Attached files
| file | filename |
|---|---|
| 8-K - Invesco Mortgage Capital Inc. | form8k07312013.htm |
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Press Release
For immediate release
|
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Invesco Mortgage Capital Inc. Reports
Second Quarter 2013 Financial Results
Contact: Bill Hensel, 404-479-2886
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Invesco Mortgage Capital Inc. Results for Three Months Ended June 30, 2013
Net income of $140.3 million or $1.03 per common share
Core earnings of $79.8 million or $0.59 per common share *
Book Value of $17.88 per common share
Atlanta – July 31, 2013 -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the “Company”) today announced results for the quarter ended June 30, 2013.
“For the second quarter, we earned $1.03 per share on a GAAP basis and core earnings of $0.59 per share, which allowed us to maintain our $0.65 dividend,” said Richard King, President and CEO. “We believe our diversified portfolio and hedging strategy helped reduce the impact that rising interest rates had on our book value. We continue to position our portfolio for a rising rate environment and took additional steps last quarter to increase our hedging, reduce exposure to Agency RMBS and add credit assets.”
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($ in millions, except per share amounts)
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||
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Q2 ‘13
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Q1 ‘13
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(unaudited)
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(unaudited)
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|
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Average earning assets (at amortized costs)
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$21,614.6
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$19,985.0
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Average borrowed funds
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19,139.2
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17,238.0
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Average equity
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$2,774.4
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$2,708.5
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Interest income
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$175.7
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$160.5
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Interest expense
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79.5
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67.6
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Net interest income
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96.2
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92.9
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Other income
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61.3
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6.7
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Operating expenses
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13.9
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11.9
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Net income
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143.1
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87.7
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Preferred dividend
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2.7
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2.7
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Net income after preferred dividend
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$140.3
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$85.0
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Average portfolio yield
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3.25%
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3.21%
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Average cost of funds
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1.66%
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1.57%
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Debt to equity ratio
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7.6
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6.4
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Return on average equity
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20.23%
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12.55%
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Book value per common share (diluted)
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$17.88
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$20.42
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Earnings per common share (basic)
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$1.03
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$0.65
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Core earnings per common share *
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$0.59
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$0.62
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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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$0.4844
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* Core earnings is a non-GAAP financial measure. See the section on non-GAAP financial information for important disclosures and a reconciliation to the most comparable U.S. GAAP measure to core earnings.
Financial Summary
As of June 30, 2013, the Company’s portfolio of mortgage-backed securities (“MBS”) was $19.8 billion, a decrease of $1.4 billion from March 31, 2013. The Company’s portfolio of consolidated residential loans was $1.6 billion as of June 30, 2013, an increase of $1.2 billion from March 31, 2013. For the quarter ended June 30, 2013, average earning assets were $21.6 billion, representing an increase of $1.6 billion from March 31, 2013. The portfolio generated interest income of $175.7 million during the three months ended June 30, 2013, which reflects an increase of $15.2 million from the three months ended March 31, 2013.
For the quarter ended June 30, 2013, the Company had average borrowings of approximately $19.1 billion and interest expense, including cost of hedging, of $79.5 million, compared to $17.2 billion and $67.6 million, respectively, for the first quarter of 2013. Our average cost of funds was 1.66% and 1.57% for the second quarter and first quarter, respectively.
Operating expenses for the second quarter of 2013 totalled $13.9 million, compared to $11.9 million for the first quarter. The ratio of operating expenses to average equity for the second quarter was 2.0%, which was an increase of 24 basis points from the first quarter.
The Company declared a common stock dividend of $0.65 per share for the second quarter of 2013. The dividend was paid on July 26, 2013.
The Company declared a preferred stock dividend of $0.4844 per share for the second quarter of 2013. The dividend was paid on July 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 company.
Earnings Call
Members of the investment community and the general public are invited to listen to the Company’s earnings conference call on Thursday, August 1, 2013, at 8:30 a.m. ET, by calling one of the following numbers:
US/Canada Toll Free: 888-942-8507
International: 1-415-228-4839
Passcode: Invesco
An audio replay will be available until 5:00 pm ET on August 15, 2013 by calling:
1-800-456-0470 (North America) or 402-220-2193 (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 as defined in the Private Securities Litigation Reform Act of 1995, and such statements are intended to be covered by the safe harbor provided by the same. 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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Three Months Ended
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Six Months Ended
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||||||||
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June 30,
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June 30,
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$ in thousands, except per share data
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2013
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2012
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2013
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2012
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|||||||
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Interest income
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|
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Mortgage-backed securities
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168,736
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139,004
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329,080
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280,964
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Residential loans
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6,889
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-
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7,026
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-
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Commercial loans
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60
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-
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60
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-
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Total interest income
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175,685
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139,004
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336,166
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280,964
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Interest expense
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|
|
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Repurchase agreements
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68,463
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56,700
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134,792
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111,985
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Exchangeable senior note
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5,622
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-
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6,782
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-
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Asset-backed securities issued
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5,377
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-
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5,456
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-
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Total interest expense
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79,462
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56,700
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147,030
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111,985
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Net interest income
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96,223
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82,304
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189,136
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168,979
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Provision for loan losses
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663
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-
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663
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-
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Net interest income after provision for loan losses
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95,560
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82,304
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188,473
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168,979
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Other income
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|
|
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|
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|
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Gain on sale of investments, net
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5,692
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6,098
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12,404
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12,143
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Equity in earnings and fair value change in unconsolidated
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ventures
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2,157
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1,961
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3,747
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2,970
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Realized and unrealized gain (loss) on interest rate swaps and swaptions
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53,314
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(1,533)
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51,311
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(2,043)
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Realized and unrealized credit default swap income
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180
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690
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531
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1,347
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Total other income
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61,343
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7,216
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67,993
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14,417
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Expenses
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|
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Management fee – related party
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10,807
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8,681
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21,161
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17,320
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General and administrative
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3,043
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1,045
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4,587
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2,174
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Total expenses
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13,850
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9,726
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25,748
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19,494
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Net income
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143,053
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79,794
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230,718
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163,902
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Net income attributable to non-controlling interest
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1,493
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973
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2,455
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|
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1,999
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Net income attributable to Invesco Mortgage Capital Inc.
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141,560
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|
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78,821
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|
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228,263
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161,903
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Dividends to preferred shareholders
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2,713
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-
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5,425
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-
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Net income attributable to common shareholders
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138,847
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78,821
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|
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222,838
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161,903
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Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
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||
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Net income attributable to common shareholders
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|
|
|
|
|
|
|
|
|
|
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||
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(basic)
|
|
1.03
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|
0.68
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|
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1.69
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|
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1.40
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(diluted)
|
|
0.95
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|
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0.68
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|
1.61
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|
|
1.40
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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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1.30
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1.30
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$ in thousands, except per share amounts
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As of
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|||||
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June 30,
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December 31,
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ASSETS
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2013
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|
2012
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|||
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(Unaudited)
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|
|
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|
|
|
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|
|
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Mortgage-backed securities, at fair value
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19,806,158
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18,470,563
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Residential loans, held-for-investment, net of loan loss reserve
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1,553,006
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-
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Commercial loans, held-for-investment, net of loan loss reserve
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8,954
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-
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Cash and cash equivalents
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169,777
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286,474
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Investment related receivable
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902,228
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41,429
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|
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Investments in unconsolidated ventures, at fair value
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36,415
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|
|
35,301
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Accrued interest receivable
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77,968
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|
|
62,977
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|
|
Derivative assets, at fair value
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|
257,110
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|
|
6,469
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|
|
Deferred securitization and financing costs
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|
14,812
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|
|
-
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|
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Other investments
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10,000
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|
|
10,000
|
|
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Other assets
|
|
2,149
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|
|
1,547
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|
|
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Total assets (1)
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|
22,838,577
|
|
|
18,914,760
|
|
|
|
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LIABILITIES AND EQUITY
|
|
|
|
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Liabilities:
|
|
|
|
|
|
|
|
Repurchase agreements
|
|
17,878,893
|
|
|
15,720,460
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|
|
Asset-backed securities issued
|
|
1,432,008
|
|
|
-
|
|
|
Exchangeable senior notes
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|
400,000
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|
|
-
|
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Derivative liability, at fair value
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|
304,289
|
|
|
436,440
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|
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Dividends and distributions payable
|
|
91,528
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|
|
79,165
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|
|
Investment related payable
|
|
19,340
|
|
|
63,715
|
|
|
Accrued interest payable
|
|
23,594
|
|
|
15,275
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|
|
Collateral held payable
|
|
91,368
|
|
|
-
|
|
|
Accounts payable and accrued expenses
|
|
2,160
|
|
|
877
|
|
|
Due to affiliate
|
|
11,902
|
|
|
9,308
|
|
|
|
Total liabilities (1)
|
|
20,255,082
|
|
|
16,325,240
|
|
|
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
|
Preferred Stock: par value $0.01 per share, 50,000,000 shares
|
|
|
|
|
|
|
|
|
authorized; 7.75% series A cumulative redeemable, $25 liquidation
|
|
|
|
|
|
|
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preference, 5,600,000 shares issued and outstanding at June 30, 2013
|
|
|
|
|
|
|
|
and December 31, 2012, respectively
|
|
135,356
|
|
|
135,362
|
|
Common Stock: par value $0.01 per share, 450,000,000 shares
|
|
|
|
|
|
|
|
|
authorized; 135,215,860 and 116,195,500 shares issued and
|
|
|
|
|
|
|
|
outstanding at June 30, 2013 and December 31, 2012, respectively
|
|
1,352
|
|
|
1,162
|
|
Additional paid in capital
|
|
2,712,605
|
|
|
2,316,290
|
|
|
Accumulated other comprehensive income
|
|
(359,519)
|
|
|
86,436
|
|
|
Retained earnings
|
|
66,387
|
|
|
18,848
|
|
|
|
Total shareholders’ equity
|
|
2,556,181
|
|
|
2,558,098
|
|
Non-controlling interest
|
|
27,314
|
|
|
31,422
|
|
|
|
Total equity
|
|
2,583,495
|
|
|
2,589,520
|
|
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
22,838,577
|
|
|
18,914,760
|
|
|
|
|
|
|
|
|
|
|
(1) Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the primary beneficiary (IAS Asset I LLC, an indirect subsidiary of Invesco Mortgage Capital, Inc.). At June 30, 2013 and December 31, 2012, total assets of the consolidated VIEs were $1,561,001 and $0 respectively, and total liabilities of the consolidated VIEs were $1,435,948 and $0 respectively.
|
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Non-GAAP Financial Information
In addition to the results presented in accordance with GAAP, this release contains the non-GAAP financial measure of “core earnings”. The Company’s management uses core earnings in its internal analysis of results and believes this information is useful to investors for the reasons explained below.
We calculate core earnings as GAAP net income attributable to common shareholders excluding gain/loss on sale of investments and realized and unrealized gain/loss on interest rate swaps and swaptions. The Company records changes in the valuation of its investment portfolio and certain interest rate swaps in other comprehensive income. In addition, the Company uses swaptions that do not qualify under GAAP for inclusion in other comprehensive income and, as such, the changes in valuation are recorded in the period in which they occur. For internal portfolio analysis, the Company’s management deducts these gains and losses from GAAP net income to provide a consistent view of investment portfolio performance across reporting periods.
The Company believes the presentation of core earnings allows investors to evaluate and compare the performance of the Company to that of its peers because core earnings measures investment portfolio performance over multiple reporting periods by removing realized and unrealized gains and losses. As such, the Company believes that the disclosure of core earnings is useful to its investors.
However, the Company cautions that core earnings should not be considered as an alternative to net income (determined in accordance with GAAP), or an indication of our cash flow from operating activities (determined in accordance with GAAP), a measure of our liquidity, or an indication of amounts available to fund our cash needs, including our ability to make cash distributions. In addition, our methodology for calculating core earnings may differ from those employed by other companies for a similarly described measure and, therefore, may not be comparable.
Reconciliation of Net Income Attributable to Common Shareholders to Core Earnings
|
|
|
|
Three Months ended
|
Six Months ended
|
||||||||||
|
|
|
|
|
June 30,
|
|
June 30,
|
||||||||
|
$ in thousands, except per share data
|
2013
|
|
2012
|
|
2013
|
|
2012
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net income attributable to common shareholders
|
|
138,847
|
|
|
78,821
|
|
|
222,838
|
|
|
161,903
|
||
|
|
Adjustments
|
|
|
|
|
|
|
|
||||||
|
|
(Gain) loss on sale of investments, net
|
|
(5,692)
|
|
|
(6,098)
|
|
|
(12,404)
|
|
|
(12,143)
|
||
|
|
|
Realized (gain) loss on interest rate swaps and swaptions
|
|
(27,159)
|
|
|
-
|
|
|
(27,159)
|
|
|
-
|
|
|
|
Unrealized (gain) loss on interest rate swaps and swaptions
|
(26,155)
|
|
|
1,533
|
|
|
(24,152)
|
|
|
2,043
|
|||
|
|
Total adjustments
|
|
(59,006)
|
|
|
(4,565)
|
|
|
(63,715)
|
|
|
(10,100)
|
||
|
|
Core earnings
|
|
79,841
|
|
|
74,256
|
|
|
159,123
|
|
|
151,803
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||
|
Earnings per common share (basic)
|
1.03
|
0.68
|
1.69
|
1.40
|
||||||||||
|
|
Core earnings per share attributable to common shareholders
|
|
0.59
|
|
|
0.64
|
|
|
1.21
|
|
|
1.32
|
||
Mortgage-Backed Securities
The following table summarizes certain characteristics of the Company’s MBS portfolio as of June 30, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
1,838,463
|
|
95,923
|
|
1,934,386
|
|
22,062
|
|
1,956,448
|
|
4.03
|
%
|
|
2.23
|
%
|
|
2.17
|
%
|
|
|
|
30 year fixed-rate
|
10,181,259
|
|
674,996
|
|
10,856,255
|
|
(294,830)
|
|
10,561,425
|
|
3.92
|
%
|
|
2.76
|
%
|
|
2.77
|
%
|
|
|
|
ARM
|
66,156
|
|
1,995
|
|
68,151
|
|
618
|
|
68,769
|
|
3.33
|
%
|
|
2.38
|
%
|
|
2.39
|
%
|
|
|
|
Hybrid ARM
|
425,550
|
|
9,778
|
|
435,328
|
|
4,842
|
|
440,170
|
|
3.15
|
%
|
|
2.40
|
%
|
|
2.41
|
%
|
|
|
|
|
Total Agency pass-through
|
12,511,428
|
|
782,692
|
|
13,294,120
|
|
(267,308)
|
|
13,026,812
|
|
3.91
|
%
|
|
2.67
|
%
|
|
2.67
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
Agency-CMO(4)
|
1,549,436
|
|
(1,042,298)
|
|
507,138
|
|
4,338
|
|
511,476
|
|
2.83
|
%
|
|
2.91
|
%
|
|
1.84
|
%
|
|
|
|
Non-Agency RMBS(5)
|
4,376,621
|
|
(629,749)
|
|
3,746,872
|
|
3,556
|
|
3,750,428
|
|
3.85
|
%
|
|
3.71
|
%
|
|
4.54
|
%
|
|
|
|
CMBS(6)
|
4,536,954
|
|
(2,021,524)
|
|
2,515,430
|
|
2,012
|
|
2,517,442
|
|
3.44
|
%
|
|
4.64
|
%
|
|
4.72
|
%
|
|
|
Total
|
22,974,439
|
|
(2,910,879)
|
|
20,063,560
|
|
(257,402)
|
|
19,806,158
|
|
3.73
|
%
|
|
3.12
|
%
|
|
3.25
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
(1) Net weighted average coupon (“WAC”) as of June 30, 2013 is presented net of servicing and other fees.
|
|
|
|
|
|
|||||||||||||||
|
(2) Average yield based on amortized costs as of June 30, 2013 and incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
|
(3) Average yield based on average amortized costs for the three months ended June 30, 2013 and incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
|
(4) Included in the Agency-CMO are interest-only securities which represent 17.6% of the balance based on fair value.
|
|
|
|
|||||||||||||||||
|
(5) The non-Agency RMBS held by the Company is 62.1% variable rate, 34.2% fixed rate, and 3.7% floating rate based on fair value.
|
|
|
|
|||||||||||||||||
|
(6) Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 8% and 2% of the balance based on fair value, respectively.
|
||||||||||||||||||||
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. Our Agency and non-Agency RMBS had a weighted average CPR of 12.6 and 12.5 for the three months ended June 30, 2013 and March 31, 2013, respectively. The table below shows the three month CPR for our RMBS compared to bonds with similar characteristics (“Cohorts”).
|
June 30, 2013
|
|
March 31, 2013
|
|||||
|
|
Company
|
|
Cohorts
|
|
Company
|
|
Cohorts
|
|
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
19.5
|
|
27.8
|
|
18.5
|
|
27.5
|
|
30 year Agency RMBS
|
9.5
|
|
15.8
|
|
9.5
|
|
19.5
|
|
Agency Hybrid ARM RMBS
|
22.8
|
|
NA
|
|
25.6
|
|
NA
|
|
Non-Agency RMBS
|
15.5
|
|
NA
|
|
15.5
|
|
NA
|
|
Overall
|
12.6
|
|
NA
|
|
12.5
|
|
NA
|
Borrowings
The following table summarizes the Company’s borrowings by type of investment as of June 30, 2013 and December 31, 2012:
|
$ in thousands
|
|
|
June 30, 2013
|
|
|
December 31, 2012
|
|
|||||||||||
|
|
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
Weighted
|
|
|
|
|
|
|
|
|
Weighted
|
|
|
Average
|
|
|
|
|
Weighted
|
|
|
Average
|
|
|
|
|
|
|
|
|
Average
|
|
|
Remaining
|
|
|
|
|
Average
|
|
|
Remaining
|
|
|
|
|
|
Amount
|
|
Interest
|
|
|
Maturity
|
|
|
Amount
|
Interest
|
|
|
Maturity
|
|
||
|
|
|
|
Outstanding
|
|
Rate
|
|
|
(days)
|
|
|
Outstanding
|
Rate
|
|
|
(days)
|
|
||
|
|
Agency RMBS
|
|
|
12,901,076
|
|
0.38
|
%
|
|
18
|
|
|
11,713,565
|
|
0.48
|
%
|
|
16
|
|
|
|
Non-Agency RMBS
|
|
|
2,954,836
|
|
1.53
|
%
|
|
44
|
|
|
2,450,960
|
|
1.75
|
%
|
|
23
|
|
|
|
CMBS
|
|
|
2,022,981
|
|
1.43
|
%
|
|
21
|
|
|
1,555,935
|
|
1.51
|
%
|
|
18
|
|
|
|
Exchangeable Senior Notes
|
|
|
400,000
|
|
5.00
|
%
|
|
1,719
|
|
|
-
|
|
-
|
%
|
|
-
|
|
|
|
Total
|
|
|
18,278,893
|
|
0.79
|
%
|
|
59
|
|
|
15,720,460
|
|
0.78
|
%
|
|
17
|
|
Interest Rate Hedges
The following table summarizes our hedging activity as of June 30, 2013:
|
$ in thousands
|
|
|
|
|
|
|
Fixed Interest Rate
|
|
|
|
Counterparty
|
Notional
|
Maturity Date
|
|
in Contract
|
|
|
|||
|
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, LLC
|
|
300,000
|
|
1/24/2016
|
|
|
2.12%
|
|
|
|
The Bank of New York Mellon
|
|
300,000
|
|
1/24/2016
|
|
|
2.13%
|
|
|
|
Morgan Stanley Capital Services, LLC
|
|
300,000
|
|
4/5/2016
|
|
|
2.48%
|
|
|
|
Citibank, N.A.
|
|
300,000
|
|
4/15/2016
|
|
|
1.67%
|
|
|
|
Credit Suisse International
|
|
500,000
|
|
4/15/2016
|
|
|
2.27%
|
|
|
|
The Bank of New York Mellon
|
|
500,000
|
|
4/15/2016
|
|
|
2.24%
|
|
|
|
JPMorgan Chase Bank, N.A.
|
|
500,000
|
|
5/15/2016
|
|
|
2.31%
|
|
|
|
Goldman Sachs Bank USA
|
|
500,000
|
|
5/24/2016
|
|
|
2.34%
|
|
|
|
Goldman Sachs Bank USA
|
|
250,000
|
|
6/15/2016
|
|
|
2.67%
|
|
|
|
Wells Fargo Bank, N.A.
|
|
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%
|
|
|
|
ING Capital Markets LLC
|
|
350,000
|
|
2/24/2018
|
|
|
0.95%
|
|
|
|
Morgan Stanley Capital Services, LLC
|
|
100,000
|
|
4/5/2018
|
|
|
3.10%
|
|
|
|
ING Capital Markets LLC
|
|
300,000
|
|
5/5/2018
|
|
|
0.79%
|
|
|
|
JPMorgan Chase Bank, N.A.
|
|
200,000
|
|
5/15/2018
|
|
|
2.93%
|
|
|
|
UBS AG
|
|
500,000
|
|
5/24/2018
|
|
|
1.10%
|
|
|
|
ING Capital Markets LLC
|
|
400,000
|
|
6/5/2018
|
|
|
0.87%
|
|
|
|
The Royal Bank of Scotland Plc
|
(1)
|
500,000
|
|
9/5/2018
|
|
|
1.04%
|
|
|
|
CME Clearing House
|
(8)(9)
|
300,000
|
|
2/5/2021
|
|
|
2.69%
|
|
|
|
CME Clearing House
|
(8)(9)
|
300,000
|
|
2/5/2021
|
|
|
2.50%
|
|
|
|
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
|
(7)
|
550,000
|
|
2/24/2022
|
|
|
2.45%
|
|
|
|
The Royal Bank of Scotland Plc
|
(6)
|
400,000
|
|
3/15/2023
|
|
|
2.39%
|
|
|
|
UBS AG
|
(6)
|
400,000
|
|
3/15/2023
|
|
|
2.51%
|
|
|
|
HSBC Bank USA, National Association
|
|
250,000
|
|
6/5/2023
|
|
|
1.91%
|
|
|
|
HSBC Bank USA, National Association
|
(2)
|
250,000
|
|
7/5/2023
|
|
|
1.97%
|
|
|
|
The Royal Bank of Scotland Plc
|
(3)
|
500,000
|
|
8/15/2023
|
|
|
1.98%
|
|
|
|
UBS AG
|
(5)
|
250,000
|
|
11/15/2023
|
|
|
2.23%
|
|
|
|
HSBC Bank USA, National Association
|
(4)
|
500,000
|
|
12/15/2023
|
|
|
2.20%
|
|
|
|
Total
|
|
12,200,000
|
|
|
|
|
2.09%
|
|
|
|
(1) Forward start date of September 2013
|
|
|
|
|
|
|
|
|
|
|
(2) Forward start date of July 2013
|
|
|
|
|
|
|
|
|
|
|
(3) Forward start date of August 2013
|
|
|
|
|
|
|
|
|
|
|
(4) Forward start date of December 2013
|
|
|
|
|
|
|
|
|
|
|
(5) Forward start date of November 2013
|
|
|
|
|
|
|
|
|
|
|
(6) Forward start date of March 2015
|
|
|
|
|
|
|
|
|
|
|
(7) Forward start date of February 2015
(8) Forward start date of February 2016
|
|
|
|
|
|
|
|
|
|
|
(9) Beginning June 10, 2013, regulations promulgated under The Dodd-Frank Wall Street Reform and Consumer Protection Act mandate that the Company clear new interest rate swap transactions through a central counterparty. Transactions that are centrally cleared result in the Company facing a clearing house, rather than a swap dealer, as counterparty. Central clearing requires the Company to post collateral in the form of initial and variation margin to the clearinghouse which reduces default risk.
|
|||||||||
Average Balances
The following table shows the average balances for the three months and six months ended June 30, 2013 and 2012:
|
|
|
Three Months ended
|
|
Six Months ended
|
|||||||||
|
|
|
|
June 30,
|
|
June 30,
|
||||||||
|
|
$ in thousands
|
2013
|
|
2012
|
|
2013
|
|
2012
|
|||||
|
|
Average Balances*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate, at amortized cost
|
|
1,949,617
|
|
|
2,366,226
|
|
|
1,997,076
|
|
|
2,413,817
|
|
|
|
30 year fixed-rate, at amortized cost
|
|
11,524,578
|
|
|
7,781,391
|
|
|
11,512,548
|
|
|
7,392,538
|
|
|
|
ARM, at amortized cost
|
|
69,149
|
|
|
170,816
|
|
|
83,227
|
|
|
174,048
|
|
|
|
Hybrid ARM, at amortized cost
|
|
447,599
|
|
|
1,256,542
|
|
|
487,269
|
|
|
1,362,295
|
|
|
|
MBS-CMO, at amortized cost
|
|
505,811
|
|
|
451,226
|
|
|
504,182
|
|
|
423,664
|
|
|
Non-Agency RMBS, at amortized cost
|
|
3,815,772
|
|
|
2,305,605
|
|
|
3,530,088
|
|
|
2,342,487
|
|
|
|
CMBS, at amortized cost
|
|
2,491,250
|
|
|
1,263,334
|
|
|
2,275,552
|
|
|
1,238,748
|
|
|
|
Residential Loans, at amortized cost
|
|
807,876
|
|
|
-
|
|
|
415,132
|
|
|
-
|
|
|
|
Commercial Loans, at amortized cost
|
|
2,919
|
|
|
-
|
|
|
2,919
|
|
|
-
|
|
|
|
Average MBS and Residential Loans portfolio
|
|
21,614,571
|
|
|
15,595,140
|
|
|
20,807,993
|
|
|
15,347,597
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Portfolio Yields (1):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate
|
|
2.17%
|
|
|
2.67%
|
|
|
2.18%
|
|
|
2.69%
|
|
|
|
30 year fixed-rate
|
|
2.77%
|
|
|
3.24%
|
|
|
2.81%
|
|
|
3.38%
|
|
|
|
ARM
|
|
2.39%
|
|
|
2.71%
|
|
|
2.24%
|
|
|
2.59%
|
|
|
|
Hybrid ARM
|
|
2.41%
|
|
|
2.80%
|
|
|
2.37%
|
|
|
2.69%
|
|
|
|
MBS - CMO
|
|
1.84%
|
|
|
2.52%
|
|
|
1.65%
|
|
|
2.21%
|
|
|
Non-Agency RMBS
|
|
4.54%
|
|
|
5.25%
|
|
|
4.58%
|
|
|
5.51%
|
|
|
|
CMBS
|
|
4.72%
|
|
|
5.42%
|
|
|
4.73%
|
|
|
5.50%
|
|
|
|
Residential Loans
|
|
3.41%
|
|
|
n/a
|
|
|
3.38%
|
|
|
n/a
|
|
|
|
Commercial loans
|
|
11.21%
|
|
|
n/a
|
|
|
11.21%
|
|
|
n/a
|
|
|
|
Average MBS portfolio
|
|
3.25%
|
|
|
3.57%
|
|
|
3.23%
|
|
|
3.66%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Borrowings*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
13,185,918
|
|
|
10,862,133
|
|
|
13,063,927
|
|
|
10,590,714
|
|
|
|
Non-Agency RMBS
|
|
2,815,765
|
|
|
1,667,755
|
|
|
2,669,977
|
|
|
1,727,824
|
|
|
|
CMBS
|
|
1,989,660
|
|
|
919,852
|
|
|
1,832,302
|
|
|
894,978
|
|
|
|
Exchangeable senior notes
|
|
400,000
|
|
|
-
|
|
|
242,222
|
|
|
-
|
|
|
|
Asset-backed securities issued
|
|
747,883
|
|
|
-
|
|
|
382,257
|
|
|
-
|
|
|
Total borrowed funds
|
|
19,139,226
|
|
|
13,449,740
|
|
|
18,190,685
|
|
|
13,213,516
|
|
|
|
Maximum borrowings during the period (2)
|
|
19,710,901
|
|
|
13,799,710
|
|
|
19,710,901
|
|
|
13,799,710
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Cost of Funds (3):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
|
0.40%
|
|
|
0.36%
|
|
|
0.41%
|
|
|
0.34%
|
|
|
|
Non-Agency RMBS
|
|
1.54%
|
|
|
1.77%
|
|
|
1.63%
|
|
|
1.79%
|
|
|
|
CMBS
|
|
1.44%
|
|
|
1.54%
|
|
|
1.46%
|
|
|
1.56%
|
|
|
|
Exchangeable senior notes
|
|
5.62%
|
|
|
n/a
|
|
|
5.60%
|
|
|
n/a
|
|
|
|
Asset-backed securities issued
|
|
2.88%
|
|
|
n/a
|
|
|
2.85%
|
|
|
n/a
|
|
|
|
Unhedged cost of funds
|
|
0.88%
|
|
|
0.62%
|
|
|
0.81%
|
|
|
0.62%
|
|
|
|
Hedged cost of funds
|
|
1.66%
|
|
|
1.69%
|
|
|
1.62%
|
|
|
1.69%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Equity (4):
|
|
2,774,374
|
|
|
2,171,664
|
|
|
2,743,484
|
|
|
2,127,086
|
|
|
|
Average debt/equity ratio (average during period)
|
|
6.90x
|
|
|
6.19x
|
|
|
6.63x
|
|
|
6.21x
|
|
|
|
Debt/equity ratio (as of period end)
|
|
7.63x
|
|
|
6.30x
|
|
|
7.63x
|
|
|
6.30x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Average amounts for each period are based on weighted month-end balances; all percentages are annualized. For the three and six months ended June 30, 2013, the average balances are presented on an amortized cost basis. The three and six months ended June 30, 2012 has been reclassified 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 annualized interest expense by our average borrowings.
|
||||||||||||
|
|
(4) Average equity is calculated based on a weighted balance basis.
|
||||||||||||