Maryland
|
001-34385
|
262749336
|
||
(State or other jurisdiction
of incorporation)
|
(Commission File Number)
|
(IRS Employer
Identification No.)
|
1555 Peachtree Street, NE, Atlanta, Georgia
|
30309
|
|
(Address of principal executive offices)
|
(Zip Code)
|
¨
|
Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
|
¨
|
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
|
¨
|
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
|
¨
|
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
|
Item 2.02
|
Results of Operations and Financial Condition.
|
Item 9.01
|
Financial Statements and Exhibits.
|
(d)
|
Exhibits.
|
Exhibit No.
|
|
Description
|
99.1
|
|
Press Release, dated October 30, 2012, issued by Invesco Mortgage Capital Inc.
|
Invesco Mortgage Capital Inc. | |||
|
By:
|
/s/ Donald R. Ramon | |
Donald R. Ramon | |||
Chief Financial Officer | |||
Exhibit No.
|
|
Description
|
99.1
|
|
Press Release, dated October 30, 2012, issued by Invesco Mortgage Capital Inc.
|
($ in millions, except per share amounts)
|
||
Q3 ‘12
|
Q2 ‘12
|
|
(unaudited)
|
(unaudited)
|
|
Average Earning Assets (at amortized costs)
|
$16,955.1
|
$15,595.1
|
Average Borrowed Funds
|
14,440.3
|
13,449.7
|
Average Equity
|
$2,329.9
|
$2,171.7
|
Interest Income
|
$140.5
|
$139.0
|
Interest Expense
|
60.3
|
56.7
|
Net Interest Income
|
80.2
|
82.3
|
Other Income
|
16.6
|
7.2
|
Operating Expenses
|
10.0
|
9.7
|
Net Income
|
86.8
|
79.8
|
Preferred Dividend
|
2.7
|
-
|
Net Income after Preferred Dividend
|
$84.1
|
$79.8
|
Average Portfolio Yield
|
3.31%
|
3.57%
|
Average Cost of Funds
|
1.67%
|
1.69%
|
Debt to Equity Ratio
|
5.8
|
6.3
|
Return on Average Equity
|
14.44%
|
14.70%
|
Book Value per Common Share (Diluted)
|
$20.93
|
$18.40
|
Earnings per Common share (Basic and Diluted)
|
$0.72
|
$0.68
|
Dividend per Common share
|
$0.65
|
$0.65
|
Dividend per Preferred share
|
$0.479
|
-
|
|
|
|
Three Months Ended
|
|
Nine Months Ended
|
|||||||||
|
|
|
|
September 30,
|
|
September 30,
|
||||||||
$ in thousands, except per share data
|
2012
|
|
2011
|
|
2012
|
|
2011
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Revenues
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Interest income
|
|
140,477
|
|
|
138,291
|
|
|
421,442
|
|
|
315,808
|
||
|
Interest expense
|
|
60,327
|
|
|
50,452
|
|
|
172,312
|
|
|
100,237
|
||
|
Net interest income
|
|
80,150
|
|
|
87,839
|
|
|
249,130
|
|
|
215,571
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Gain on sale of investments
|
|
12,836
|
|
|
3,637
|
|
|
24,978
|
|
|
8,442
|
||
|
Equity in earnings/(loss) and fair value change in unconsolidated
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
ventures
|
|
3,262
|
|
|
(993)
|
|
|
6,231
|
|
|
2,738
|
|
|
Unrealized loss on interest rate swaps and swaptions
|
|
(808)
|
|
|
(453)
|
|
|
(2,851)
|
|
|
(655)
|
||
|
Realized and unrealized credit default swap income
|
|
1,348
|
|
|
858
|
|
|
2,694
|
|
|
4,649
|
||
|
Total other income
|
|
16,638
|
|
|
3,049
|
|
|
31,052
|
|
|
15,174
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Management fee – related party
|
|
9,053
|
|
|
7,884
|
|
|
26,372
|
|
|
17,612
|
||
|
General and administrative
|
|
959
|
|
|
829
|
|
|
3,132
|
|
|
2,855
|
||
|
Total expenses
|
|
10,012
|
|
|
8,713
|
|
|
29,504
|
|
|
20,467
|
||
|
Net income
|
|
86,776
|
|
|
82,175
|
|
|
250,678
|
|
|
210,278
|
||
|
Net income attributable to non-controlling interest
|
|
1,026
|
|
|
1,091
|
|
|
3,025
|
|
|
3,948
|
||
|
Net income attributable to Invesco Mortgage Capital Inc.
|
|
85,750
|
|
|
81,084
|
|
|
247,653
|
|
|
206,330
|
||
|
Dividends to preferred shareholders
|
|
2,682
|
|
|
-
|
|
|
2,682
|
|
|
-
|
||
|
Net income attributable to common shareholders
|
|
83,068
|
|
|
81,084
|
|
|
244,971
|
|
|
206,330
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
(basic/diluted)
|
|
0.72
|
|
|
0.79
|
|
|
2.12
|
|
|
2.70
|
|
|
Dividends declared per common share
|
|
0.65
|
|
|
0.80
|
|
|
1.95
|
|
|
2.77
|
||
|
Weighted average number of shares of common stock:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
Basic
|
|
115,412
|
|
|
103,028
|
|
|
115,405
|
|
|
76,311
|
|
|
|
Diluted
|
|
116,868
|
|
|
104,472
|
|
|
116,858
|
|
|
77,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except share and per share amounts
|
As of
|
|||||
|
|
September 30,
|
|
December 31,
|
||
ASSETS
|
2012
|
|
2011
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
18,324,208
|
|
|
14,214,149
|
|
Cash and cash equivalents
|
|
190,848
|
|
|
197,224
|
|
Restricted cash
|
|
13,473
|
|
|
74,496
|
|
Investment related receivable
|
|
7,608
|
|
|
160,424
|
|
Investments in unconsolidated ventures, at fair value
|
|
55,654
|
|
|
68,793
|
|
Accrued interest receivable
|
|
61,759
|
|
|
54,167
|
|
Derivative assets, at fair value
|
|
1,866
|
|
|
1,339
|
|
Other assets
|
|
1,810
|
|
|
1,575
|
|
|
Total assets
|
|
18,657,226
|
|
|
14,772,167
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
14,876,501
|
|
|
12,253,038
|
|
Derivative liability, at fair value
|
|
471,841
|
|
|
396,780
|
|
Dividends and distributions payable
|
|
78,628
|
|
|
75,933
|
|
Investment related payable
|
|
622,731
|
|
|
107,032
|
|
Accrued interest payable
|
|
11,809
|
|
|
12,377
|
|
Accounts payable and accrued expenses
|
|
657
|
|
|
556
|
|
Due to affiliate
|
|
9,628
|
|
|
9,038
|
|
|
Total liabilities
|
|
16,071,795
|
|
|
12,854,754
|
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
Preferred Stock, par value $0.01 per share; 50,000,000 shares
|
|
|
|
|
|
|
authorized, 7.75% series A cumulative redeemable, $25 liquidation
|
||||||
|
preference, 5,600,000 and no shares issued and outstanding at
|
|
|
|
|
|
|
September 30, 2012 and December 31, 2011, respectively
|
|
135,359
|
|
|
-
|
Common Stock, par value $0.01 per share; 450,000,000 shares
|
|
|
|
|
|
|
|
authorized, 115,414,186 and 115,395,695 shares issued and
|
|
|
|
|
|
|
outstanding, at September 30, 2012 and December 31, 2011, respectively
|
|
1,154
|
|
|
1,154
|
Additional paid in capital
|
|
2,299,950
|
|
|
2,299,543
|
|
Accumulated other comprehensive income (loss)
|
|
112,543
|
|
|
(393,291)
|
|
Retained earnings (distributions in excess of earnings)
|
|
4,855
|
|
|
(15,068)
|
|
|
Total shareholders’ equity
|
|
2,553,861
|
|
|
1,892,338
|
|
|
|
|
|
|
|
Non-controlling interest
|
|
31,570
|
|
|
25,075
|
|
|
Total equity
|
|
2,585,431
|
|
|
1,917,413
|
|
|
|
|
|
|
|
|
Total liabilities and equity
|
|
18,657,226
|
|
|
14,772,167
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net
|
|
Period-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
|
2,099,509
|
|
110,129
|
|
2,209,638
|
|
74,540
|
|
2,284,178
|
|
4.10
|
%
|
|
2.65
|
%
|
|
2.40
|
%
|
|
|
30 year fixed-rate
|
9,419,335
|
|
620,748
|
|
10,040,083
|
|
328,440
|
|
10,368,523
|
|
4.37
|
%
|
|
3.12
|
%
|
|
2.92
|
%
|
|
|
ARM
|
119,157
|
|
3,768
|
|
122,925
|
|
3,046
|
|
125,971
|
|
3.17
|
%
|
|
2.68
|
%
|
|
2.75
|
%
|
|
|
Hybrid ARM
|
615,578
|
|
14,813
|
|
630,391
|
|
20,892
|
|
651,283
|
|
3.20
|
%
|
|
2.64
|
%
|
|
2.61
|
%
|
|
|
|
Total Agency pass-through
|
12,253,579
|
|
749,458
|
|
13,003,037
|
|
426,918
|
|
13,429,955
|
|
4.25
|
%
|
|
3.01
|
%
|
|
2.81
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
Agency-CMO(4)
|
1,346,339
|
|
(828,433)
|
|
517,906
|
|
2,681
|
|
520,587
|
|
2.88
|
%
|
|
3.58
|
%
|
|
2.22
|
%
|
|
|
Non-Agency RMBS(5)
|
2,829,094
|
|
(235,582)
|
|
2,593,512
|
|
32,281
|
|
2,625,793
|
|
4.12
|
%
|
|
4.87
|
%
|
|
4.91
|
%
|
|
|
CMBS
|
1,623,395
|
|
1,266
|
|
1,624,661
|
|
123,212
|
|
1,747,873
|
|
5.44
|
%
|
|
5.31
|
%
|
|
5.24
|
%
|
|
Total
|
18,052,407
|
|
(313,291)
|
|
17,739,116
|
|
585,092
|
|
18,324,208
|
|
4.23
|
%
|
|
3.51
|
%
|
|
3.31
|
%
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||
(1) Net weighted average coupon as of September 30, 2012 (“WAC”) is presented net of servicing and other fees.
|
|
|
|
|||||||||||||||||
(2) Average yield based on amortized cost as of September 30, 2012 incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
(3) For the three months ended September 30, 2012, the presentation of the quarterly weighted average yield has been changed to be based on amortized cost to be more consistent with the period-end weighted average yield. Prior periods will be adjusted accordingly for comparative purposes. Average yield based on average amortized cost for the three months ended September 30, 2012 incorporates future prepayment and loss assumptions.
|
|
|
|
|||||||||||||||||
(4) Agency-CMO held by the Company are 14.1% interest only securities.
|
|
|
|
|||||||||||||||||
(5) The non-Agency RMBS held by the Company is 85.5% variable rate, 9.8% fixed rate, and 4.7% floating rate based on fair value.
|
|
|||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2012
|
|
June 30, 2012
|
|||||
|
Company
|
|
Cohort
|
|
Company
|
|
Cohort
|
|
|
|
|
|
|
|
|
15 year Agency RMBS
|
14.6
|
|
23.4
|
|
11.3
|
|
21.6
|
30 year Agency RMBS
|
13.1
|
|
20.7
|
|
12.3
|
|
18.9
|
Agency Hybrid ARM RMBS
|
20.0
|
|
NA
|
|
18.1
|
|
NA
|
Non-Agency RMBS
|
16.2
|
|
NA
|
|
16.2
|
|
NA
|
Overall
|
14.3
|
|
NA
|
|
13.3
|
|
NA
|
$ in thousands
|
|
September 30, 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
|
|
|
11,710,680
|
|
0.41
|
%
|
|
18
|
|
|
9,491,538
|
|
0.38
|
%
|
|
22
|
|
Non-Agency RMBS
|
|
|
1,915,915
|
|
1.77
|
%
|
|
25
|
|
|
1,916,620
|
|
1.79
|
%
|
|
22
|
|
CMBS
|
|
|
1,249,906
|
|
1.56
|
%
|
|
19
|
|
|
844,880
|
|
1.55
|
%
|
|
22
|
|
Total
|
|
|
14,876,501
|
|
0.68
|
%
|
|
19
|
|
|
12,253,038
|
|
0.68
|
%
|
|
22
|
|
$ 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
|
|
500,000
|
|
5/24/2018
|
|
|
1.10%
|
The Royal Bank of Scotland Plc
|
|
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%
|
Total
|
|
7,750,000
|
|
|
|
|
2.14%
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
As of and for the
|
|
As of and for the
|
||||||||
|
|
Three Months ended
|
|
Nine Months ended
|
||||||||
|
|
September 30,
|
|
September 30,
|
||||||||
|
$ in thousands
|
2012
|
|
2011
|
|
2012
|
|
2011
|
||||
|
Average Balances*:
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate, at amortized cost
|
2,262,090
|
|
|
2,323,010
|
|
|
2,365,084
|
|
|
2,097,350
|
|
|
30 year fixed-rate, at amortized cost
|
9,244,544
|
|
|
5,514,277
|
|
|
7,969,201
|
|
|
3,985,708
|
|
|
ARM, at amortized cost
|
136,990
|
|
|
109,952
|
|
|
161,715
|
|
|
81,295
|
|
|
Hybrid ARM, at amortized cost
|
796,446
|
|
|
1,297,070
|
|
|
1,175,280
|
|
|
894,151
|
|
|
MBS-CMO, at amortized cost
|
502,646
|
|
|
126,300
|
|
|
450,419
|
|
|
75,258
|
|
Non-Agency RMBS, at amortized cost
|
2,496,031
|
|
|
2,555,216
|
|
|
2,391,076
|
|
|
1,895,121
|
|
|
CMBS, at amortized cost
|
1,516,371
|
|
|
1,364,914
|
|
|
1,329,005
|
|
|
902,722
|
|
|
Average MBS portfolio
|
16,955,118
|
|
|
13,290,739
|
|
|
15,841,780
|
|
|
9,931,605
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Portfolio Yields: (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 year fixed-rate,
|
2.40%
|
|
|
2.88%
|
|
|
2.60%
|
|
|
3.04%
|
|
|
30 year fixed-rate
|
2.92%
|
|
|
3.71%
|
|
|
3.22%
|
|
|
3.63%
|
|
|
ARM
|
2.75%
|
|
|
3.16%
|
|
|
2.63%
|
|
|
3.02%
|
|
|
Hybrid ARM
|
2.61%
|
|
|
2.60%
|
|
|
2.67%
|
|
|
2.63%
|
|
|
MBS-CMO
|
2.22%
|
|
|
3.21%
|
|
|
2.21%
|
|
|
4.69%
|
|
Non-Agency RMBS
|
4.91%
|
|
|
6.50%
|
|
|
5.30%
|
|
|
7.13%
|
|
|
CMBS
|
5.24%
|
|
|
5.46%
|
|
|
5.41%
|
|
|
5.32%
|
|
|
Average MBS portfolio
|
3.31%
|
|
|
4.16%
|
|
|
3.55%
|
|
|
4.24%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Borrowings*:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
11,452,398
|
|
|
8,399,111
|
|
|
10,884,302
|
|
|
6,468,159
|
|
|
Non-Agency RMBS
|
1,842,351
|
|
|
1,998,255
|
|
|
1,767,130
|
|
|
1,383,534
|
|
|
CMBS
|
1,145,575
|
|
|
1,069,243
|
|
|
980,341
|
|
|
737,356
|
|
Total borrowed funds
|
14,440,324
|
|
|
11,466,609
|
|
|
13,631,773
|
|
|
8,589,049
|
|
|
Maximum borrowings during the period(2)
|
14,890,062
|
|
|
12,181,845
|
|
|
14,890,062
|
|
|
12,181,845
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Cost of Funds: (3)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency RMBS
|
0.41%
|
|
|
0.25%
|
|
|
0.37%
|
|
|
0.25%
|
|
|
Non-Agency RMBS
|
1.77%
|
|
|
1.39%
|
|
|
1.78%
|
|
|
1.37%
|
|
|
CMBS
|
1.59%
|
|
|
1.35%
|
|
|
1.57%
|
|
|
1.28%
|
|
|
Unhedged cost of funds
|
0.68%
|
|
|
0.55%
|
|
|
0.64%
|
|
|
0.52%
|
|
|
Hedged cost of funds
|
1.67%
|
|
|
1.76%
|
|
|
1.69%
|
|
|
1.56%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Equity: (4)
|
2,329,921
|
|
|
1,847,320
|
|
|
2,198,633
|
|
|
1,526,080
|
|
|
Average debt/equity ratio (average during period)
|
6.20x
|
|
|
6.21x
|
|
|
6.20x
|
|
|
5.63x
|
|
|
Debt/equity ratio (as of period end)
|
5.75x
|
|
|
6.33x
|
|
|
5.75x
|
|
|
6.33x
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* Average amounts for each period are based on weighted month end balances, all percentages are annualized. For the three and nine months ended September 30, 2012, the average balances have been changed to be presented by the average of the amortized cost. Prior periods will be 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.
|
|||||||||||
|
(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 average basis.
|