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 July 31, 2013, issued by Invesco Mortgage Capital Inc.
|
Invesco Mortgage Capital | |||
|
By:
|
/s/ Donald R. Ramon | |
Donald R. Ramon | |||
Chief Financial Officer | |||
Exhibit No.
|
|
Description
|
99.1
|
|
Press Release, dated July 31, 2013, issued by Invesco Mortgage Capital Inc.
|
Press Release
For immediate release
|
Invesco Mortgage Capital Inc. Reports
Second Quarter 2013 Financial Results
Contact: Bill Hensel, 404-479-2886
|
($ in millions, except per share amounts)
|
||
Q2 ‘13
|
Q1 ‘13
|
|
(unaudited)
|
(unaudited)
|
|
Average earning assets (at amortized costs)
|
$21,614.6
|
$19,985.0
|
Average borrowed funds
|
19,139.2
|
17,238.0
|
Average equity
|
$2,774.4
|
$2,708.5
|
Interest income
|
$175.7
|
$160.5
|
Interest expense
|
79.5
|
67.6
|
Net interest income
|
96.2
|
92.9
|
Other income
|
61.3
|
6.7
|
Operating expenses
|
13.9
|
11.9
|
Net income
|
143.1
|
87.7
|
Preferred dividend
|
2.7
|
2.7
|
Net income after preferred dividend
|
$140.3
|
$85.0
|
Average portfolio yield
|
3.25%
|
3.21%
|
Average cost of funds
|
1.66%
|
1.57%
|
Debt to equity ratio
|
7.6
|
6.4
|
Return on average equity
|
20.23%
|
12.55%
|
Book value per common share (diluted)
|
$17.88
|
$20.42
|
Earnings per common share (basic)
|
$1.03
|
$0.65
|
Core earnings per common share *
|
$0.59
|
$0.62
|
Dividend per common share
|
$0.65
|
$0.65
|
Dividend per preferred share
|
$0.4844
|
$0.4844
|
|
|
|
|
Three Months Ended
|
|
Six Months Ended
|
||||||||
|
|
|
|
June 30,
|
|
June 30,
|
||||||||
$ in thousands, except per share data
|
2013
|
|
2012
|
|
2013
|
|
2012
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Mortgage-backed securities
|
|
168,736
|
|
|
139,004
|
|
|
329,080
|
|
|
280,964
|
||
|
Residential loans
|
|
6,889
|
|
|
-
|
|
|
7,026
|
|
|
-
|
||
|
Commercial loans
|
|
60
|
|
|
-
|
|
|
60
|
|
|
-
|
||
|
|
Total interest income
|
|
175,685
|
|
|
139,004
|
|
|
336,166
|
|
|
280,964
|
|
|
Interest expense
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Repurchase agreements
|
|
68,463
|
|
|
56,700
|
|
|
134,792
|
|
|
111,985
|
||
|
Exchangeable senior note
|
|
5,622
|
|
|
-
|
|
|
6,782
|
|
|
-
|
||
|
Asset-backed securities issued
|
|
5,377
|
|
|
-
|
|
|
5,456
|
|
|
-
|
||
|
|
Total interest expense
|
|
79,462
|
|
|
56,700
|
|
147,030
|
|
|
111,985
|
||
|
Net interest income
|
|
96,223
|
|
|
82,304
|
|
|
189,136
|
|
|
168,979
|
||
|
Provision for loan losses
|
|
663
|
|
|
-
|
|
|
663
|
|
|
-
|
||
|
Net interest income after provision for loan losses
|
|
95,560
|
|
|
82,304
|
|
|
188,473
|
|
|
168,979
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other income
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Gain on sale of investments, net
|
|
5,692
|
|
|
6,098
|
|
|
12,404
|
|
|
12,143
|
||
|
Equity in earnings and fair value change in unconsolidated
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
ventures
|
|
2,157
|
|
|
1,961
|
|
|
3,747
|
|
|
2,970
|
|
|
Realized and unrealized gain (loss) on interest rate swaps and swaptions
|
|
53,314
|
|
|
(1,533)
|
|
|
51,311
|
|
|
(2,043)
|
||
|
Realized and unrealized credit default swap income
|
|
180
|
|
|
690
|
|
|
531
|
|
|
1,347
|
||
|
Total other income
|
|
61,343
|
|
|
7,216
|
|
|
67,993
|
|
|
14,417
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Management fee – related party
|
|
10,807
|
|
|
8,681
|
|
|
21,161
|
|
|
17,320
|
||
|
General and administrative
|
|
3,043
|
|
|
1,045
|
|
|
4,587
|
|
|
2,174
|
||
|
Total expenses
|
|
13,850
|
|
|
9,726
|
|
|
25,748
|
|
|
19,494
|
||
|
Net income
|
|
143,053
|
|
|
79,794
|
|
|
230,718
|
|
|
163,902
|
||
|
Net income attributable to non-controlling interest
|
|
1,493
|
|
|
973
|
|
|
2,455
|
|
|
1,999
|
||
|
Net income attributable to Invesco Mortgage Capital Inc.
|
|
141,560
|
|
|
78,821
|
|
|
228,263
|
|
|
161,903
|
||
|
Dividends to preferred shareholders
|
|
2,713
|
|
|
-
|
|
|
5,425
|
|
|
-
|
||
|
Net income attributable to common shareholders
|
|
138,847
|
|
|
78,821
|
|
|
222,838
|
|
|
161,903
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Earnings per share:
|
|
|
|
|
|
|
|
|
|
|
|
||
|
Net income attributable to common shareholders
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
(basic)
|
|
1.03
|
|
|
0.68
|
|
|
1.69
|
|
|
1.40
|
|
|
|
(diluted)
|
|
0.95
|
|
|
0.68
|
|
|
1.61
|
|
|
1.40
|
|
|
Dividends declared per common share
|
|
0.65
|
|
|
0.65
|
|
|
1.30
|
|
|
1.30
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ in thousands, except per share amounts
|
As of
|
|||||
|
|
June 30,
|
|
December 31,
|
||
ASSETS
|
2013
|
|
2012
|
|||
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities, at fair value
|
|
19,806,158
|
|
|
18,470,563
|
|
Residential loans, held-for-investment, net of loan loss reserve
|
|
1,553,006
|
|
|
-
|
|
Commercial loans, held-for-investment, net of loan loss reserve
|
|
8,954
|
|
|
-
|
|
Cash and cash equivalents
|
|
169,777
|
|
|
286,474
|
|
Investment related receivable
|
|
902,228
|
|
|
41,429
|
|
Investments in unconsolidated ventures, at fair value
|
|
36,415
|
|
|
35,301
|
|
Accrued interest receivable
|
|
77,968
|
|
|
62,977
|
|
Derivative assets, at fair value
|
|
257,110
|
|
|
6,469
|
|
Deferred securitization and financing costs
|
|
14,812
|
|
|
-
|
|
Other investments
|
|
10,000
|
|
|
10,000
|
|
Other assets
|
|
2,149
|
|
|
1,547
|
|
|
Total assets (1)
|
|
22,838,577
|
|
|
18,914,760
|
|
|
|
|
|
|
|
LIABILITIES AND EQUITY
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase agreements
|
|
17,878,893
|
|
|
15,720,460
|
|
Asset-backed securities issued
|
|
1,432,008
|
|
|
-
|
|
Exchangeable senior notes
|
|
400,000
|
|
|
-
|
|
Derivative liability, at fair value
|
|
304,289
|
|
|
436,440
|
|
Dividends and distributions payable
|
|
91,528
|
|
|
79,165
|
|
Investment related payable
|
|
19,340
|
|
|
63,715
|
|
Accrued interest payable
|
|
23,594
|
|
|
15,275
|
|
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
|
|
|
|
|
|
|
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.
|
|
|
|
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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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.
|
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
|
$ 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
|
|
$ 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.
|
|
|
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.
|