Maryland | 001-34385 | 26-2749336 | ||
(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) |
o | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |
o | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |
o | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
o | 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 November 4, 2014, issued by Invesco Mortgage Capital Inc. |
Exhibit No. | Description | |
99.1 | Press Release, dated November 4, 2014, issued by Invesco Mortgage Capital Inc. |
Press Release For immediate release |
Invesco Mortgage Capital Inc. Reports Third Quarter 2014 Financial Results Generated core earnings of $54.3 million, or $0.44 per share, while continuing to reposition the portfolio and expand our funding sources |
Atlanta – November 4, 2014 -- Invesco Mortgage Capital Inc. (NYSE: IVR) (the "Company") today announced financial results for the quarter ended September 30, 2014, including core earnings of $0.44 per share. "We believe accumulation of an attractive dividend and long-term stability of book value will reward long-term investors," said Richard King, President and CEO. "Year-to-date, IVR has declared $1.50 per common share of dividends and has grown book value from $17.97 to $19.16 per share." | Third Quarter Highlights | ||
| Book value per share ended the quarter at $19.16, down 3.2% from Q2 and up 6.6% YTD | ||
| Core earnings of $54.3 million or $0.44 per share reflects higher prepayment speeds which have since declined | ||
| GAAP net income after preferred dividends of $31.1 million or $0.25 per share | ||
| Comprehensive income (loss) attributable to common shareholders of ($13.6) million or ($0.11) per share for Q3 and $330.1 million or $2.68 per share YTD | ||
| Debt to equity ratio declined 0.12x to 6.70x for Q3 primarily due to lower leverage on repurchase agreements |
($ in millions, except share amounts) | Q3 ‘14 | Q2 ‘14 | ||||
(unaudited) | (unaudited) | |||||
Average earning assets (at amortized costs) | $19,599.3 | $20,025.9 | ||||
Average borrowed funds | 17,350.8 | 17,546.7 | ||||
Average equity | $2,449.6 | $2,470.9 | ||||
Interest income | $169.4 | $174.5 | ||||
Interest expense | 70.3 | 69.4 | ||||
Net interest income | 99.1 | 105.0 | ||||
Gain (loss) on sale of investments, net | (48.0 | ) | (20.8 | ) | ||
Gain (loss) on derivative instruments, net | (3.7 | ) | (167.8 | ) | ||
Other income (loss), net | — | 4.2 | ||||
Operating expenses | 13.3 | 13.1 | ||||
Net income (loss) | 34.4 | (92.4 | ) | |||
Dividends to preferred shareholders | 2.7 | 2.7 | ||||
Undeclared cumulative dividends to preferred shareholders | 0.7 | — | ||||
Net income (loss) after preferred dividends | $31.1 | ($95.1 | ) | |||
Average portfolio yield | 3.46 | % | 3.48 | % | ||
Cost of funds | 1.62 | % | 1.58 | % | ||
Debt to equity ratio | 6.70 | x | 6.82 | x | ||
Return on average equity | 5.18 | % | (15.40 | %) | ||
Book value per common share (diluted) | $19.16 | $19.80 | ||||
Earnings (loss) per common share (basic) | $0.25 | ($0.76 | ) | |||
Dividends declared per common share | $0.50 | $0.50 | ||||
Dividends declared per preferred share on Series A Preferred Stock | $0.4844 | $0.4844 | ||||
Non-GAAP Financial Measures*: | ||||||
Core earnings | $54.3 | $62.1 | ||||
Core earnings per common share | $0.44 | $0.50 | ||||
Effective interest expense | $99.5 | $100.1 | ||||
Effective cost of funds | 2.29 | % | 2.28 | % | ||
Effective net interest income | $69.9 | $74.3 | ||||
Effective interest rate margin | 1.17 | % | 1.20 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
In thousands, except share amounts | 2014 | 2013 | 2014 | 2013 | |||||||
Interest Income | |||||||||||
Mortgage-backed securities | 144,043 | 157,539 | 447,702 | 486,619 | |||||||
Residential loans | 22,713 | 13,417 | 60,888 | 20,443 | |||||||
Commercial loans | 2,649 | 372 | 6,329 | 432 | |||||||
Total interest income | 169,405 | 171,328 | 514,919 | 507,494 | |||||||
Interest Expense | |||||||||||
Repurchase agreements | 45,756 | 73,695 | 142,649 | 208,487 | |||||||
Secured loans | 1,223 | — | 1,399 | — | |||||||
Exchangeable senior notes | 5,620 | 5,621 | 16,840 | 12,403 | |||||||
Asset-backed securities | 17,660 | 10,266 | 47,421 | 15,722 | |||||||
Total interest expense | 70,259 | 89,582 | 208,309 | 236,612 | |||||||
Net interest income | 99,146 | 81,746 | 306,610 | 270,882 | |||||||
Provision for loan losses | (209 | ) | 87 | (52 | ) | 751 | |||||
Net interest income after provision for loan losses | 99,355 | 81,659 | 306,662 | 270,131 | |||||||
Other Income (loss) | |||||||||||
Gain (loss) on sale of investments, net | (47,952 | ) | (69,323 | ) | (80,436 | ) | (56,919 | ) | |||
Equity in earnings and fair value change in unconsolidated ventures | 1,145 | 1,422 | 5,480 | 5,169 | |||||||
Gain (loss) on derivative instruments, net | (3,704 | ) | (6,887 | ) | (322,832 | ) | 44,424 | ||||
Realized and unrealized credit default swap income | 247 | 297 | 868 | 828 | |||||||
Other investment income (loss), net | (1,358 | ) | — | (1,358 | ) | — | |||||
Total other income (loss) | (51,622 | ) | (74,491 | ) | (398,278 | ) | (6,498 | ) | |||
Expenses | |||||||||||
Management fee – related party | 9,214 | 10,945 | 27,876 | 32,106 | |||||||
General and administrative | 4,079 | 2,259 | 11,014 | 6,845 | |||||||
Total expenses | 13,293 | 13,204 | 38,890 | 38,951 | |||||||
Net income (loss) | 34,440 | (6,036 | ) | (130,506 | ) | 224,682 | |||||
Net income (loss) attributable to non-controlling interest | 394 | (63 | ) | (1,485 | ) | 2,392 | |||||
Net income (loss) attributable to Invesco Mortgage Capital Inc. | 34,046 | (5,973 | ) | (129,021 | ) | 222,290 | |||||
Dividends to preferred shareholders | 2,713 | 2,713 | 8,138 | 8,138 | |||||||
Undeclared cumulative dividends to preferred shareholders | 661 | — | 661 | — | |||||||
Net income (loss) attributable to common shareholders | 30,672 | (8,686 | ) | (137,820 | ) | 214,152 | |||||
Earnings (loss) per share: | |||||||||||
Net income (loss) attributable to common shareholders | |||||||||||
Basic | 0.25 | (0.06 | ) | (1.12 | ) | 1.61 | |||||
Diluted | 0.25 | (0.06 | ) | (1.12 | ) | 1.56 | |||||
Dividends declared per common share | 0.50 | 0.50 | 1.50 | 1.80 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
In thousands except share amounts | 2014 | 2013 | 2014 | 2013 | |||||||
Net income (loss) | 34,440 | (6,036 | ) | (130,506 | ) | 224,682 | |||||
Other comprehensive income (loss): | |||||||||||
Unrealized gain (loss) on mortgage-backed securities | (113,946 | ) | 5,707 | 328,743 | (763,016 | ) | |||||
Reclassification of unrealized loss on sale of mortgage-backed securities to gain (loss) on sales of investments, net | 47,952 | 69,323 | 80,436 | 56,919 | |||||||
Unrealized gain (loss) on derivative instruments | — | (74,098 | ) | — | 183,391 | ||||||
Reclassification of unrealized loss on derivative instruments to gain (loss) on derivatives, net | — | 43,583 | — | 116,553 | |||||||
Reclassification of amortization of repurchase agreements interest expense to repurchase agreements interest expense | 21,227 | — | 64,055 | — | |||||||
Total Other comprehensive income (loss) | (44,767 | ) | 44,515 | 473,234 | (406,153 | ) | |||||
Comprehensive income (loss) | (10,327 | ) | 38,479 | 342,728 | (181,471 | ) | |||||
Less: Comprehensive (income) loss attributable to non-controlling interest | 117 | (402 | ) | (3,919 | ) | 1,856 | |||||
Less: Dividends to preferred shareholders | (2,713 | ) | (2,713 | ) | (8,138 | ) | (8,138 | ) | |||
Less: Undeclared cumulative dividends to preferred shareholders | (661 | ) | — | (661 | ) | — | |||||
Comprehensive income (loss) attributable to common shareholders | (13,584 | ) | 35,364 | 330,010 | (187,753 | ) |
As of | |||||
In thousands except share amounts | September 30, 2014 | December 31, 2013 | |||
(Unaudited) | |||||
ASSETS | |||||
Mortgage-backed securities, at fair value | 17,297,034 | 17,348,657 | |||
Residential loans, held-for-investment (1) | 3,103,434 | 1,810,262 | |||
Commercial loans, held-for-investment | 144,707 | 64,599 | |||
Cash and cash equivalents | 128,944 | 210,612 | |||
Due from counterparties | 28,499 | 1,500 | |||
Investment related receivable | 55,942 | 515,404 | |||
Investments in unconsolidated ventures, at fair value | 42,281 | 44,403 | |||
Accrued interest receivable | 66,295 | 68,246 | |||
Derivative assets, at fair value | 74,421 | 262,059 | |||
Deferred securitization and financing costs | 13,485 | 13,894 | |||
Other investments | 62,500 | 10,000 | |||
Other assets | 1,521 | 1,343 | |||
Total assets (1) | 21,019,063 | 20,350,979 | |||
LIABILITIES AND EQUITY | |||||
Liabilities: | |||||
Repurchase agreements | 13,571,889 | 15,451,675 | |||
Secured loans | 1,250,000 | — | |||
Asset-backed securities issued by securitization trusts (1) | 2,745,940 | 1,643,741 | |||
Exchangeable senior notes | 400,000 | 400,000 | |||
Derivative liabilities, at fair value | 222,559 | 263,204 | |||
Dividends and distributions payable | 64,976 | 66,087 | |||
Investment related payable | 12,351 | 28,842 | |||
Accrued interest payable | 23,080 | 26,492 | |||
Collateral held payable | 35,446 | 52,698 | |||
Accounts payable and accrued expenses | 2,567 | 4,304 | |||
Due to affiliate | 9,854 | 10,701 | |||
Total liabilities (1) | 18,338,662 | 17,947,744 | |||
Equity: | |||||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | |||||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference) | 135,356 | 135,356 | |||
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 6,200,000 shares issued and outstanding ($155,000 aggregate liquidation preference) | 149,918 | — | |||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 123,101,132 and 124,510,246 shares issued and outstanding, respectively | 1,231 | 1,245 | |||
Additional paid in capital | 2,531,914 | 2,552,464 | |||
Accumulated other comprehensive income (loss) | 310,837 | (156,993 | ) | ||
Retained earnings (distributions in excess of earnings) | (477,759 | ) | (155,957 | ) | |
Total shareholders’ equity | 2,651,497 | 2,376,115 | |||
Non-controlling interest | 28,904 | 27,120 | |||
Total equity | 2,680,401 | 2,403,235 | |||
Total liabilities and equity | 21,019,063 | 20,350,979 |
(1) | The 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 Company. As of September 30, 2014 and December 31, 2013, total assets of the consolidated VIEs were $3,118,222 and $1,819,295, respectively, and total liabilities of the consolidated VIEs were $2,754,169 and $1,648,400, respectively. |
Three Months Ended | Nine Months Ended | |||||||||||||
$ in thousands, except per share data | September 30, 2014 | June 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | |||||||||
Net income (loss) attributable to common shareholders | 30,672 | (94,052 | ) | (8,686 | ) | (137,820 | ) | 214,152 | ||||||
Adjustments: | ||||||||||||||
(Gain) loss on sale of investments, net | 47,952 | 20,766 | 69,323 | 80,436 | 56,919 | |||||||||
Realized (gain) loss on derivative instruments (excluding contractual net interest on interest rate swaps of $50,446, $52,205, $0, $154,092 and $0, respectively) | 1,016 | 15,037 | (39,075 | ) | 34,877 | (66,234 | ) | |||||||
Unrealized (gain) loss on derivative instruments | (47,758 | ) | 100,574 | 45,962 | 133,863 | 21,810 | ||||||||
Loss on foreign currency transactions | 1,479 | — | — | 1,479 | — | |||||||||
Amortization of deferred swap losses from de-designation | 21,227 | 21,532 | — | 64,055 | — | |||||||||
Subtotal | 23,916 | 157,909 | 76,210 | 314,710 | 12,495 | |||||||||
Adjustment attributable to non-controlling interest | (274 | ) | (1,807 | ) | (795 | ) | (3,592 | ) | (132 | ) | ||||
Core earnings | 54,314 | 62,050 | 66,729 | 173,298 | 226,515 | |||||||||
Basic earnings (loss) per common share | 0.25 | (0.76 | ) | (0.06 | ) | (1.12 | ) | 1.61 | ||||||
Core earnings per share attributable to common shareholders | 0.44 | 0.50 | 0.49 | 1.41 | 1.70 |
Three Months Ended September 30, 2014 | Three Months Ended June 30, 2014 | Three Months Ended September 30, 2013 | |||||||||||||||
$ in thousands | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | |||||||||||
Total interest expense | 70,259 | 1.62 | % | 69,437 | 1.58 | % | 89,582 | 1.97 | % | ||||||||
Less: Amortization of deferred swap losses from de-designation | (21,227 | ) | (0.49 | )% | (21,532 | ) | (0.49 | )% | — | — | % | ||||||
Add: Net interest paid - interest rate swaps | 50,446 | 1.16 | % | 52,205 | 1.19 | % | — | — | % | ||||||||
Effective interest expense | 99,478 | 2.29 | % | 100,110 | 2.28 | % | 89,582 | 1.97 | % |
Nine Months Ended September 30, 2014 | Nine Months Ended September 30, 2013 | ||||||||||
$ in thousands | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | |||||||
Total interest expense | 208,309 | 1.60 | % | 236,612 | 1.74 | % | |||||
Less: Amortization of deferred swap losses from de-designation | (64,055 | ) | (0.49 | )% | — | — | % | ||||
Add: Net interest paid - interest rate swaps | 154,092 | 1.18 | % | — | — | % | |||||
Effective interest expense | 298,346 | 2.29 | % | 236,612 | 1.74 | % |
Three Months Ended September 30, 2014 | Three Months Ended June 30, 2014 | Three Months Ended September 30, 2013 | |||||||||||||||
$ in thousands | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | |||||||||||
Net interest income | 99,146 | 1.84 | % | 105,015 | 1.90 | % | 81,746 | 1.38 | % | ||||||||
Add: Amortization of deferred swap losses from de-designation | 21,227 | 0.49 | % | 21,532 | 0.49 | % | — | — | % | ||||||||
Less: Net interest paid - interest rate swaps | (50,446 | ) | (1.16 | )% | (52,205 | ) | (1.19 | )% | — | — | % | ||||||
Effective net interest income | 69,927 | 1.17 | % | 74,342 | 1.20 | % | 81,746 | 1.38 | % |
Nine Months Ended September 30, 2014 | Nine Months Ended September 30, 2013 | ||||||||||
$ in thousands | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | |||||||
Net interest income | 306,610 | 1.89 | % | 270,882 | 1.53 | % | |||||
Add: Amortization of deferred swap losses from de-designation | 64,055 | 0.49 | % | — | — | % | |||||
Less: Net interest paid - interest rate swaps | (154,092 | ) | (1.18 | )% | — | — | % | ||||
Effective net interest income | 216,573 | 1.20 | % | 270,882 | 1.53 | % |
$ 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 | 1,299,392 | 64,705 | 1,364,097 | 25,856 | 1,389,953 | 4.05 | % | 2.55 | % | 2.59 | % | ||||||||||||
30 year fixed-rate | 4,583,250 | 308,930 | 4,892,180 | 8,936 | 4,901,116 | 4.30 | % | 2.90 | % | 2.95 | % | ||||||||||||
ARM* | 519,631 | 8,752 | 528,383 | 4,497 | 532,880 | 2.85 | % | 2.31 | % | 2.30 | % | ||||||||||||
Hybrid ARM | 2,596,919 | 38,712 | 2,635,631 | 14,690 | 2,650,321 | 2.77 | % | 2.39 | % | 2.35 | % | ||||||||||||
Total Agency pass-through | 8,999,192 | 421,099 | 9,420,291 | 53,979 | 9,474,270 | 3.74 | % | 2.67 | % | 2.70 | % | ||||||||||||
Agency-CMO(4) | 1,876,484 | (1,413,263 | ) | 463,221 | (9,473 | ) | 453,748 | 2.42 | % | 4.42 | % | 3.03 | % | ||||||||||
Non-Agency RMBS(5)(6) | 3,805,256 | (603,732 | ) | 3,201,524 | 100,556 | 3,302,080 | 3.68 | % | 3.92 | % | 4.44 | % | |||||||||||
GSE CRT(7) | 570,500 | 26,549 | 597,049 | 13,277 | 610,326 | 4.82 | % | 4.02 | % | 3.91 | % | ||||||||||||
CMBS(8) | 3,300,260 | 56,880 | 3,357,140 | 99,470 | 3,456,610 | 4.82 | % | 4.48 | % | 4.50 | % | ||||||||||||
Total | 18,551,692 | (1,512,467 | ) | 17,039,225 | 257,809 | 17,297,034 | 3.78 | % | 3.82 | % | 3.40 | % |
* | Adjustable-rate mortgage ("ARM") |
(1) | Net weighted average coupon (“WAC”) as of September 30, 2014 is presented net of servicing and other fees. |
(2) | Period-end weighted average yield is based on amortized cost as of September 30, 2014 and incorporates future prepayment and loss assumptions. |
(3) | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. |
(4) | Agency collateralized mortgage obligations ("Agency-CMO") include interest-only securities which represent 28.7% of the balance based on fair value. |
(5) | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. |
(6) | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. |
(7) | GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE. |
(8) | Commercial mortgage-backed securities ("CMBS") include commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. |
September 30, 2014 | June 30, 2014 | ||||||||||
Company | Cohorts | Company | Cohorts | ||||||||
15 year Agency RMBS | 12.9 | 14.8 | 12.3 | 13.3 | |||||||
30 year Agency RMBS | 12.0 | 12.8 | 9.4 | 9.8 | |||||||
Agency Hybrid ARM RMBS | 13.0 | NA | 9.4 | NA | |||||||
Non-Agency RMBS | 11.9 | NA | 11.2 | NA | |||||||
GSE CRT | 8.2 | NA | 4.5 | NA | |||||||
Weighted average CPR | 12.1 | NA | 10.0 | NA |
$ in thousands | September 30, 2014 | December 31, 2013 | |||||||||||||||
Amount Outstanding | Weighted Average Interest Rate | Weighted Average Remaining Maturity (Days) | Amount Outstanding | Weighted Average Interest Rate | Weighted Average Remaining Maturity (Days) | ||||||||||||
Repurchase Agreements: | |||||||||||||||||
Agency RMBS | 8,693,555 | 0.32 | % | 18 | 10,281,154 | 0.38 | % | 19 | |||||||||
Non-Agency RMBS | 2,830,368 | 1.52 | % | 26 | 3,066,356 | 1.55 | % | 33 | |||||||||
GSE CRT | 463,828 | 1.53 | % | 39 | 21,708 | 1.50 | % | 42 | |||||||||
CMBS | 1,584,138 | 1.29 | % | 24 | 2,082,457 | 1.39 | % | 23 | |||||||||
Secured Loans | 1,250,000 | 0.38 | % | 3,564 | — | — | % | — | |||||||||
Exchangeable Senior Notes | 400,000 | 5.00 | % | 1,262 | 400,000 | 5.00 | % | 1,535 | |||||||||
Total | 15,221,889 | 0.81 | % | 345 | 15,851,675 | 0.86 | % | 60 |
$ in thousands Counterparty | Notional | Maturity Date | Fixed Interest Rate in Contract | |||||||||
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 | % | ||||||||
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 | % | ||||||||
Citibank, N.A. CME Clearing House | (3 | ) | (4) | 300,000 | 2/5/2021 | 2.50 | % | |||||
The Royal Bank of Scotland Plc 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 | % | ||||||||
The Royal Bank of Scotland Plc | 500,000 | 8/15/2023 | 1.98 | % | ||||||||
Goldman Sachs Bank USA 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 | 12,150,000 | 2.13 | % |
(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. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
$ in thousands | 2014 | 2013 | 2014 | 2013 | |||||||
Average Balances*: | |||||||||||
Agency RMBS: | |||||||||||
15 year fixed-rate, at amortized cost | 1,397,663 | 1,849,443 | 1,494,733 | 1,947,324 | |||||||
30 year fixed-rate, at amortized cost | 5,134,370 | 9,679,520 | 6,040,458 | 10,894,824 | |||||||
ARM, at amortized cost | 536,670 | 102,828 | 451,129 | 89,832 | |||||||
Hybrid ARM, at amortized cost | 2,602,008 | 578,696 | 2,304,997 | 518,079 | |||||||
MBS-CMO, at amortized cost | 463,742 | 494,089 | 481,800 | 500,781 | |||||||
Non-Agency RMBS, at amortized cost | 3,177,041 | 3,662,796 | 3,313,231 | 3,574,810 | |||||||
GSE CRT, at amortized cost | 544,057 | — | 426,611 | — | |||||||
CMBS, at amortized cost | 3,084,169 | 2,533,174 | 2,814,581 | 2,362,370 | |||||||
Residential loans, at amortized cost | 2,536,820 | 1,538,830 | 2,256,634 | 793,814 | |||||||
Commercial loans, at amortized cost | 122,803 | 13,312 | 96,819 | 8,971 | |||||||
Average MBS and Loans portfolio | 19,599,343 | 20,452,688 | 19,680,993 | 20,690,805 | |||||||
Average Portfolio Yields (1): | |||||||||||
Agency RMBS: | |||||||||||
15 year fixed-rate | 2.59 | % | 2.35 | % | 2.66 | % | 2.23 | % | |||
30 year fixed-rate | 2.95 | % | 2.84 | % | 3.05 | % | 2.82 | % | |||
ARM | 2.30 | % | 2.41 | % | 2.31 | % | 2.31 | % | |||
Hybrid ARM | 2.35 | % | 2.19 | % | 2.30 | % | 2.30 | % | |||
MBS - CMO | 3.03 | % | 2.31 | % | 3.54 | % | 1.87 | % | |||
Non-Agency RMBS | 4.44 | % | 4.63 | % | 4.44 | % | 4.60 | % | |||
GSE CRT | 3.91 | % | — | % | 4.17 | % | — | % | |||
CMBS | 4.50 | % | 4.60 | % | 4.51 | % | 4.68 | % | |||
Residential loans | 3.61 | % | 3.46 | % | 3.60 | % | 3.31 | % | |||
Commercial loans | 8.44 | % | 10.76 | % | 8.62 | % | 10.97 | % | |||
Average MBS and Loans portfolio | 3.46 | % | 3.35 | % | 3.49 | % | 3.27 | % | |||
Average Borrowings*: | |||||||||||
Agency RMBS (2) | 9,078,815 | 11,378,486 | 9,603,237 | 12,502,114 | |||||||
Non-Agency RMBS | 2,780,808 | 2,990,502 | 2,857,548 | 2,776,819 | |||||||
GSE CRT | 425,374 | — | 315,826 | — | |||||||
CMBS (2) | 2,437,566 | 1,963,525 | 2,171,806 | 1,876,043 | |||||||
Exchangeable senior notes | 400,000 | 400,000 | 400,000 | 294,815 | |||||||
Asset-backed securities issued by securitization trusts | 2,228,234 | 1,418,084 | 1,989,656 | 727,533 | |||||||
Total borrowed funds | 17,350,797 | 18,150,597 | 17,338,073 | 18,177,324 | |||||||
Maximum borrowings during the period (3) | 17,967,829 | 18,460,059 | 17,967,829 | 19,710,901 |
Average Cost of Funds (4): | |||||||||||
Agency RMBS (2) | 0.33 | % | 0.39 | % | 0.34 | % | 0.40 | % | |||
Non-Agency RMBS | 1.53 | % | 1.58 | % | 1.53 | % | 1.61 | % | |||
GSE CRT | 1.51 | % | — | % | 1.49 | % | — | % | |||
CMBS (2) | 0.98 | % | 1.47 | % | 1.19 | % | 1.46 | % | |||
Exchangeable senior notes | 5.62 | % | 5.62 | % | 5.61 | % | 5.61 | % | |||
Asset-backed securities issued by securitization trusts | 3.17 | % | 2.90 | % | 3.18 | % | 2.88 | % | |||
Unhedged cost of funds (5) | 1.13 | % | 1.01 | % | 1.11 | % | 0.88 | % | |||
Hedged / Effective cost of funds (non-GAAP measure) | 2.29 | % | 1.97 | % | 2.29 | % | 1.74 | % | |||
Average Equity (6): | 2,449,611 | 2,426,259 | 2,419,017 | 2,636,580 | |||||||
Average debt/equity ratio (average during period) | 7.08x | 7.48x | 7.17x | 6.89x | |||||||
Debt/equity ratio (as of period end) | 6.70x | 6.94x | 6.70x | 6.95x |
* | 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, 2014, 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 Company's average of the amortized cost of the investments. All yields are annualized. |
(2) | Agency RMBS and CMBS average borrowing and cost of funds include borrowings under repurchase agreements and secured loans. |
(3) | Amount represents the maximum borrowings at month-end during each of the respective periods. |
(4) | Average cost of funds is calculated by dividing annualized interest expense by the Company's average borrowings. |
(5) | Excludes amortization of deferred swap losses from de-designation. |
(6) | Average equity is calculated based on a weighted balance basis. |
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