Invesco Mortgage Capital Inc. Reports Fourth Quarter 2013 Financial Results - WAFF-TV: News, Weather and Sports for Huntsville, AL

Invesco Mortgage Capital Inc. Reports Fourth Quarter 2013 Financial Results

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SOURCE Invesco Mortgage Capital Inc.

Net loss of ($84.3) million or ($0.63) per common share

Core earnings of $63.6 million or $0.48 per common share *

Book value of $17.97 per common share

ATLANTA, Feb. 19, 2014 /PRNewswire/ -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the "Company") today announced results for the quarter ended December 31, 2013.

(Logo: http://photos.prnewswire.com/prnh/20110131/MM39469LOGO-a)

"In the fourth quarter we made significant progress on new initiatives aimed at reducing book value volatility and stabilizing core earnings," said Richard King, President and CEO. "Despite the increase in interest rates, book value increased 1.9% and core earnings were $0.48 per share."

($ in millions, except per share amounts)

Q4 '13

Q3 '13


(unaudited)

(unaudited)

Average earning assets (at amortized costs)

$20,063.5


$20,452.7


Average borrowed funds

17,867.2


18,150.6


Average equity

$2,403.4


$2,426.3





Interest income

$174.9


$171.3


Interest expense

95.6


89.6


Net interest income

79.2


81.7


Loss on sale of investments

(142.5)


(69.3)


Other loss

(4.0)


(5.2)


Operating expenses

14.2


13.2


Net loss

(81.6)


(6.0)


Preferred dividend

2.7


2.7


Net loss after preferred dividend

($84.3)


($8.7)





Average portfolio yield

3.49

%

3.35

%

Average cost of funds

2.14

%

1.97

%

Debt to equity ratio

7.3x


6.9x


Return on average equity

(14.03%)


(1.44%)


Book value per common share (diluted)

$17.97


$17.64


Loss per common share (basic)

($0.63)


($0.06)


Core earnings per common share *

$0.48


$0.50


Dividend per common share

$0.50


$0.50


Dividend per preferred share

$0.4844


$0.4844


 

* Core earnings is a non-Generally Accepted Accounting Principles ("GAAP") financial measure. See the section entitled "Non-GAAP Financial Information" below for important disclosures and a reconciliation to the most comparable U.S. GAAP measure to core earnings.

Financial Summary

During the fourth quarter, the Company generated $0.48 in core earnings, and the book value improved 1.9% to $17.97.  This was accomplished while continuing to reposition the investment portfolio to be less interest rate sensitive.  The Company repurchased 10.7 million shares of common stock with an average price of $14.97 which added approximately $0.23 to the book value.  In addition, the Company sold approximately $2.3 billion in 30 year fixed-rate Agency mortgage-backed securities ("MBS") and allocated the capital to Agency hybrid adjustable rate mortgages ("ARM"), residential loan securitizations, risk-sharing programs offered by government-sponsored enterprises ("GSE") and commercial real estate loans.

The Company's net loss for the fourth quarter was ($84.3) million or ($0.63) per common share and was primarily driven by the sale of Agency MBS that resulted in a loss on sale of ($142.5) million or ($1.08) per common share compared to a loss on sale of ($69.3) million or ($0.51) per common share in the third quarter.  In addition, the Company sold interest rate swaptions realizing a loss of ($9.9) million or ($0.08) per common share in the fourth quarter compared to a gain of $39.1 million or $0.29 per common share in the third quarter.  The Company had unrealized gains on its hedging portfolio that flow through earnings of $7.9 million or $0.06 per common share for the quarter ended December 31, 2013 compared to unrealized losses of ($46.0) million or ($0.34) per common share for the quarter ended September 30, 2013.

As of December 31, 2013, the Company's MBS portfolio was $17.3 billion, a decrease of $1.5 billion from September 30, 2013. In addition, the Company increased its portfolio of loans held for investment to $1.9 billion, an increase of $325.1 million from September 30, 2013. For the quarter ended December 31, 2013, average earning assets were $20.1 billion, representing a decrease of $389.2 million from September 30, 2013. The portfolio generated interest income of $174.9 million during the three months ended December 31, 2013, which reflects an increase of $3.6 million from the three months ended September 30, 2013. The increase in interest income was a result of changing the portfolio composition during the quarter which included selling lower yielding fixed rate assets.

For the quarter ended December 31, 2013, the Company had average borrowings of approximately $17.9 billion and interest expense, including cost of hedging, of $95.6 million, compared to $18.2 billion and $89.6 million, respectively, for the third quarter of 2013.  The Company's average cost of funds was 2.14% and 1.97% for the fourth quarter and third quarter, respectively.  The increase in cost of funds was due to higher hedging costs related to forward starting swaps entered into in prior periods that the Company began paying on in the fourth quarter.

Operating expenses for the fourth quarter of 2013 totaled $14.2 million, compared to $13.2 million for the third quarter.  The ratio of operating expenses to average equity for the fourth quarter was 2.36%, which was an increase of 18 basis points from the third quarter. The increase was primarily due to one-time costs and lower equity after share repurchases.

The Company declared a common stock dividend of $0.50 per share for the fourth quarter of 2013.  The dividend was paid on January 28, 2014.

The Company declared a preferred stock dividend of $0.4844 per share for the fourth quarter of 2013.  The dividend was paid on January 27, 2014.

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 Thursday, February 20, 2014, 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 March 6, 2014 by calling:

866-446-5469 (North America) or 203-369-1145 (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)




Three Months Ended
December 31,


Years Ended
December 31,

$ in thousands, except per share data

2013


2012


2013


2012

Interest Income








Mortgage-backed securities

160,168



145,389



646,787



566,830


Residential loans

13,679



-



34,122



-


Commercial loans

1,019



-



1,451



-


Total interest income

174,866



145,389



682,360



566,830


Interest Expense








Repurchase agreements

79,061



65,093



287,547



237,405


Exchangeable senior notes

5,620



-



18,023



-


Asset-backed securities

10,960



-



26,682



-


Total interest expense

95,641



65,093



332,252



237,405


Net interest income

79,225



80,296



350,108



329,425


Provision for loan losses

134



-



884



-


Net interest income after provision for loan losses

79,091



80,296



349,224



329,425


Other Income (loss)








Gain (loss) on sale of investments, net

(142,530)



23,236



(199,449)



48,215


Equity in earnings and fair value change in unconsolidated ventures

176



937



5,345



7,169


Realized and unrealized gain (loss) on interest rate derivative instruments

(4,421)



(1,382)



40,003



(4,232)


Realized and unrealized credit default swap income

299



420



1,127



3,115


Total other income (loss)

(146,476)



23,211



(152,974)



54,267


Expenses








Management fee – related party

10,533



9,285



42,639



35,658


General and administrative

3,660



892



10,505



4,026


Total expenses

14,193



10,177



53,144



39,684


Net income (loss)

(81,578)



93,330



143,106



344,008


Net income (loss) attributable to non-controlling interest

(906)



1,098



1,486



4,123


Net income (loss) attributable to Invesco Mortgage Capital Inc.

(80,672)



92,232



141,620



339,885


Dividends to preferred shareholders

2,712



2,713



10,851



5,395


Net income (loss) attributable to common shareholders

(83,384)



89,519



130,769



334,490


Earnings (loss) per share:








Net income (loss) attributable to common shareholders








Basic

(0.63)



0.77



0.99



2.89


Diluted

(0.63)



0.77



0.99



2.89


 

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONSOLIDATED BALANCE SHEETS

(Unaudited)



$ in thousands, except share and per share amounts

As of

ASSETS

December 31,
 2013


December 31,
 2012

Mortgage-backed securities, at fair value

17,348,657



18,470,563


Residential loans, held-for-investment, net of loan loss reserve

1,810,262



-


Commercial loans, held-for-investment, net of loan loss reserve

64,599



-


Cash and cash equivalents

210,612



286,474


Due from counterparties

1,500



-


Investment related receivable

515,404



41,429


Investments in unconsolidated ventures, at fair value

44,403



35,301


Accrued interest receivable

68,246



62,977


Derivative assets, at fair value

262,059



6,469


Deferred securitization and financing costs

13,894



-


Other investments

10,000



10,000


Other assets

1,343



1,547


Total assets(1)

20,350,979



18,914,760


LIABILITIES AND EQUITY




Liabilities:




Repurchase agreements

15,451,675



15,720,460


Asset-backed securities

1,643,741



-


Exchangeable senior notes

400,000



-


Derivative liability, at fair value

263,204



436,440


Dividends and distributions payable

66,087



79,165


Investment related payable

28,842



63,715


Accrued interest payable

26,492



15,275


Collateral held payable

52,698



-


Accounts payable and accrued expenses

4,304



877


Due to affiliate

10,701



9,308


Total liabilities(1)

17,947,744



16,325,240


Equity:




Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized, 7.75% series A cumulative redeemable, 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference) at December 31, 2013 and 2012, respectively

135,356



135,362


Common Stock: par value $0.01 per share; 450,000,000 shares authorized, 124,510,246 and 116,195,500 shares issued and outstanding, at December 31, 2013 and 2012, respectively

1,245



1,162


Additional paid in capital

2,552,464



2,316,290


Accumulated other comprehensive income (loss)

(156,993)



86,436


Retained earnings (distributions in excess of earnings)

(155,957)



18,848


Total shareholders' equity

2,376,115



2,558,098


Non-controlling interest

27,120



31,422


Total equity

2,403,235



2,589,520


Total liabilities and equity

20,350,979



18,914,760


 

(1)

The Company's 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 the Company). As of December 31, 2013 and December 31, 2012, total assets of the consolidated VIEs were $1,819,295 and $0, respectively, and total liabilities of the consolidated VIEs were $1,648,400 and $0, respectively.

 

Non-GAAP Financial Information

In addition to the results presented in accordance with U.S. 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.

The Company calculates core earnings as U.S. GAAP net income attributable to common shareholders excluding gain (loss) on sale of investments, net and realized and unrealized gain (loss) on interest rate derivative instruments.  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 and invests in U.S. Treasury futures that do not qualify under U.S. 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 U.S. 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 and meaningful to its investors.

However, the Company cautions that core earnings should not be considered as an alternative to net income (determined in accordance with U.S. GAAP), or an indication of the Company's cash flow from operating activities (determined in accordance with U.S. GAAP), a measure of the Company's liquidity, or an indication of amounts available to fund its cash needs, including its ability to make cash distributions. In addition, the Company's methodology for calculating core earnings may differ from those employed by other companies for a similarly described measure and, therefore, may not be comparable.

The table below provides a reconciliation of U.S. GAAP net income attributable to common shareholders to core earnings for the following periods:

Reconciliation of Net Income Attributable to Common Shareholders to Core Earnings (Unaudited)




Three Months Ended
December 31,


Years Ended
December 31,

$ in thousands, except per share data

2013


2012


2013


2012

Net income (loss) attributable to common shareholders

(83,384)



89,519



130,769



334,490


Adjustments








(Gain) loss on sale of investments, net

142,530



(23,236)



199,449



(48,215)


Realized (gain) loss on interest rate derivative instruments

12,308



-



(53,926)



-


Unrealized (gain) loss on interest rate derivative instruments

(7,887)



1,382



13,923



4,232


Total adjustments

146,951



(21,854)



159,446



(43,983)


Core earnings

63,567



67,665



290,215



290,507


Basic earnings (loss) per common share

(0.63)



0.77



0.99



2.89


Core earnings per share attributable to common shareholders

0.48



0.59



2.19



2.52


 

Mortgage-Backed Securities

The following table summarizes certain characteristics of the Company's MBS portfolio as of December 31, 2013:

December 31, 2013
















$ in thousands

Principal

Balance


Unamortized

Premium

(Discount)


Amortized

Cost


Unrealized

Gain/

(Loss), net


Fair

Value


Net Weighted

Average

Coupon (1)


Period-

end

Weighted

Average

Yield (2)


Quarterly

Weighted

Average

Yield (3)

Agency RMBS:
















15 year fixed-rate

1,637,988



83,799



1,721,787



22,494



1,744,281



4.02

%


2.54

%


2.61

%

30 year fixed-rate

6,494,723



435,680



6,930,403



(228,250)



6,702,153



4.11

%


2.96

%


3.13

%

ARM

251,693



992



252,685



597



253,282



2.80

%


2.62

%


2.41

%

Hybrid ARM

1,764,472



9,470



1,773,942



(3,384)



1,770,558



2.69

%


2.46

%


2.06

%

Total Agency pass-through

10,148,876



529,941



10,678,817



(208,543)



10,470,274



3.82

%


2.80

%


2.90

%

Agency-CMO(4)

1,532,474



(1,051,777)



480,697



(6,183)



474,514



2.76

%


3.82

%


3.47

%

Non-Agency RMBS(5)

4,361,730



(618,634)



3,743,096



32,213



3,775,309



3.74

%


3.75

%


4.60

%

CMBS(6)

4,630,363



(2,032,945)



2,597,418



31,142



2,628,560



3.38

%


4.62

%


4.51

%

Total

20,673,443



(3,173,415)



17,500,028



(151,371)



17,348,657



3.63

%


3.30

%


3.51

%

 

(1)

Net weighted average coupon as of December 31, 2013 ("WAC") is presented net of servicing and other fees.

(2)

Weighted average yield based on amortized cost as of December 31, 2013 incorporates future prepayment and loss assumptions.

(3)

Weighted average yield based on average amortized cost for the three months ended December 31, 2013 incorporates future prepayment and loss assumptions.

(4)

Included in the Agency-CMO are interest only securities which represent 25.0% of the balance based on fair value.

(5)

Non-Agency RMBS held by the Company is 58.4% variable rate, 32.4% fixed rate, and 9.2% 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 7.5% and 1.0% 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 9.7 and 13.1 for the three months ended December 31, 2013 and September 30, 2013, respectively. The table below shows the three month CPR for our RMBS compared to bonds with similar characteristics ("Cohorts"):


December 31, 2013


September 30, 2013


Company


Cohort


Company


Cohort

15 year Agency RMBS

12.3



14.1



15.9



23.9


30 year Agency RMBS

8.1



9.7



10.1



14.2


Agency Hybrid ARM RMBS

6.4



NA



18.1



NA


Non-Agency RMBS

12.4



NA



17.3



NA


Overall

9.7



NA



13.1



NA


 

Borrowings

The Company has entered into repurchase agreements and issued exchangeable senior notes to finance the majority of its portfolio of investments. The following table summarizes certain characteristics of the Company's borrowings at December 31, 2013 and 2012:

$ in thousands

December 31, 2013


December 31, 2012


Amount

Outstanding


Weighted

Average

Interest

Rate


Weighted

Average

Remaining

Maturity

(Days)


Amount

Outstanding


Weighted

Average

Interest

Rate


Weighted

Average

Remaining

Maturity

(Days)

Agency RMBS

10,281,154



0.38

%


19


11,713,565



0.48

%


16

Non-Agency RMBS

3,088,064



1.54

%


33


2,450,960



1.75

%


23

CMBS

2,082,457



1.39

%


23


1,555,935



1.51

%


18

Exchangeable Senior Notes

400,000



5.00

%


1,535


-



-

%


0

Total

15,851,675



0.86

%


60


15,720,460



0.78

%


17

 

Interest Rate Hedges

As of December 31, 2013, the Company had the following interest rate derivatives outstanding:

$ in thousands

Counterparty





Notional


Maturity Date


Fixed Interest

Rate

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



5/16/2016


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





500,000



9/5/2018


1.04

%

CME Clearing House


(3)

(4)


300,000



2/5/2021


2.50

%

CME Clearing House


(3)

(4)


300,000



2/5/2021


2.69

%

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


(1)



550,000



2/24/2022


2.45

%

The Royal Bank of Scotland Plc


(2)



400,000



3/15/2023


2.39

%

UBS AG


(2)



400,000



3/15/2023


2.51

%

HSBC Bank USA, National Association





250,000



6/5/2023


1.91

%

HSBC Bank USA, National Association





250,000



7/5/2023


1.97

%

The Royal Bank of Scotland Plc





500,000



8/15/2023


1.98

%

CME Clearing House


(4)



600,000



8/24/2023


2.88

%

UBS AG





250,000



11/15/2023


2.23

%

HSBC Bank USA, National Association





500,000



12/15/2023


2.20

%

Total





12,800,000





2.12

%

 

(1)

Forward start date of February 2015

(2)

Forward start date of March 2015

(3)

Forward start date of February 2016

(4)

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 clearing house which reduces default risk.

 

Average Balances

The table below presents certain information for the Company's portfolio for the three and twelve month periods ending December 31, 2013 and 2012.


Three Months Ended
 December 31,


Years Ended
December 31,

$ in thousands

2013


2012


2013


2012

Average Balances*:








Agency RMBS:








15 year fixed-rate, at amortized cost

1,750,763



2,114,987



1,897,780



2,302,218


30 year fixed-rate, at amortized cost

8,208,893



9,665,370



10,217,822



8,395,560


ARM, at amortized cost

218,345



116,608



122,225



150,377


Hybrid ARM, at amortized cost

1,472,418



591,081



758,625



1,028,432


MBS-CMO, at amortized cost

484,222



510,292



496,607



465,469


Non-Agency RMBS, at amortized cost

3,685,745



2,922,411



3,602,772



2,524,635


CMBS, at amortized cost

2,562,026



1,855,546



2,412,694



1,461,359


Residential Loans, at amortized cost

1,637,121



-



1,006,374



-


Commercial Loans, at amortized cost

43,938



-



14,858



-


Average MBS and Loans portfolio

20,063,471



17,776,295



20,529,757



16,328,050


Average Portfolio Yields (1):








Agency RMBS:








15 year fixed-rate

2.61

%


2.37

%


2.32

%


2.54

%

30 year fixed-rate

3.13

%


2.88

%


2.88

%


3.12

%

ARM

2.41

%


2.02

%


2.35

%


2.51

%

Hybrid ARM

2.06

%


2.22

%


2.18

%


2.60

%

MBS-CMO

3.47

%


1.51

%


2.26

%


2.02

%

Non-Agency RMBS

4.60

%


4.80

%


4.60

%


5.16

%

CMBS

4.51

%


4.82

%


4.64

%


5.22

%

Residential Loans

3.31

%


n/a



3.30

%


n/a


Commercial loans

9.17

%


n/a



9.77

%


n/a


Average portfolio

3.49

%


3.27

%


3.32

%


3.47

%

Average Borrowings*:








Agency RMBS

10,922,137



12,010,877



12,107,119



11,161,176


Non-Agency RMBS

3,087,235



2,313,014



2,854,423



1,902,754


CMBS

1,973,330



1,498,221



1,900,365



1,108,438


Exchangeable senior notes

400,000



-



321,111



-


Asset-backed securities

1,484,547



-



916,786



-


Total borrowed funds

17,867,249



15,822,112



18,099,804



14,172,368


Maximum borrowings during the period (2)

18,058,789



16,227,024



19,710,901



16,227,024










Average Cost of Funds (3):








Agency RMBS

0.39

%


0.45

%


0.40

%


0.39

%

Non-Agency RMBS

1.56

%


1.71

%


1.60

%


1.76

%

CMBS

1.43

%


1.50

%


1.45

%


1.55

%

Exchangeable senior notes

5.62

%


n/a



5.61

%


n/a


Asset-backed securities

2.95

%


n/a



2.91

%


n/a


Unhedged cost of funds

1.03

%


0.74

%


0.92

%


0.67

%

Hedged cost of funds

2.14

%


1.65

%


1.84

%


1.68

%

Average Equity (4):

2,403,443



2,482,487



2,577,817



2,262,851


Average debt/equity ratio (average during period)

7.4x



6.4x



7.0x



6.3x


Debt/equity ratio (as of period end)

7.3x



6.1x



7.3x



6.1x


 

*

Average amounts for each period are based on weighted month-end balances; all percentages are annualized. For the three and twelve months ended December 31, 2013 the average balances are presented on an amortized cost basis.

(1)

Average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the average of 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.

 

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