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CapitalSource Inc. Message Board

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  • youcanpickum youcanpickum Jul 24, 2007 3:34 PM Flag

    CSE's Business

    look at the 10Q. It shows rmbs of 5.7 billion and only 27 million( million, not billion) on non agency rmbs. There are over 3 billion agency rmbs fnma and freddie, and there are mortgage receivables or repackaged arm paper in the 2.5 billion range that are all prime.
    Residential Mortgage Investment Segment

    Portfolio Composition

    We invest directly in residential mortgage investments and as of March 31, 2007 and December 31, 2006, our portfolio of residential mortgage investments was as follows:


    March 31,
    December 31,

    2007 2006
    ($ in thousands)

    Mortgage-related receivables(1) $ 2,239,257 $ 2,295,922
    Residential mortgage-backed securities:
    Agency(2) 3,372,329 3,502,753
    Non-Agency(2) 27,610 34,243

    Total $ 5,639,196 $ 5,832,918




    (1) Represents secured receivables that are backed by adjustable rate residential prime mortgage loans.

    (2) See following paragraph for a description of these securities.


    We invest in RMBS, which are securities collateralized by residential mortgage loans. These securities include mortgage-backed securities whose payments of principal and interest are guaranteed by Fannie Mae or Freddie Mac (hereinafter �Agency MBS�). We also invest in RMBS issued by non-government-sponsored entities that are credit-enhanced through the use of subordination or in other ways that are inherent in a corresponding securitization transaction (hereinafter, �Non-Agency MBS�). Substantially all of our Agency MBS are collateralized by adjustable rate residential mortgage loans, including hybrid adjustable rate mortgage loans. We account for our Agency MBS as debt securities that are classified as trading investments and included in mortgage-backed securities pledged, trading on our accompanying consolidated balance sheets. We account for our Non-Agency MBS as debt securities that are classified as available-for-sale and included in investments on our accompanying consolidated balance sheets. The coupons on the loans underlying RMBS are fixed for stipulated periods of time and then reset annually thereafter. The weighted average net coupon of Agency MBS in our portfolio was 4.90% as of March 31, 2007 and the weighted average reset date for the portfolio was approximately 43 months. The weighted average net coupon of Non-Agency MBS in our portfolio was 8.38% as of March 31, 2007. The fair values of our Agency MBS and Non-Agency MBS were $3.4 billion and $27.6 million, respectively, as of March 31, 2007.

    As of March 31, 2007, we had $2.2 billion in mortgage-related receivables secured by prime residential mortgage loans. As of March 31, 2007, the weighted average interest rate on these receivables was 5.37%, and the weighted average contractual maturity was approximately 28.5 years. See further discussion on our accounting treatment of mortgage-related receivables in Note 4, Mortgage-Related Receivables and Related Owners Trust Securitizations , in our accompanying consolidated financial statements.

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