
) |
| |
(2,500) |
|
|
Federal National Mortgage Association Pool (30 Year) |
|
6.00% |
|
4/12 |
|
|
(2,755 |
) |
| |
(1,900) |
|
|
Other Federal Home Loan Mortgage Corporation Pools
(30 Year) |
|
4.50% - 6.00% |
|
4/12 |
|
|
(2,057 |
) |
| |
(1,500) |
|
|
Other Government National Mortgage Association Pool
(30 Year) |
|
5.50% |
|
4/12 |
|
|
(1,677 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$566,348) |
|
|
|
|
|
|
(566,366 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
U.S. Treasury Securities Sold Short (-3.40%) |
|
|
|
|
|
|
|
|
| |
(13,000) |
|
|
U.S. Treasury Note |
|
1.75% |
|
5/16 |
|
|
(13,486 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total U.S. Treasury Securities Sold Short (Proceeds -$13,099) |
|
|
|
|
|
|
(13,486 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Investments Sold Short (Proceeds -$579,447) |
|
|
|
|
|
$ |
(579,852 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Primary Risk
Exposure |
|
Notional
Value |
|
|
Range of
Expiration
Dates |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
Financial Derivatives - Assets (23.74%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (23.74%) (e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset-Backed Indices
(Cost - $464) (f) |
|
Credit |
|
$ |
12,198 |
|
|
6/36 - 7/36 |
|
$ |
538 |
|
|
Interest Rate Swaps (g) |
|
Interest Rates |
|
|
4,500 |
|
|
10/16 |
|
|
82 |
|
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset-Backed Securities (h) |
|
Credit |
|
|
(57,875 |
) |
|
9/34 - 12/36 |
|
|
48,746 |
|
|
Credit Default Swaps on Asset-Backed Indices: (i) |
|
Credit |
|
|
|
|
|
|
|
|
|
|
|
ABX.HE AAA 2006-2 Index |
|
|
|
|
(61,791 |
) |
|
5/46 |
|
|
31,178 |
|
|
Other |
|
|
|
|
(51,846 |
) |
|
8/37 - 10/52 |
|
|
13,507 |
|
|
Interest Rate Swaps (j) |
|
Interest Rates |
|
|
(600 |
) |
|
12/21 |
|
|
5 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Cost $105,906) |
|
|
|
|
|
|
|
|
|
|
94,056 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Assets (Cost $105,906) |
|
|
|
|
|
|
|
|
|
$ |
94,056 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivatives - Liabilities (-6.89%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (-6.88%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset-Backed Indices
(Proceeds - $20,178) (f) |
|
Credit |
|
$ |
46,618 |
|
|
8/37 - 2/51 |
|
$ |
(19,998 |
) |
|
Interest Rate Swaps (g) |
|
Interest Rates |
|
|
12,900 |
|
|
1/17 - 3/17 |
|
|
(94 |
) |
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Corporate Bond Indices (k) |
|
Credit |
|
|
(78,250 |
) |
|
6/17 |
|
|
(364 |
) |
|
Credit Default Swaps on Asset-Backed Indices (i) |
|
Credit |
|
|
(12,198 |
) |
|
6/36 - 7/36 |
|
|
(538 |
) |
|
Interest Rate Swaps (j) |
|
Interest Rates |
|
|
(222,500 |
) |
|
4/14 - 3/22 |
|
|
(6,003 |
) |
|
Total Return Swaps (l) |
|
Equity Market |
|
|
(22,446 |
) |
|
9/12 - 9/13 |
|
|
(249 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Proceeds -$21,088) |
|
|
|
|
|
|
|
|
|
|
(27,246 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures (-0.01%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar Futures (m) |
|
Interest Rates |
|
|
(126,000 |
) |
|
6/12 - 9/13 |
|
|
(52 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures |
|
|
|
|
|
|
|
|
|
|
(52 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Liabilities (Proceeds -$21,088) |
|
|
|
|
|
|
|
|
|
$ |
(27,298 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
See Note 2 in Notes to Consolidated Financial Statements. |
| (b) |
At March 31, 2012, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation and the Government National Mortgage Association represented 173.71%, 28.02%, and 0.32% of shareholders' equity, respectively. |
| (c) |
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
| (d) |
At March 31, 2012, the Company's short investments guaranteed by the Federal National Mortgage Association, the Government National Mortgage Association and the Federal Home Loan Mortgage Corporation represented 130.25%, 7.67%, and 5.01% of shareholders' equity, respectively. |
| (e) |
The following table shows the Company's swap assets by dealer as a percentage of shareholders' equity: |
| |
|
|
|
|
|
Dealer/Parent Company |
|
Percent of
Shareholders'
Equity |
|
|
Affiliates of Morgan Stanley |
|
|
6.69 |
% |
| (f) |
For long credit default swaps on asset-backed indices, the Company sold protection. |
| (g) |
For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. |
| (h) |
For short credit default swaps on asset-backed securities, the Company purchased protection. |
| (i) |
For short credit default swaps on asset-backed indices, the Company purchased protection. |
| (j) |
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
| (k) |
For short credit default swaps on corporate bond indices, the Company purchased protection. |
| (l) |
Notional amount represents number of underlying shares or par value times the closing price of the underlying security. |
| (m) |
Every $1,000,000 notional value represents one contract. |
| (n) |
Maturity date may be extended through November 4, 2015. |
| (o) |
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided rating is used. The ratings descriptions include ratings qualified with a "+", "-", "1", "2", or "3". |
| |
|
|
|
|
|
Rating Description |
|
Percentage of
Shareholders'
Equity |
|
|
Unrated but Agency-Guaranteed |
|
|
202.05 |
% |
|
Aaa/AAA/AAA |
|
|
0.98 |
% |
|
Aa/AA/AA |
|
|
0.59 |
% |
|
A/A/A |
|
|
3.64 |
% |
|
Baa/BBB/BBB |
|
|
1.49 |
% |
|
Ba/BB/BB or below |
|
|
99.39 |
% |
|
Unrated |
|
|
1.14 |
% |
See Notes to Consolidated Financial Statements
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
Description |
|
Rate |
|
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
North America |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Long Investments (326.89%) (a) (b) (o) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Mortgage-Backed Securities (322.98%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Agency Securities (206.07%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Fixed Rate Agency Securities (195.78%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
Principal and Interest - Fixed Rate Agency Securities (185.76%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| $ 85,000 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
10/41 |
|
$ |
90,611 |
|
| 25,882 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/41 |
|
|
28,107 |
|
| 25,456 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
11/40 |
|
|
26,824 |
|
| 24,164 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
12/41 |
|
|
25,874 |
|
| 20,212 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
8/41 |
|
|
21,937 |
|
| 18,867 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
7/41 |
|
|
20,417 |
|
| 18,434 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/41 |
|
|
19,738 |
|
| 18,120 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
10/41 |
|
|
19,397 |
|
| 17,391 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
3/41 |
|
|
18,941 |
|
| 17,182 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/41 |
|
|
18,328 |
|
| 15,465 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
9/39 |
|
|
16,620 |
|
| 15,243 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/41 |
|
|
16,260 |
|
| 14,964 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
11/41 |
|
|
15,991 |
|
| 13,451 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/41 |
|
|
14,348 |
|
| 13,554 |
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
11/41 |
|
|
14,252 |
|
| 13,033 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
9/41 |
|
|
13,927 |
|
| 13,125 |
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
10/41 |
|
|
13,818 |
|
| 12,593 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/41 |
|
|
13,699 |
|
| 11,361 |
|
Federal National Mortgage Association Pool |
|
|
4.50 |
% |
|
4/26 |
|
|
12,154 |
|
| 11,095 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
9/41 |
|
|
12,098 |
|
| 10,358 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
1/41 |
|
|
10,902 |
|
| 9,995 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
5.00 |
% |
|
10/41 |
|
|
10,791 |
|
| 9,468 |
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
7/26 |
|
|
10,011 |
|
| 9,176 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
2/41 |
|
|
9,805 |
|
| 9,149 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50 |
% |
|
10/41 |
|
|
9,736 |
|
| 9,152 |
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
5/26 |
|
|
9,657 |
|
| 9,027 |
|
Federal National Mortgage Association Pool |
|
|
4.00 |
% |
|
9/41 |
|
|
9,498 |
|
| 8,468 |
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
10/39 |
|
|
9,269 |
|
| 8,400 |
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00 |
% |
|
3/41 |
|
|
8,851 |
|
| 8,123 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
9/41 |
|
|
8,836 |
|
| 7,437 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
9/41 |
|
|
8,072 |
|
| 7,261 |
|
Federal National Mortgage Association Pool |
|
|
5.50 |
% |
|
5/40 |
|
|
7,947 |
|
| 6,955 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
6/41 |
|
|
7,553 |
|
| 6,878 |
|
Federal National Mortgage Association Pool |
|
|
5.00 |
% |
|
7/41 |
|
|
7,465 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Principal and Interest - Fixed Rate Agency Securities (185.76%) (continued) |
|
| |
|
|
|
|
| |
$6,852 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
5/41 |
|
$ |
7,437 |
|
| |
6,823 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
6/41 |
|
|
7,406 |
|
| |
6,759 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00% |
|
|
6/26 |
|
|
7,147 |
|
| |
5,836 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
10/41 |
|
|
6,334 |
|
| |
5,531 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
6.00% |
|
|
4/39 |
|
|
6,095 |
|
| |
5,687 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00% |
|
|
10/41 |
|
|
5,987 |
|
| |
5,514 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
11/40 |
|
|
5,985 |
|
| |
5,711 |
|
|
Federal National Mortgage Association Pool |
|
|
3.50% |
|
|
11/41 |
|
|
5,883 |
|
| |
5,549 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00% |
|
|
5/41 |
|
|
5,833 |
|
| |
5,209 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50% |
|
|
8/41 |
|
|
5,557 |
|
| |
4,888 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
8/41 |
|
|
5,330 |
|
| |
4,799 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
6/40 |
|
|
5,209 |
|
| |
4,837 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50% |
|
|
4/41 |
|
|
5,190 |
|
| |
4,702 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
9/41 |
|
|
5,127 |
|
| |
4,398 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
3.50% |
|
|
10/41 |
|
|
4,522 |
|
| |
4,150 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
10/41 |
|
|
4,504 |
|
| |
4,230 |
|
|
Federal National Mortgage Association Pool |
|
|
4.00% |
|
|
9/41 |
|
|
4,454 |
|
| |
4,158 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.00% |
|
|
1/41 |
|
|
4,384 |
|
| |
4,100 |
|
|
Federal National Mortgage Association Pool |
|
|
4.50% |
|
|
11/41 |
|
|
4,374 |
|
| |
3,724 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
4.50% |
|
|
9/41 |
|
|
3,963 |
|
| |
3,751 |
|
|
Federal National Mortgage Association Pool |
|
|
3.50% |
|
|
11/41 |
|
|
3,859 |
|
| |
2,565 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
7/41 |
|
|
2,791 |
|
| |
2,391 |
|
|
Federal National Mortgage Association Pool |
|
|
5.00% |
|
|
11/41 |
|
|
2,595 |
|
| |
4,609 |
|
|
Other Federal National Mortgage Association Pools |
|
|
6.00% |
|
|
9/39 - 2/40 |
|
|
5,092 |
|
| |
1,197 |
|
|
Other Federal Home Loan Mortgage Corporation Pool |
|
|
6.00% |
|
|
5/40 |
|
|
1,319 |
|
| |
806 |
|
|
Other Government National Mortgage Association Pool |
|
|
5.50% |
|
|
3/41 |
|
|
907 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
689,018 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Only - Fixed Rate Agency Securities (1.38%) |
|
| |
|
|
|
|
| |
24,381 |
|
|
Other Federal National Mortgage Association |
|
|
5.00% - 5.50% |
|
|
1/36 - 10/40 |
|
|
2,734 |
|
| |
13,937 |
|
|
Other Federal Home Loan Mortgage Corporation |
|
|
5.00% - 5.50% |
|
|
6/33 - 1/39 |
|
|
1,772 |
|
| |
9,281 |
|
|
Other Government National Mortgage Association |
|
|
5.50% |
|
|
3/36 |
|
|
603 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
5,109 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TBA - Fixed Rate Agency Securities (8.64%) |
|
| |
|
|
|
|
| |
30,500 |
|
|
Federal National Mortgage Association (30 Year) |
|
|
4.00% |
|
|
1/12 |
|
|
32,033 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
32,033 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total Fixed Rate Agency Securities (Cost $718,177) |
|
|
726,160 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Floating Rate Agency Securities (10.29%) |
|
| |
|
|
Principal and Interest - Floating Rate Agency Securities (10.23%) |
|
| |
$ 9,464 |
|
|
Federal National Mortgage Association Pool |
|
|
5.10% |
|
|
5/38 |
|
$ |
9,969 |
|
| |
6,675 |
|
|
Federal National Mortgage Association Pool |
|
|
5.28% |
|
|
12/35 |
|
|
7,027 |
|
| |
6,627 |
|
|
Federal National Mortgage Association Pool |
|
|
5.29% |
|
|
2/38 |
|
|
6,954 |
|
| |
3,364 |
|
|
Federal Home Loan Mortgage Corporation Pool |
|
|
2.71% |
|
|
7/34 |
|
|
3,524 |
|
| |
3,261 |
|
|
Federal National Mortgage Association Pool |
|
|
5.52% |
|
|
7/37 |
|
|
3,493 |
|
| |
3,247 |
|
|
Federal National Mortgage Association Pool |
|
|
5.69% |
|
|
4/36 |
|
|
3,441 |
|
| |
1,906 |
|
|
Federal National Mortgage Association Pool |
|
|
5.44% |
|
|
9/37 |
|
|
2,023 |
|
| |
1,444 |
|
|
Other Federal National Mortgage Association Pool |
|
|
5.01% |
|
|
10/33 |
|
|
1,525 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
37,956 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Interest Only - Floating Rate Agency Securities (0.06%) |
|
| |
1,476 |
|
|
Other Federal National Mortgage Association Pool |
|
|
5.50% |
|
|
8/36 |
|
|
228 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
228 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Floating Rate Agency Securities (Cost $37,594) |
|
|
|
|
|
|
|
|
38,184 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Agency Securities (Cost $755,771) |
|
|
|
|
|
|
|
|
764,344 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Private Label Securities (116.91%) |
|
| |
|
|
Principal and Interest - Private Label Securities (114.91%) |
|
| |
762,480 |
|
|
Various |
|
|
0.35% - 9.35% |
|
|
5/19 - 12/47 |
|
|
426,202 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Principal and Interest - Private Label Securities (Cost $456,170) |
|
|
|
|
|
|
|
|
426,202 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Interest Only - Private Label Securities (0.48%) |
|
| |
76,167 |
|
|
Various |
|
|
0.50% - 6.91% |
|
|
7/35 - 9/47 |
|
|
1,774 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Interest Only - Private Label Securities (Cost $1,471) |
|
|
|
|
|
|
|
|
1,774 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Other Private Label Securities (1.52%) |
|
| |
201,831 |
|
|
Various |
|
|
— |
|
|
6/37 - 9/46 |
|
|
5,650 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Other Private Label Securities (Cost $6,011) |
|
|
|
|
|
|
|
|
5,650 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Private Label Securities (Cost $463,652) |
|
|
|
|
|
|
|
|
433,626 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Mortgage-Backed Securities (Cost $1,219,423) |
|
|
|
|
|
|
|
|
1,197,970 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Commercial Mortgage Loans (1.19%) (n) |
|
| |
5,000 |
|
|
Various |
|
|
6.25% |
|
|
11/12 |
|
|
4,400 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Commercial Mortgage Loans (Cost $4,789) |
|
|
|
|
|
|
|
|
4,400 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
U.S. Treasury Securities (2.72%) |
|
| |
10,000 |
|
|
U.S. Treasury Note |
|
|
2.00% |
|
|
11/21 |
|
|
10,113 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total U.S. Treasury Securities (Cost $9,991) |
|
|
|
|
|
|
|
|
10,113 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Long Investments (Cost $1,234,203) |
|
|
|
|
|
|
|
$ |
1,212,483 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current Principal/
Notional Value |
|
|
Description |
|
Rate |
|
|
Maturity |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
|
Repurchase Agreements (4.24% ) (c) |
|
|
|
|
|
|
|
|
|
|
| |
$ 15,750 |
|
|
Bank of America Securities
Collateralized by Par Value $15,000
U.S. Treasury Note, Coupon 1.75%,
Maturity Date 5/16 |
|
|
0.01% |
|
|
1/12 |
|
$ |
15,750 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Repurchase Agreements (Cost $15,750) |
|
|
|
|
|
|
|
$ |
15,750 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Investments Sold Short (-124.66%) |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
TBA - Fixed Rate Agency Securities Sold Short (-120.43%) (d) |
|
|
|
|
|
|
|
|
|
|
| |
$(147,700) |
|
|
Federal National Mortgage Association (30 Year) |
|
|
4.50 |
% |
|
1/12 |
|
$ |
(157,185 |
) |
| |
(114,200) |
|
|
Federal National Mortgage Association (30 Year) |
|
|
5.00 |
% |
|
1/12 |
|
|
(123,376 |
) |
| |
(31,000) |
|
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
5.00 |
% |
|
1/12 |
|
|
(33,316 |
) |
| |
(30,400) |
|
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
4.50 |
% |
|
1/12 |
|
|
(32,217 |
) |
| |
(26,000) |
|
|
Government National Mortgage Association (30 Year) |
|
|
5.00 |
% |
|
1/12 |
|
|
(28,805 |
) |
| |
(25,300) |
|
|
Federal National Mortgage Association (15 Year) |
|
|
4.00 |
% |
|
1/12 |
|
|
(26,688 |
) |
| |
(13,500) |
|
|
Federal National Mortgage Association (30 Year) |
|
|
5.50 |
% |
|
1/12 |
|
|
(14,700 |
) |
| |
(11,000) |
|
|
Federal National Mortgage Association (15 Year) |
|
|
4.50 |
% |
|
1/12 |
|
|
(11,727 |
) |
| |
(8,400) |
|
|
Federal National Mortgage Association (30 Year) |
|
|
3.50 |
% |
|
1/12 |
|
|
(8,640 |
) |
| |
(4,400) |
|
|
Federal Home Loan Mortgage Corporation (30 Year) |
|
|
3.50 |
% |
|
1/12 |
|
|
(4,517 |
) |
| |
(2,500) |
|
|
Federal National Mortgage Association (30 Year) |
|
|
6.00 |
% |
|
1/12 |
|
|
(2,753 |
) |
| |
(1,500) |
|
|
Other Government National Mortgage Association (30 Year) |
|
|
5.50 |
% |
|
1/12 |
|
|
(1,685 |
) |
| |
(1,000) |
|
|
Other Federal Home Loan Mortgage Corporation (30 Year) |
|
|
6.00 |
% |
|
1/12 |
|
|
(1,098 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total TBA - Fixed Rate Agency Securities Sold Short (Proceeds -$443,893) |
|
|
|
|
|
|
|
|
(446,707 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
U.S. Treasury Securities Sold Short (-4.23%) |
|
|
|
|
|
|
|
|
|
|
| |
(15,000) |
|
|
U.S. Treasury Note |
|
|
1.75 |
% |
|
5/16 |
|
|
(15,687 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total U.S. Treasury Securities Sold Short (Proceeds -$15,120) |
|
|
|
|
|
|
|
|
(15,687 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
Total Investments Sold Short (Proceeds -$459,013) |
|
|
|
|
|
|
|
$ |
(462,394 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Primary Risk
Exposure |
|
Notional
Value |
|
|
Range of
Expiration
Dates |
|
Fair Value |
|
| (In thousands) |
|
|
|
|
|
|
|
|
Expressed in U.S.
Dollars |
|
|
Financial Derivatives - Assets (27.73%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (27.73%) (e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps (g) |
|
Interest Rates |
|
$ |
4,500 |
|
|
10/16 |
|
$ |
68 |
|
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset-Backed Securities (h) |
|
Credit |
|
|
(74,787 |
) |
|
9/34 - 12/36 |
|
|
61,498 |
|
|
Credit Default Swaps on Asset-Backed Indices: (i) |
|
Credit |
|
|
|
|
|
|
|
|
|
|
|
ABX.HE AAA 2006-2 Index |
|
|
|
|
(62,842 |
) |
|
5/46 |
|
|
35,542 |
|
|
Other |
|
|
|
|
(19,800 |
) |
|
3/49 - 10/52 |
|
|
4,761 |
|
|
Credit Default Swaps on Corporate Bond Indices (k) |
|
Credit |
|
|
(106,500 |
) |
|
12/16 |
|
|
963 |
|
|
Interest Rate Swaps (j) |
|
Interest Rates |
|
|
(25,000 |
) |
|
12/14 |
|
|
27 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Cost $118,281) |
|
|
|
|
|
|
|
|
|
|
102,859 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures (-0.00%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Short Futures: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Eurodollar Futures (m) |
|
Interest Rates |
|
|
(147,000 |
) |
|
3/12 - 9/13 |
|
|
12 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Futures |
|
|
|
|
|
|
|
|
|
|
12 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Assets (Cost $118,281) |
|
|
|
|
|
|
|
|
|
$ |
102,871 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivatives - Liabilities (-7.29%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps (-7.29%) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Asset-Backed Indices
(Proceeds - $9,636) (f) |
|
Credit |
|
$ |
22,615 |
|
|
6/36 - 2/51 |
|
$ |
(9,548 |
) |
|
Short Swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swaps (j) |
|
Interest Rates |
|
|
(280,400 |
) |
|
4/14 - 12/21 |
|
|
(17,218 |
) |
|
Total Return Swaps (l) |
|
Equity Market |
|
|
(20,571 |
) |
|
9/12 - 9/13 |
|
|
(274 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Swaps (Proceeds -$9,636) |
|
|
|
|
|
|
|
|
|
|
(27,040 |
) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivatives - Liabilities (Proceeds -$9,636) |
|
|
|
|
|
|
|
|
|
$ |
(27,040 |
) |
| |
|
|
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| (a) |
See Note 2 in Notes to Consolidated Financial Statements. |
| (b) |
At December 31, 2011, the Company's long investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 142.04%, 63.62%, and 0.41% of shareholders' equity, respectively. |
| (c) |
In general, securities received pursuant to repurchase agreements were delivered to counterparties in short sale transactions. |
| (d) |
At December 31, 2011, the Company's short investments guaranteed by the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, and the Government National Mortgage Association represented 93.03%, 19.18%, and 8.22% of shareholders' equity, respectively. |
| (e) |
The following table shows the Company's swap assets by dealer as a percentage of shareholders' equity: |
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Dealer/Parent Company |
|
Percent of
Shareholders'
Equity |
|
|
Affiliates of Morgan Stanley |
|
|
8.15 |
% |
|
Affiliates of Credit Suisse |
|
|
7.27 |
% |
|
Affiliates of Deutsche Bank |
|
|
5.65 |
% |
| (f) |
For long credit default swaps on asset backed indices, the Company sold protection. |
| (g) |
For long interest rate swap contracts, a floating rate is being paid and a fixed rate is being received. |
| (h) |
For short credit default swaps on asset backed securities, the Company purchased protection. |
| (i) |
For short credit default swaps on asset backed indices, the Company purchased protection. |
| (j) |
For short interest rate swap contracts, a fixed rate is being paid and a floating rate is being received. |
| (k) |
For short credit default swaps on corporate bond indices, the Company purchased protection. |
| (l) |
Notional value represents number of underlying shares or par value times the closing price of the underlying security. |
| (m) |
Every $1,000,000 in notional value represents one contract. |
| (n) |
Maturity date may be extended through November 4, 2015. |
| (o) |
The table below shows the Company's long investment ratings from Moody's, Standard and Poor's, or Fitch, as well as the Company's long investments that were unrated but affiliated with Fannie Mae, Freddie Mac, or Ginnie Mae. Ratings tend to be a lagging credit indicator; as a result, the credit quality of the Company's long investment holdings may be lower than the credit quality implied based on the ratings listed below. In situations where an investment has a split rating, the lowest provided |
rating is used. The ratings descriptions include ratings qualified with a "+", "-", "1", "2", or "3".
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Rating Description |
|
Percentage of
Shareholders'
Equity |
|
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U.S. Treasury Securities |
|
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2.72 |
% |
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Unrated but Agency-Guaranteed |
|
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206.07 |
% |
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Aaa/AAA/AAA |
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1.25 |
% |
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Aa/AA/AA |
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1.88 |
% |
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A/A/A |
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5.44 |
% |
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Baa/BBB/BBB |
|
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3.46 |
% |
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Ba/BB/BB or below |
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103.36 |
% |
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Unrated |
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2.71 |
% |
See Notes to Consolidated Financial Statements |