EX-99 2 exhibit99-02222012.htm exhibit99-02222012.htm
 
_____________________________________________________________________
Press Release
For immediate release
_____________________________________________________________________
Invesco Mortgage Capital Inc. Reports 
Fourth Quarter 2011 Financial Results
 
Investor Relations Contact: Donald Ramon            800-241-5477
Media Relations Contact:     Bill Hensel                 404-479-2886
 
 
 
 
Atlanta – February 22, 2012 -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the “Company”) today announced results for the quarter ended December 31, 2011.
 
The Company reported net income of $76.5 million, or $0.66 per share (basic and diluted), for the quarter ended December 31, 2011 compared to $82.2 million, or $0.79 per share (basic and diluted), for the quarter ended September 30, 2011.  The Company also reported its book value per share as of December 31, 2011 was $16.41 compared to $16.47 per share as of September 30, 2011.
 
“Economic conditions improved during the fourth quarter and we saw book value stabilization as a result," said Richard King, President and Chief Executive Officer.  “Our fourth quarter portfolio moves combined with the improved markets for mortgage-backed securities has resulted in book value improvement of approximately 5% since year end.  We believe our portfolio is well constructed to emphasize  dividend stability as we also continue to focus on improving our book value."

 
 

 


($ in millions, except per share amounts)
 
Q4 ‘11
Q3 ‘11
 
(unaudited)
(unaudited)
Average Earning Assets (at fair value)
$13,979.4
$13,324.2
Average Borrowed Funds
12,126.9
11,466.6
Average Equity
1,921.7
1,847.3
     
Interest Income
137.5
138.3
Interest Expense
55.0
50.5
Net Interest Income
82.5
87.8
Other Income
3.6
3.1
Operating Expenses
9.6
8.7
Net Income
$76.5
$82.2
     
Average Portfolio Yield
3.94%
4.15%
Average Cost of Funds
1.81%
1.76%
Debt to Equity Ratio
6.4
6.3
Return on Average Equity
15.93%
17.79%
Book Value per Share (Diluted)
$16.41
$16.47
Earnings per share (Basic and Diluted)
$0.66
$0.79
Dividend
$0.65
$0.80
 
 
 
Financial Summary
 
The Company’s portfolio of mortgage-backed securities (“MBS”) was $14.2 billion as of December 31, 2011, a decrease of $0.1 billion from September 30, 2011.  For the quarter ended December 31, 2011, average earning assets were $14.0 billion representing an increase of $0.7 billion from September 30, 2011.  The portfolio generated interest income of $137.5 million which was down $0.8 million from September 30, 2011.
 
 
For the quarter ended December 31, 2011, the Company had average borrowings of approximately $12.1 billion and interest expense including cost of hedging of $55.0 million, compared to $11.5 billion and $50.5 million, respectively, for the third quarter of 2011.  The increase in average borrowed funds was primarily the result of our portfolio realignment in the fourth quarter which placed a higher concentration of assets in agency RMBS.  Interest expense increased as the last of our previously purchased forward-starting swaps began to pay and increased funding rates on our credit assets.  Our average cost of funds was 1.81% and 1.76% for the fourth quarter of 2011 and the third quarter of 2011, respectively.
 
Operating expenses for the fourth quarter of 2011 totalled $9.6 million compared to $8.7 million for the third quarter of 2011.  The ratio of operating expenses to average equity in the fourth quarter of 2011 increased 0.12% to 2.01%.
 
The Company declared a dividend of $0.65 per share for the fourth quarter of 2011.  The dividend was paid on January 27, 2012.

 
 

 


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.  Additional information is available at www.invescomortgagecapital.com.
 
Earnings Call
 
Members of the investment community and the general public are invited to listen to the Company’s earnings conference call, Thursday, February 23, 2012, 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 8, 2012 by calling:
 
866-465-2111 (North America)
203-369-1428 (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 today, 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)

 
 
 
 
Three Months Ended
 
Year ended Months Ended
 
 
 
 
December 31,
 
December 31,
$ in thousands, except per share data
2011 
 
2010 
 
2011 
 
2010 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Revenues
 
 
 
 
 
 
 
 
 
 
 
 
Interest income
 
 137,545 
 
 
 50,945 
 
 
 453,352 
 
 
 134,229 
 
Interest expense
 
 55,004 
 
 
 10,652 
 
 
 155,241 
 
 
 29,556 
 
Net interest income
 
 82,541 
 
 
 40,293 
 
 
 298,111 
 
 
 104,673 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other income
 
 
 
 
 
 
 
 
 
 
 
 
Gain (loss) on sale of investments
 
 2,517 
 
 
 2,392 
 
 
 10,959 
 
 
 3,456 
 
Equity in earnings (loss) and fair value change in unconsolidated
 
 
 
 
 
 
 
 
 
 
 
 
 
ventures
 
 563 
 
 
 2,388 
 
 
 3,301 
 
 
 8,276 
 
Loss on other-than-temporarily impaired securities
 
 - 
 
 
 - 
 
 
 - 
 
 
 (510)
 
Unrealized loss on interest rate swaps
 
 (109)
 
 
 (46)
 
 
 (764)
 
 
 (90)
 
Realized and unrealized credit default swap income
 
 659 
 
 
 13 
 
 
 5,308 
 
 
 13 
 
Total other income
 
 3,630 
 
 
 4,747 
 
 
 18,804 
 
 
 11,145 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Expenses
 
 
 
 
 
 
 
 
 
 
 
 
Management fee – related party
 
 8,647 
 
 
 2,986 
 
 
 26,259 
 
 
 8,080 
 
General and administrative
 
 1,003 
 
 
 1,174 
 
 
 3,859 
 
 
 4,013 
 
Total expenses
 
 9,650 
 
 
 4,160 
 
 
 30,118 
 
 
 12,093 
 
Net income
 
 76,521 
 
 
 40,880 
 
 
 286,797 
 
 
 103,725 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net income attributable to non-controlling interest
 
 934 
 
 
 1,466 
 
 
 4,882 
 
 
 5,326 
 
Net income attributable to common shareholders
 
 75,587 
 
 
 39,414 
 
 
 281,915 
 
 
 98,399 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Earnings per share:
 
 
 
 
 
 
 
 
 
 
 
 
Net income attributable to common shareholders
 
 
 
 
 
 
 
 
 
 
 
 
 
(basic/diluted)
 
 0.66 
 
 
 1.00 
 
 
 3.27 
 
 
 3.78 
 
Dividends declared per common share
 
 0.65 
 
 
 0.97 
 
 
 3.42 
 
 
 3.49 
 
Weighted average number of shares of common stock:
 
 
 
 
 
 
 
 
 
 
 
 
 
Basic
 
 115,392 
 
 
 39,354 
 
 
 86,365 
 
 
 26,039 
 
 
Diluted
 
 116,835 
 
 
 40,785 
 
 
 87,804 
 
 
 27,468 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 

 


INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES
CONSOLIDATED BALANCE SHEETS

$ in thousands, except per share amounts
As of
 
 
December 31,
 
December 31,
ASSETS
2011 
 
2010 
 
 
 
 
 
 
 
 
 
(Unaudited)
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities, at fair value
 
 14,214,149 
 
 
 5,578,333 
Cash
 
 197,224 
 
 
 63,552 
Restricted cash
 
 74,496 
 
 
 101,144 
Investment related receivable
 
 160,424 
 
 
 7,601 
Investments in unconsolidated ventures, at fair value
 
 68,793 
 
 
 54,725 
Accrued interest receivable
 
 54,167 
 
 
 22,503 
Derivative assets, at fair value
 
 1,339 
 
 
 33,255 
Other assets
 
 1,575 
 
 
 1,287 
 
Total assets
 
 14,772,167 
 
 
 5,862,400 
 
 
 
 
 
 
 
LIABILITIES AND EQUITY
 
 
 
 
 
Liabilities:
 
 
 
 
 
Repurchase agreements
 
 12,253,038 
 
 
 4,344,659 
Derivative liability, at fair value
 
 396,780 
 
 
 37,850 
Dividends and distributions payable
 
 75,933 
 
 
 49,741 
Investment related payable
 
 107,032 
 
 
 372,285 
Accrued interest payable
 
 12,377 
 
 
 2,579 
Accounts payable and accrued expenses
 
 556 
 
 
 1,065 
Due to affiliate
 
 9,038 
 
 
 3,407 
 
Total liabilities
 
 12,854,754 
 
 
 4,811,586 
 
 
 
 
 
 
 
Equity:
 
 
 
 
 
Preferred Stock: par value $0.01 per share; 50,000,000 shares
 
 
 
 
 
 
authorized, 0 shares issued and outstanding
 
 - 
 
 
 - 
Common Stock: par value $0.01 per share; 450,000,000 shares
 
 
 
 
 
 
authorized, 115,395,695 and 49,854,196 shares issued and
 
 
 
 
 
 
outstanding, at December 31, 2011 and 2010, respectively
 
 1,154 
 
 
 499 
Additional paid in capital
 
 2,299,543 
 
 
 1,002,809 
Accumulated other comprehensive income (loss)
 
 (393,291)
 
 
 24,015 
Distributions in excess of earnings
 
 (15,068)
 
 
 (8,173)
 
Total shareholders’ equity
 
 1,892,338 
 
 
 1,019,150 
 
 
 
 
 
 
 
Non-controlling interest
 
 25,075 
 
 
 31,664 
 
Total equity
 
 1,917,413 
 
 
 1,050,814 
 
 
 
 
 
 
 
 
Total liabilities and equity
 
 14,772,167 
 
 
 5,862,400 
 
 
 
 
 
 
 

 
 

 


Mortgage-Backed Securities
 
The following table summarizes certain characteristics of the Company’s mortgage-backed securities portfolio as of December 31, 2011:
 
 
 
 
 
 
 
 
 
 
 
 
Net
 
 
 
 
 
 
 
 
 
Unamortized
 
 
 
Unrealized
 
 
 
Weighted  
 
 
 
 
 
 
 
Principal
 
Premium
 
Amortized
 
Gain/
 
Fair
 
Average
 
 
Average
 
$ in thousands
Balance
 
(Discount)
 
Cost
 
(Loss)
 
Value
 
Coupon (1)
 
 
Yield (2)
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate
 2,289,495 
 
 123,610 
 
 2,413,105 
 
 36,454 
 
 2,449,559 
 
 4.18 
%
 
 2.85 
%
 
30 year fixed-rate
 6,055,045 
 
 410,257 
 
 6,465,302 
 
 116,309 
 
 6,581,611 
 
 4.95 
%
 
 3.66 
%
 
ARM
 113,413 
 
 2,398 
 
 115,811 
 
 2,065 
 
 117,876 
 
 3.40 
%
 
 3.07 
%
 
Hybrid ARM
 1,321,339 
 
 30,516 
 
 1,351,855 
 
 22,630 
 
 1,374,485 
 
 3.29 
%
 
 2.59 
%
 
 
Total Agency
 9,779,292 
 
 566,781 
 
 10,346,073 
 
 177,458 
 
 10,523,531 
 
 4.53 
%
 
 3.33 
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MBS-CMO
 765,172 
 
 (592,342)
 
 172,830 
 
 (4,368)
 
 168,462 
 
 2.86 
%
 
 3.52 
%
 
Non-Agency RMBS(3)
 2,719,797 
 
 (252,135)
 
 2,467,662 
 
 (108,434)
 
 2,359,228 
 
 4.57 
%
 
 5.07 
%
 
CMBS
 1,250,607 
 
 (21,805)
 
 1,228,802 
 
 (65,874)
 
 1,162,928 
 
 5.38 
%
 
 5.60 
%
Total
 14,514,868 
 
 (299,501)
 
 14,215,367 
 
 (1,218)
 
 14,214,149 
 
 4.52 
%
 
 3.83 
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1) Net weighted average coupon (“WAC”) is presented net of servicing and other fees.
 
 
 
 
 
 
 
 
(2) Average yield incorporates future prepayment and loss assumptions.
 
 
 
 
 
 
 
 
(3) The non-Agency RMBS held by the Company is 9.8% fixed rate, 5.2% floating rate and 85.0% variable 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, 2011
 
September 30, 2011
 
Company
 
Cohort
 
Company
 
Cohort
 
 
 
 
 
 
 
 
15 year Agency RMBS
 11.2 
 
 25.6 
 
9.1
 
20.5
30 year Agency RMBS
 12.1 
 
 20.6 
 
9.8
 
16.2
Agency Hybrid ARM RMBS
 19.4 
 
NA
 
14.9
 
N/A
Non-Agency RMBS (1)
 14.8 
 
NA
 
8.1
 
N/A
Overall
13.3 
 
NA
 
8.7
 
N/A
               
(1) For the three months ended December 31, 2011, the calculation of CPR for Non-Agency RMBS has been modified to reflect voluntary prepayments and recoveries upon default and is adjusted for the effect of additional subordination on Re-REMIC Senior investments.  If the same calculation were to be applied for the three months ended September 30, 2011, the non-Agency RMBS CPR would have been 17.7 and the overall CPR would have been 12.4.
 
Repurchase Agreements
 
The following table summarizes the Company’s borrowings by type of investment for the period ended December 31, 2011 and December 31, 2010:
 
 
$ in thousands
 
 
December 31, 2011
 
 
 
December 31, 2010
 
 
 
 
 
 
 
Weighted
 
 
 
 
 
Weighted
 
 
 
 
 
 
 
Average
 
 
 
 
 
Average
 
 
 
 
Amount
 
Interest
 
 
Amount
 
Interest
 
 
 
 
Outstanding
 
Rate
 
 
Outstanding
 
Rate
 
 
Agency RMBS
 
 
 9,491,538 
 
0.38 
%
 
 
 3,483,440 
 
 0.33 
%
 
Non-Agency RBS
 
 
 1,916,620 
 
1.79 
%
 
 
 459,979 
 
 1.76 
%
 
CMBS
 
 
 844,880 
 
1.55 
%
 
 
 401,240 
 
 1.30 
%
 
Total
 
 
 12,253,038 
 
 0.68 
%
 
 
 4,344,659 
 
 0.57 
%

 
 

 

 
Interest Rate Hedges
 
The following table summarizes our hedging activity as of December 31, 2011:
 
 
 
 
 
 
 
 
Fixed Interest Rate
 
 
Counterparty
Notional
Maturity Date
 
in Contract
 
 
The Bank of New York Mellon
  
 175,000 
 
8/5/2012
 
 
2.07%
 
 
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%
 
 
Wells Fargo Bank, N.A.
 
 200,000 
 
3/15/2021
 
 
3.14%
 
 
Citibank, N.A.
 
 200,000 
 
5/25/2021
 
 
2.83%
 
 
Total
  
 6,925,000 
  
 
 
 
2.29%
 
 

 
 

 

 
Average Balances
 
The following table shows the average balances for the months ended December 31, 2011:
 
 
 
 
Three Months ended
 
Year ended Months ended
 
 
 
December 31,
 
December 31,
 
$ in thousands
2011 
 
2010 
 
2011 
 
2010 
 
Average Balances*:
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate, at fair value (Including CMOs)
 
 2,559,040 
 
 
 1,681,252 
 
 
 2,279,661 
 
 
 811,966 
 
 
30 year fixed-rate, at fair value
 
 6,316,786 
 
 
 1,863,523 
 
 
 4,603,117 
 
 
 874,214 
 
 
ARM, at fair value
 
 102,512 
 
 
 20,542 
 
 
 87,033 
 
 
 11,819 
 
 
Hybrid ARM, at fair value
 
 1,329,884 
 
 
 46,490 
 
 
 1,009,829 
 
 
 83,878 
 
Non-Agency RMBS, at fair value
 
 2,435,012 
 
 
 817,112 
 
 
 2,030,195 
 
 
 622,575 
 
CMBS, at fair value
 
 1,236,181 
 
 
 445,937 
 
 
 988,105 
 
 
 262,182 
 
Average MBS portfolio
 
 13,979,415 
 
 
 4,874,856 
 
 
 10,997,939
 
 
 2,666,634 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Average Portfolio Yields (1):
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS:
 
 
 
 
 
 
 
 
 
 
 
 
 
15 year fixed-rate, (Including CMOs)
 
2.65%
 
 
2.58%
 
 
2.96%
 
 
2.87%
 
 
30 year fixed-rate
 
3.46%
 
 
2.97%
 
 
3.54%
 
 
3.37%
 
 
ARM
 
2.84%
 
 
2.51%
 
 
2.96%
 
 
2.48%
 
 
Hybrid ARM
 
2.46%
 
 
1.50%
 
 
2.55%
 
 
0.93%
 
Non-Agency RMBS
 
6.31%
 
 
10.25%
 
 
6.88%
 
 
10.94%
 
CMBS
 
6.05%
 
 
4.47%
 
 
5.54%
 
 
4.68%
 
Average MBS portfolio
 
3.94%
 
 
4.18%
 
 
4.12%
 
 
5.03%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Average Borrowings*:
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS
 
 9,179,788 
 
 
 3,079,239 
 
 
 7,146,066 
 
 
 1,570,211 
 
 
Non-Agency RMBS
 
 1,994,379 
 
 
 526,445 
 
 
 1,536,245 
 
 
 339,209 
 
 
CMBS
 
 952,777 
 
 
 315,682 
 
 
 791,212 
 
 
 194,505 
 
Total borrowed funds
 
 12,126,944 
 
 
 3,921,366 
 
 
 9,473,523 
 
 
 2,103,924 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Average Cost of Funds (2):
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency RMBS
 
0.32%
 
 
0.28%
 
 
0.27%
 
 
0.27%
 
 
Non-Agency RMBS
 
1.67%
 
 
1.58%
 
 
1.47%
 
 
1.59%
 
 
CMBS
 
1.53%
 
 
1.89%
 
 
1.35%
 
 
2.77%
 
 
Unhedged cost of funds
 
0.64%
 
 
0.58%
 
 
0.56%
 
 
0.71%
 
 
Hedged cost of funds
 
1.81%
 
 
1.09%
 
 
1.64%
 
 
1.40%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Average Equity (3):
 
 1,921,684 
 
 
 924,151 
 
 
 1,625,794 
 
 
 590,177 
 
Average debt/equity ratio (average during period)
 
6.31x
 
 
4.24x
 
 
5.83x
 
 
3.56x
 
Debt/equity ratio (as of period end)
 
6.39x
 
 
4.13x
 
 
6.39x
 
 
4.13x
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
* Average amounts for each period are based on weighted month end balances, all percentages are annualized.
 
(1) Average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by our average of the investment balance at fair value.
 
(2) Average cost of funds is calculated by dividing interest expense, by our average borrowings.
 
(3) Average equity is calculated based on a weighted balance basis.