Attached files
| file | filename |
|---|---|
| 8-K - Invesco Mortgage Capital Inc. | form8k020513.htm |
________________________________________________________
Press Release
For immediate release
________________________________________________________
Invesco Mortgage Capital Inc. Reports
Fourth Quarter 2012 Financial Results
Contact: Bill Hensel, 404-479-2886
Atlanta – February 5, 2013 -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the “Company”) today announced results for the quarter ended December 31, 2012.
The Company reported net income of $90.6 million, or $0.77 per common share (basic and diluted), for the quarter ended December 31, 2012 (after deducting the preferred dividend of $2.7 million) compared to $84.1 million, or $0.72 per common share (basic and diluted), for the quarter ended September 30, 2012. The Company also reported its book value per common share as of December 31, 2012 was $20.83, compared to $20.93 per common share as of September 30, 2012.
“Our fourth quarter strategy was to increase our allocation to credit assets and we accomplished this while delivering strong earnings per share of $0.77,” said Richard King, President and Chief Executive Officer. “During 2012, we successfully completed our goal of improving our book value while maintaining a stable dividend. The improving trend in the housing market should create great opportunities, and we believe the repositioning of the portfolio combined with our recent capital raise have us well positioned for 2013.”
|
($ in millions, except per share amounts)
|
||
|
Q4 ‘12
|
Q3 ‘12
|
|
|
(unaudited)
|
(unaudited)
|
|
|
Average Earning Assets (at amortized costs)
|
$17,776.3
|
$16,955.1
|
|
Average Borrowed Funds
|
15,822.1
|
14,440.3
|
|
Average Equity
|
$2,482.5
|
$2,329.9
|
|
Interest Income
|
$145.4
|
$140.5
|
|
Interest Expense
|
65.1
|
60.3
|
|
Net Interest Income
|
80.3
|
80.2
|
|
Other Income
|
23.2
|
16.6
|
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Operating Expenses
|
10.2
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10.0
|
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Net Income
|
93.3
|
86.8
|
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Preferred Dividend
|
2.7
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2.7
|
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Net Income after Preferred Dividend
|
$90.6
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$84.1
|
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Average Portfolio Yield
|
3.27%
|
3.31%
|
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Average Cost of Funds
|
1.65%
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1.67%
|
|
Debt to Equity Ratio
|
6.1
|
5.8
|
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Return on Average Equity
|
14.60%
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14.44%
|
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Book Value per Common Share (Diluted)
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$20.83
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$20.93
|
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Earnings per Common share (Basic and Diluted)
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$0.77
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$0.72
|
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Dividend per Common share
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$0.65
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$0.65
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Dividend per Preferred share
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$0.4844
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$0.4790
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Financial Summary
The Company’s portfolio of mortgage-backed securities (“MBS”) was $18.5 billion as of December 31, 2012, an increase of $0.2 billion from September 30, 2012. For the quarter ended December 31, 2012, average earning assets were $17.8 billion, representing an increase of $0.8 billion from September 30, 2012. The portfolio generated interest income of $145.4 million, which reflects an increase of $4.9 million from September 30, 2012.
For the quarter ended December 31, 2012, the Company had average borrowings of approximately $15.8 billion and interest expense, including cost of hedging, of $65.1 million, compared to $14.4 billion and $60.3 million, respectively, for the third quarter of 2012. Our average cost of funds was 1.65% and 1.67% for the fourth quarter of 2012 and the third quarter of 2012, respectively.
Operating expenses for the fourth quarter of 2012 totalled $10.2 million, compared to $10.0 million for the third quarter of 2012. The ratio of operating expenses to average equity in the fourth quarter of 2012 decreased 0.08% to 1.64%.
The Company declared a common stock dividend of $0.65 per common share for the fourth quarter of 2012. The dividend was paid on January 28, 2013.
The Company declared a preferred stock dividend of $0.4844 per preferred share for the fourth quarter of 2012. The dividend was paid on January 25, 2013.
About Invesco Mortgage Capital Inc.
Invesco Mortgage Capital Inc. is a real estate investment trust that focuses on financing and managing residential and commercial mortgage-backed securities and mortgage loans. Invesco Mortgage Capital Inc. is externally managed and advised by Invesco Advisers, Inc., a subsidiary of Invesco Ltd. (NYSE: IVZ), a leading independent global investment management firm.
Earnings Call
Members of the investment community and the general public are invited to listen to the Company’s earnings conference call on Wednesday, February 6, 2013, at 8:30 a.m. ET, by calling one of the following numbers:
US/Canada Toll Free: 888-942-8507
International: 415-228-4839
Passcode: Invesco
An audio replay will be available until 5:00 pm ET on February, 20, 2013 by calling:
888-568-0862 (North America) or 203-369-3485 (International).
The presentation slides that will be reviewed during the call will be available on the Company’s website at www.invescomortgagecapital.com.
Cautionary Notice Regarding Forward-Looking Statements
This press release, and comments made in the associated conference call, may include statements and information that constitute “forward-looking statements” within the meaning of the U.S. securities laws. Forward-looking statements include statements with respect to our beliefs, plans, objectives, goals, targets, expectations, anticipations, assumptions, estimates, intentions and future performance. In addition, words such as “will,” “anticipates,” “expects” and “plans,” as well as any other statement that necessarily depends on future events, are intended to identify forward-looking statements.
Forward-looking statements are not guarantees and they involve risks, uncertainties and assumptions. There can be no assurance that actual results will not differ materially from our expectations. We caution investors not to rely unduly on any forward-looking statements and urge investors to carefully consider the risks identified under the captions “Risk Factors,” “Forward-Looking Statements” and “Management’s
Discussion and Analysis of Financial Condition and Results of Operations” in our annual report on Form 10-K and quarterly reports on Form 10-Q, which are available on the Securities and Exchange Commission’s website at www.sec.gov.
All written or oral forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice. We expressly disclaim any obligation to update the information in any public disclosure if any forward-looking statement later turns out to be inaccurate.
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONSOLIDATED STATEMENTS OF OPERATIONS
(Unaudited)
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|
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Three Months Ended
|
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Year Ended
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|||||||||
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December 31,
|
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December 31,
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||||||||
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$ in thousands, except per share data
|
2012
|
|
2011
|
|
2012
|
|
2011
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|||||||
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|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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Revenues
|
|
|
|
|
|
|
|
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|
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Interest income
|
|
145,389
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|
|
137,545
|
|
|
566,830
|
|
|
453,352
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||
|
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Interest expense
|
|
65,093
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|
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55,004
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|
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237,405
|
|
|
155,241
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Net interest income
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|
80,296
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|
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82,541
|
|
|
329,425
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|
|
298,111
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
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Gain on sale of investments
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23,236
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|
|
2,517
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|
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48,215
|
|
|
10,959
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||
|
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Equity in earnings and fair value change in unconsolidated
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
ventures
|
|
937
|
|
|
563
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|
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7,169
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|
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3,301
|
|
|
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Unrealized loss on interest rate swaps and swaptions
|
|
(1,382)
|
|
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(109)
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|
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(4,232)
|
|
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(764)
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||
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Realized and unrealized credit default swap income
|
|
420
|
|
|
659
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|
|
3,115
|
|
|
5,308
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||
|
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Total other income
|
|
23,211
|
|
|
3,630
|
|
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54,267
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|
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18,804
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|
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|
|
|
|
|
|
|
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Expenses
|
|
|
|
|
|
|
|
|
|
|
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Management fee – related party
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9,285
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|
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8,647
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|
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35,658
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|
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26,259
|
||
|
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General and administrative
|
|
892
|
|
|
1,003
|
|
|
4,026
|
|
|
3,859
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||
|
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Total expenses
|
|
10,177
|
|
|
9,650
|
|
|
39,684
|
|
|
30,118
|
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|
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Net income
|
|
93,330
|
|
|
76,521
|
|
|
344,008
|
|
|
286,797
|
||
|
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Net income attributable to non-controlling interest
|
|
1,098
|
|
|
934
|
|
|
4,123
|
|
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4,882
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Net income attributable to Invesco Mortgage Capital Inc.
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92,232
|
75,587
|
339,885
|
281,915
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||||||||||
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Dividends to preferred shareholders
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2,713
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-
|
5,395
|
-
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||||||||||
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Net income attributable to common shareholders
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|
89,519
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|
|
75,587
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|
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334,490
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|
|
281,915
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Earnings per share:
|
|
|
|
|
|
|
|
|
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Net income attributable to common shareholders
|
|
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|
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|
|
|
|
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(basic/diluted)
|
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0.77
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|
|
0.66
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|
|
2.89
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|
|
3.27
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|
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Dividends declared per common share
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0.65
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|
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0.65
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|
2.60
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|
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3.42
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Weighted average number of shares of common stock:
|
|
|
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|
|
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|
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Basic
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116,016
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|
|
115,392
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|
|
115,559
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|
86,365
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||
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Diluted
|
|
117,472
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|
|
116,835
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|
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117,012
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|
|
87,804
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INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
|
$ in thousands, except share and per share amounts
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As of
|
|||||
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|
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December 31,
|
|
December 31,
|
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ASSETS
|
2012
|
|
2011
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|||
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|
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|
|
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|
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(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
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Mortgage-backed securities, at fair value
|
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18,470,563
|
|
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14,214,149
|
|
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Cash and cash equivalents
|
|
286,474
|
|
|
197,224
|
|
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Restricted cash
|
|
12,371
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|
|
74,496
|
|
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Investment related receivable
|
|
41,429
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|
|
160,424
|
|
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Investments in unconsolidated ventures, at fair value
|
|
35,301
|
|
|
68,793
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|
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Accrued interest receivable
|
|
62,977
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|
|
54,167
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|
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Derivative assets, at fair value
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|
6,469
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|
|
1,339
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|
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Other assets
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|
11,547
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|
|
1,575
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Total assets
|
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18,927,131
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14,772,167
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LIABILITIES AND EQUITY
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Liabilities:
|
|
|
|
|
|
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Repurchase agreements
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|
15,720,460
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|
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12,253,038
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Derivative liability, at fair value
|
|
436,440
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|
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396,780
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Dividends and distributions payable
|
|
79,165
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|
|
75,933
|
|
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Investment related payable
|
|
76,086
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|
|
107,032
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|
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Accrued interest payable
|
|
15,275
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|
|
12,377
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|
|
Accounts payable and accrued expenses
|
|
877
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|
|
556
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|
|
Due to affiliate
|
|
9,308
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|
|
9,038
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Total liabilities
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16,337,611
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12,854,754
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Equity:
|
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Preferred Stock, par value $0.01 per share; 50,000,000 shares
|
|
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|
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authorized, 7.75% series A cumulative redeemable, $25 liquidation
|
|
|
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preference, 5,600,000 and no shares issued and outstanding at
|
|
|
|
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|
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December 31, 2012 and 2011, respectively
|
|
135,362
|
|
|
-
|
|
Common Stock: par value $0.01 per share; 450,000,000 shares
|
|
|
|
|
|
|
|
|
authorized, 116,195,500 and 115,395,695 shares issued and
|
|
|
|
|
|
|
|
outstanding, at December 31, 2012 and 2011, respectively
|
|
1,162
|
|
|
1,154
|
|
Additional paid in capital
|
|
2,316,290
|
|
|
2,299,543
|
|
|
Accumulated other comprehensive income (loss)
|
|
86,436
|
|
|
(393,291)
|
|
|
Retained earnings (distributions in excess of earnings)
|
|
18,848
|
|
|
(15,068)
|
|
|
|
Total shareholders’ equity
|
|
2,558,098
|
|
|
1,892,338
|
|
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
31,422
|
|
|
25,075
|
|
|
|
Total equity
|
|
2,589,520
|
|
|
1,917,413
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
18,927,131
|
|
|
14,772,167
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities
The following table summarizes certain characteristics of the Company’s mortgage-backed securities portfolio as of December 31, 2012:
|
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|
|
|
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|
|
|
Period-
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
|
end
|
|
|
Quarterly
|
|
|||
|
|
|
|
|
Unamortized
|
|
|
|
Unrealized
|
|
|
|
Weighted
|
|
|
Weighted
|
|
|
Weighted
|
|
|
|
|
|
Principal
|
|
Premium
|
|
Amortized
|
|
Gain/
|
|
Fair
|
|
Average
|
|
|
Average
|
|
|
Average
|
|
|
|
$ in thousands
|
Balance
|
|
(Discount)
|
|
Cost
|
|
(Loss), net
|
|
Value
|
|
Coupon (1)
|
|
|
Yield (2)
|
|
|
Yield (3)
|
|
||
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
15 year fixed-rate
|
1,964,999
|
|
102,058
|
|
2,067,057
|
|
63,839
|
|
2,130,896
|
|
4.09
|
%
|
|
2.37
|
%
|
|
2.37
|
%
|
|
|
|
30 year fixed-rate
|
9,168,196
|
|
601,592
|
|
9,769,788
|
|
238,949
|
|
10,008,737
|
|
4.21
|
%
|
|
2.89
|
%
|
|
2.88
|
%
|
|
|
|
ARM
|
109,937
|
|
3,464
|
|
113,401
|
|
2,365
|
|
115,766
|
|
3.15
|
%
|
|
2.06
|
%
|
|
2.02
|
%
|
|
|
|
Hybrid ARM
|
556,790
|
|
13,493
|
|
570,283
|
|
16,885
|
|
587,168
|
|
3.19
|
%
|
|
2.18
|
%
|
|
2.22
|
%
|
|
|
|
|
Total Agency pass-through
|
11,799,922
|
|
720,607
|
|
12,520,529
|
|
322,038
|
|
12,842,567
|
|
4.13
|
%
|
|
2.77
|
%
|
|
2.75
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Agency-CMO(4)
|
1,322,043
|
|
(819,530)
|
|
502,513
|
|
1,926
|
|
504,439
|
|
2.89
|
%
|
|
2.35
|
%
|
|
1.51
|
%
|
|
|
|
Non-Agency RMBS(5)
|
3,339,683
|
|
(308,885)
|
|
3,030,798
|
|
48,238
|
|
3,079,036
|
|
4.20
|
%
|
|
4.61
|
%
|
|
4.80
|
%
|
|
|
|
CMBS
|
1,868,928
|
|
24,070
|
|
1,892,998
|
|
151,523
|
|
2,044,521
|
|
5.27
|
%
|
|
4.96
|
%
|
|
4.82
|
%
|
|
|
Total
|
18,330,576
|
|
(383,738)
|
|
17,946,838
|
|
523,725
|
|
18,470,563
|
|
4.17
|
%
|
|
3.30
|
%
|
|
3.27
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
(1) Net weighted average coupon as of December 31, 2012 (“WAC”) is presented net of servicing and other fees.
|
|
|
|
|||||||||||||||||
|
(2) Average yield based on amortized cost as of December 31, 2012 incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
|
(3) Average yield based on average amortized cost for the three months ended December 31, 2012 incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
|
(4) Included in the Agency-CMO are interest only securities which represent 14.1% of the balance based on fair value.
|
|
|
|
|||||||||||||||||
|
(5) The non-Agency RMBS held by the Company is 79.2% variable rate, 15.5% fixed rate, and 5.3% floating rate based on fair value.
|
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Constant Prepayment Rates (CPR)
The CPR of our portfolio impacts the amount of premium and discount on the purchase of securities that is recognized into income. The following table shows the three month CPR for our RMBS compared to bonds with similar characteristics (“Cohorts”):
|
December 31, 2012
|
|
September 30, 2012
|
|||||
|
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
17.4
|
|
26.5
|
|
14.6
|
|
23.4
|
|
30 year Agency RMBS
|
11.6
|
|
20.9
|
|
13.1
|
|
20.7
|
|
Agency Hybrid ARM RMBS
|
28.5
|
|
NA
|
|
20.0
|
|
NA
|
|
Non-Agency RMBS
|
17.7
|
|
NA
|
|
16.2
|
|
NA
|
|
Overall
|
14.6
|
|
NA
|
|
14.3
|
|
NA
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
The following table summarizes the Company’s borrowings by type of investment for the periods ended December 31, 2012 and December 31, 2011:
|
$ in thousands
|
|
December 31, 2012
|
|
December 31, 2011
|
||||||||||||
|
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
Weighted
|
|
|
Average
|
|
|
|
|
Weighted
|
|
|
Average
|
|
|
|
|
|
|
Average
|
|
|
Remaining
|
|
|
|
|
Average
|
|
|
Remaining
|
|
|
|
Amount
|
|
Interest
|
|
|
Maturity
|
|
Amount
|
|
Interest
|
|
|
Maturity
|
||
|
|
|
Outstanding
|
|
Rate
|
|
|
(Days)
|
|
Outstanding
|
|
Rate
|
|
|
(Days)
|
||
|
Agency RMBS
|
|
|
11,713,565
|
|
0.48
|
%
|
|
16
|
|
|
9,491,538
|
|
0.38
|
%
|
|
22
|
|
Non-Agency RMBS
|
|
|
2,450,960
|
|
1.75
|
%
|
|
23
|
|
|
1,916,620
|
|
1.79
|
%
|
|
22
|
|
CMBS
|
|
|
1,555,935
|
|
1.51
|
%
|
|
18
|
|
|
844,880
|
|
1.55
|
%
|
|
22
|
|
Total
|
|
|
15,720,460
|
|
0.78
|
%
|
|
17
|
|
|
12,253,038
|
|
0.68
|
%
|
|
22
|
Interest Rate Hedges
The following table summarizes our hedging activity as of December 31, 2012:
|
$ in thousands
|
|
|
|
|
|
|
Fixed Interest Rate
|
|
Counterparty
|
Notional
|
Maturity Date
|
|
in Contract
|
|||
|
The Bank of New York Mellon
|
|
100,000
|
|
5/24/2013
|
|
|
1.83%
|
|
The Bank of New York Mellon
|
|
200,000
|
|
6/15/2013
|
|
|
1.73%
|
|
SunTrust Bank
|
|
100,000
|
|
7/15/2014
|
|
|
2.79%
|
|
Deutsche Bank AG
|
|
200,000
|
|
1/15/2015
|
|
|
1.08%
|
|
Deutsche Bank AG
|
|
250,000
|
|
2/15/2015
|
|
|
1.14%
|
|
Credit Suisse International
|
|
100,000
|
|
2/24/2015
|
|
|
3.26%
|
|
Credit Suisse International
|
|
100,000
|
|
3/24/2015
|
|
|
2.76%
|
|
Wells Fargo Bank, N.A.
|
|
100,000
|
|
7/15/2015
|
|
|
2.85%
|
|
Wells Fargo Bank, N.A.
|
|
50,000
|
|
7/15/2015
|
|
|
2.44%
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
1/24/2016
|
|
|
2.12%
|
|
The Bank of New York Mellon
|
|
300,000
|
|
1/24/2016
|
|
|
2.13%
|
|
Morgan Stanley Capital Services, Inc.
|
|
300,000
|
|
4/5/2016
|
|
|
2.48%
|
|
Citibank, N.A.
|
|
300,000
|
|
4/15/2016
|
|
|
1.67%
|
|
The Bank of New York Mellon
|
|
500,000
|
|
4/15/2016
|
|
|
2.24%
|
|
Credit Suisse International
|
|
500,000
|
|
4/15/2016
|
|
|
2.27%
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
5/16/2016
|
|
|
2.31%
|
|
Goldman Sachs Bank USA
|
|
500,000
|
|
5/24/2016
|
|
|
2.34%
|
|
Wells Fargo Bank, N.A.
|
|
250,000
|
|
6/15/2016
|
|
|
2.67%
|
|
Goldman Sachs Bank USA
|
|
250,000
|
|
6/15/2016
|
|
|
2.67%
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
6/24/2016
|
|
|
2.51%
|
|
Citibank, N.A.
|
|
500,000
|
|
10/15/2016
|
|
|
1.93%
|
|
Deutsche Bank AG
|
|
150,000
|
|
2/5/2018
|
|
|
2.90%
|
|
Morgan Stanley Capital Services, Inc.
|
|
100,000
|
|
4/5/2018
|
|
|
3.10%
|
|
JPMorgan Chase Bank, N.A.
|
|
200,000
|
|
5/15/2018
|
|
|
2.93%
|
|
UBS AG (1)
|
|
500,000
|
|
5/24/2018
|
|
|
1.10%
|
|
The Royal Bank of Scotland Plc (2)
|
|
500,000
|
|
9/5/2018
|
|
|
1.04%
|
|
Wells Fargo Bank, N.A.
|
|
200,000
|
|
3/15/2021
|
|
|
3.14%
|
|
Citibank, N.A.
|
|
200,000
|
|
5/25/2021
|
|
|
2.83%
|
|
HSBC Bank USA, National Association (3)
|
|
250,000
|
|
6/5/2023
|
|
|
1.91%
|
|
Total
|
|
8,000,000
|
|
|
|
|
2.13%
|
|
(1) Forward start date of May 2013
|
|||||||
|
(2) Forward start date of September 2013
|
|||||||
|
(3) Forward start date of June 2013
|
Average Balances
The following table shows the average balances for the three and twelve months ended December 31, 2012 and 2011:
|
|
|
Three Months Ended
|
|
Year Ended
|
|||||||||
|
|
|
December 31,
|
|
December 31,
|
|||||||||
|
$ in thousands
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||||
|
Average Balances*:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
15 year fixed-rate, at amortized cost
|
|
2,114,987
|
2,393,468
|
2,302,218
|
2,171,988
|
|||||||
|
|
30 year fixed-rate, at amortized cost
|
|
9,665,370
|
6,216,010
|
8,395,560
|
4,547,867
|
|||||||
|
|
ARM, at amortized cost
|
|
116,608
|
100,661
|
150,377
|
86,177
|
|||||||
|
Hybrid ARM, at amortized cost
|
591,081
|
1,309,862
|
1,028,432
|
998,933
|
|||||||||
|
|
MBS-CMO, at amortized cost
|
|
510,292
|
141,132
|
465,469
|
91,861
|
|||||||
|
Non-Agency RMBS, at amortized cost
|
|
2,922,411
|
2,539,250
|
2,524,635
|
2,057,477
|
||||||||
|
CMBS, at amortized cost
|
|
1,855,546
|
1,313,117
|
1,461,359
|
1,006,164
|
||||||||
|
Average MBS portfolio
|
|
17,776,295
|
14,013,500
|
16,328,050
|
10,960,467
|
||||||||
|
|
|
||||||||||||
|
Average Portfolio Yields: (1)
|
|
||||||||||||
|
Agency RMBS:
|
|
||||||||||||
|
|
15 year fixed-rate
|
|
2.37%
|
2.75%
|
2.54%
|
2.96%
|
|||||||
|
|
30 year fixed-rate
|
|
2.88%
|
3.52%
|
3.12%
|
3.59%
|
|||||||
|
ARM
|
2.02%
|
2.90%
|
2.51%
|
2.99%
|
|||||||||
|
|
Hybrid ARM
|
|
2.22%
|
2.49%
|
2.60%
|
2.58%
|
|||||||
|
|
MBS-CMO
|
|
1.51%
|
1.32%
|
2.02%
|
3.39%
|
|||||||
|
Non-Agency RMBS
|
|
4.80%
|
6.05%
|
5.16%
|
6.79%
|
||||||||
|
CMBS
|
|
4.82%
|
5.69%
|
5.22%
|
5.44%
|
||||||||
|
Average MBS portfolio
|
|
3.27%
|
3.93%
|
3.47%
|
4.14%
|
||||||||
|
|
|
||||||||||||
|
Average Borrowings*:
|
|
||||||||||||
|
|
Agency RMBS
|
|
12,010,877
|
9,179,788
|
11,161,176
|
7,146,066
|
|||||||
|
|
Non-Agency RMBS
|
|
2,313,014
|
1,994,379
|
1,902,754
|
1,536,245
|
|||||||
|
|
CMBS
|
|
1,498,221
|
952,777
|
1,108,438
|
791,212
|
|||||||
|
Total borrowed funds
|
|
15,822,112
|
12,126,944
|
14,172,368
|
9,473,523
|
||||||||
|
Maximum borrowings during the period (2)
|
16,227,024
|
12,253,038
|
16,227,024
|
12,253,038
|
|||||||||
|
|
|
||||||||||||
|
Average Cost of Funds: (3)
|
|
||||||||||||
|
|
Agency RMBS
|
|
0.45%
|
0.32%
|
0.39%
|
0.27%
|
|||||||
|
|
Non-Agency RMBS
|
|
1.71%
|
1.67%
|
1.76%
|
1.47%
|
|||||||
|
|
CMBS
|
|
1.50%
|
1.53%
|
1.55%
|
1.35%
|
|||||||
|
|
Unhedged cost of funds
|
|
0.74%
|
0.64%
|
0.67%
|
0.56%
|
|||||||
|
|
Hedged cost of funds
|
|
1.65%
|
1.81%
|
1.68%
|
1.64%
|
|||||||
|
|
|
||||||||||||
|
Average Equity: (4)
|
|
2,482,487
|
1,921,684
|
2,262,851
|
1,625,794
|
||||||||
|
Average debt/equity ratio (average during period)
|
|
6.4x
|
6.3x
|
6.3x
|
5.8x
|
||||||||
|
Debt/equity ratio (at period end)
|
|
6.1x
|
6.4x
|
6.1x
|
6.4x
|
||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Average amounts for each period are based on weighted month end balances. For the three and twelve months ended December 31, 2012, the average balances are presented on an amortized cost basis. Prior periods have been adjusted accordingly for comparative purposes.
|
|||||||||||||
|
(1) Average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by our average of the amortized cost of the investments. All yields are annualized.
|
|||||||||||||
|
(2) Amount represents the maximum borrowings at month-end during each of the respective periods.
|
|||||||||||||
|
(3) Average cost of funds is calculated by dividing interest expense, by our average borrowings.
|
|||||||||||||
|
(4) Average equity is calculated based on a weighted balance basis.
|
|||||||||||||