Invesco Mortgage Capital Inc IVR

(1) Earnings available for distribution (and by calculation, earnings available for distribution per common share) is a non-Generally Accepted Accounting Principles ("GAAP") financial measure. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable U.S. GAAP measure.

(2) Book value per common share as of September 30, 2023 and June 30, 2023 is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($111.6 million and $192.0 million as of September 30, 2023, respectively, and $112.5 million and $194.3 million as of June 30, 2023, respectively), divided by total common shares outstanding.

(3) Economic return for the quarter ended September 30, 2023 is defined as the change in book value per common share from June 30, 2023 to September 30, 2023 of ($2.05); plus dividends declared of $0.40 per common share; divided by the June 30, 2023 book value per common share of $11.98. Economic return for the quarter ended June 30, 2023 is defined as the change in book value per common share from March 31, 2023 to June 30, 2023 of ($0.63); plus dividends declared of $0.40 per common share; divided by the March 31, 2023 book value per common share of $12.61.

(4) Book value per common share as of November 3, 2023 is adjusted to exclude a pro rata portion of the current quarter's common stock dividend (which for purposes of this calculation is assumed to be the same as the previous quarter) and is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($110.8 million and $190.6 million as of November 3, 2023, respectively), divided by total common shares outstanding of 48.5 million.

($ in millions, except share amounts)

Q3 2023

Q2 2023

Variance

Average Balances

(unaudited)

(unaudited)

Average earning assets (at amortized cost)

$5,498.3

$5,285.8

$212.5

Average borrowings

$4,902.4

$4,791.7

$110.7

Average stockholders' equity ⁽¹⁾

$832.0

$833.5

($1.5)

U.S. GAAP Financial Measures

Total interest income

$75.1

$71.4

$3.7

Total interest expense

$65.7

$59.0

$6.7

Net interest income

$9.4

$12.4

($3.0)

Total expenses

$4.8

$5.1

($0.3)

Net income (loss) attributable to common stockholders

($74.0)

($1.4)

($72.6)

Average earning asset yields

5.47 %

5.41 %

0.06 %

Average cost of funds

5.36 %

4.93 %

0.43 %

Average net interest rate margin

0.11 %

0.48 %

(0.37) %

Period-end weighted average asset yields ⁽²⁾

5.23 %

5.24 %

(0.01) %

Period-end weighted average cost of funds

5.43 %

5.21 %

0.22 %

Period-end weighted average net interest rate margin

(0.20 %)

0.03 %

(0.23) %

Book value per common share ⁽³⁾

$9.93

$11.98

($2.05)

Earnings (loss) per common share (basic)

($1.62)

($0.03)

($1.59)

Earnings (loss) per common share (diluted)

($1.62)

($0.03)

($1.59)

Debt-to-equity ratio

               6.4x  

               5.9x  

               0.5x  

Non-GAAP Financial Measures ⁽⁴⁾

Earnings available for distribution

$69.2

$61.5

$7.7

Effective interest expense

($4.6)

($1.2)

($3.4)

Effective net interest income

$79.7

$72.6

$7.1

Effective cost of funds

(0.37) %

(0.10) %

(0.27) %

Effective interest rate margin

5.84 %

5.51 %

0.33 %

Earnings available for distribution per common share

$1.51

$1.45

$0.06

Economic debt-to-equity ratio

               6.4x  

               5.9x  

               0.5x  

(1) Average stockholders' equity is calculated based on the weighted month-end balance of total stockholders' equity excluding equity attributable to preferred stockholders.

(2) Period-end weighted average asset yields are based on amortized cost as of period-end and incorporate future prepayment and loss assumptions when appropriate.

(3) Book value per common share is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ($111.6 million and $192.0 million as of September 30, 2023, respectively, and $112.5 million and $194.3 million as of June 30, 2023, respectively), divided by total common shares outstanding.

(4) Earnings available for distribution (and by calculation, earnings available for distribution per common share), effective interest expense (and by calculation, effective cost of funds), effective net interest income (and by calculation, effective interest rate margin), and economic debt-to-equity ratio are non-GAAP financial measures. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable U.S. GAAP measures of net income (loss) attributable to common stockholders (and by calculation, basic earnings (loss) per common share), total interest expense (and by calculation, cost of funds), net interest income (and by calculation, net interest rate margin) and debt-to-equity ratio.

As of

September 30, 2023

June 30, 2023

$ in thousands

Fair Value

Percentage of
Portfolio

Period-end
Weighted
Average
Yield

Fair Value

Percentage of
Portfolio

Period-end
Weighted
Average
Yield

30 year fixed-rate Agency RMBS coupon:

4.0 %

1,218,869

22.4 %

4.64 %

871,876

15.8 %

4.54 %

4.5 %

1,313,632

24.1 %

4.97 %

1,400,379

25.4 %

4.93 %

5.0 %

1,424,615

26.2 %

5.32 %

1,588,177

28.9 %

5.27 %

5.5 %

1,374,853

25.3 %

5.59 %

1,523,565

27.7 %

5.55 %

Total 30 year fixed-rate Agency RMBS

5,331,969

98.0 %

5.15 %

5,383,997

97.8 %

5.14 %

Agency-CMO

78,007

1.4 %

9.67 %

78,477

1.4 %

9.60 %

Non-Agency CMBS

25,987

0.5 %

8.72 %

36,730

0.7 %

8.52 %

Non-Agency RMBS

7,965

0.1 %

8.56 %

8,256

0.1 %

8.41 %

Total MBS portfolio

5,443,928

100.0 %

5.23 %

5,507,460

100.0 %

5.24 %

As of

$ in thousands

September 30, 2023

June 30, 2023

Amount
Outstanding

Weighted
Average
Interest Rate

Weighted
Average
Remaining
Maturity (days)

Amount
Outstanding

Weighted
Average
Interest Rate

Weighted
Average
Remaining
Maturity (days)

Agency RMBS repurchase agreements

4,987,006

5.43 %

24

4,959,388

5.21 %

49

$ in thousands

As of September 30, 2023

Maturities

Notional

Amount

Weighted
Average Fixed
Pay Rate

Weighted
Average Floating
Receive Rate

Weighted
Average Years to
Maturity

Less than 3 years

950,000

0.32 %

5.31 %

2.1

3 to 5 years

1,975,000

0.35 %

5.31 %

4.2

5 to 7 years

1,175,000

0.46 %

5.31 %

6.6

7 to 10 years

750,000

1.10 %

5.31 %

7.5

Greater than 10 years

1,050,000

2.18 %

5.31 %

20.6

Total

5,900,000

0.79 %

5.31 %

7.7

$ in thousands

As of June 30, 2023

Maturities

Notional

Amount

Weighted
Average Fixed
Pay Rate

Weighted
Average Floating
Receive Rate

Weighted
Average Years to
Maturity

Less than 3 years

2,050,000

0.18 %

5.09 %

1.9

3 to 5 years

1,475,000

0.27 %

5.09 %

4.2

5 to 7 years

850,000

0.38 %

5.09 %

5.7

7 to 10 years

1,425,000

0.55 %

5.09 %

7.3

Greater than 10 years

500,000

1.92 %

5.09 %

18.7

Total

6,300,000

0.45 %

5.09 %

5.5

$ in thousands

As of September 30, 2023

Maturities

Notional

Amount

Weighted
Average Floating
Pay Rate

Weighted
Average Fixed
Receive Rate

Weighted
Average Years to
Maturity

Less than 3 years

900,000

5.31 %

5.44 %

0.5

3 to 5 years

50,000

5.31 %

2.78 %

3.6

Total

950,000

5.31 %

5.30 %

0.7

$ in thousands

As of June 30, 2023

Maturities

Notional

Amount

Weighted
Average Floating
Pay Rate

Weighted
Average Fixed
Receive Rate

Weighted
Average Years to
Maturity

375,000

5.09 %

2.66 %

4.6

5 to 7 years

825,000

5.09 %

2.68 %

6.0

7 to 10 years

100,000

5.09 %

2.74 %

8.9

Greater than 10 years

275,000

5.09 %

2.72 %

29.0

Total

1,575,000

5.09 %

2.69 %

9.9

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

(Unaudited)

Three Months Ended

Nine Months Ended

$ in thousands, except share data

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Interest income

Mortgage-backed and other securities

75,132

71,428

49,058

215,847

134,689

Commercial loan

—

—

670

—

1,768

Total interest income

75,132

71,428

49,728

215,847

136,457

Interest expense

Repurchase agreements

65,701

59,022

18,008

174,449

19,359

Total interest expense

65,701

59,022

18,008

174,449

19,359

Net interest income

9,431

12,406

31,720

41,398

117,098

Other income (loss)

Gain (loss) on investments, net

(224,897)

(99,679)

(260,837)

(272,620)

(1,090,101)

(Increase) decrease in provision for credit losses

(43)

(169)

—

(212)

—

Equity in earnings (losses) of unconsolidated ventures

2

—

(6)

4

(287)

Gain (loss) on derivative instruments, net

151,689

96,624

133,549

203,418

554,151

Other investment income (loss), net

—

27

—

(66)

44

Total other income (loss)

(73,249)

(3,197)

(127,294)

(69,476)

(536,193)

Expenses

Management fee – related party

3,090

3,168

3,836

9,237

13,729

General and administrative

1,691

1,963

2,018

5,743

6,561

Total expenses

4,781

5,131

5,854

14,980

20,290

Net income (loss)

(68,599)

4,078

(101,428)

(43,058)

(439,385)

Dividends to preferred stockholders

(5,772)

(5,840)

(5,862)

(17,474)

(22,356)

Gain on repurchase and retirement of preferred stock

347

364

12,688

711

14,179

Net income (loss) attributable to common stockholders

(74,024)

(1,398)

(94,602)

(59,821)

(447,562)

Earnings (loss) per share: 

Net income (loss) attributable to common stockholders

Basic

(1.62)

(0.03)

(2.78)

(1.40)

(13.42)

Diluted

(1.62)

(0.03)

(2.78)

(1.40)

(13.42)

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(Unaudited)

Three Months Ended

Nine Months Ended

$ in thousands

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Net income (loss)

(68,599)

4,078

(101,428)

(43,058)

(439,385)

Other comprehensive income (loss):

Unrealized gain (loss) on mortgage-backed securities, net

(91)

(131)

(1,243)

(698)

(5,489)

Reclassification of unrealized loss on available-for-sale securities to (increase)

decrease in provision for credit losses

43

169

—

212

—

Reclassification of amortization of net deferred (gain) loss on de-designated

interest rate swaps to repurchase agreements

interest expense

(1,810)

(3,201)

(4,855)

(9,505)

(14,853)

Currency translation adjustments on investment in unconsolidated venture

—

—

(141)

(10)

(434)

Reclassification of currency translation loss on investment in unconsolidated

venture to other investment income (loss), net

—

—

—

123

—

Total other comprehensive income (loss)

(1,858)

(3,163)

(6,239)

(9,878)

(20,776)

Comprehensive income (loss)

(70,457)

915

(107,667)

(52,936)

(460,161)

Dividends to preferred stockholders

(5,772)

(5,840)

(5,862)

(17,474)

(22,356)

Gain on repurchase and retirement of preferred stock

347

364

12,688

711

14,179

Comprehensive income (loss) attributable to common stockholders

(75,882)

(4,561)

(100,841)

(69,699)

(468,338)

INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES

CONDENSED CONSOLIDATED BALANCE SHEETS

(Unaudited)

As of

$ in thousands, except share amounts

September 30, 2023

December 31, 2022

ASSETS

Mortgage-backed securities, at fair value (including pledged securities of $5,226,133 and $4,439,583,

 respectively; net of allowance for credit losses of $212 and $0, respectively)

5,443,928

4,791,893

Cash and cash equivalents

173,921

175,535

Restricted cash

185,824

103,246

Due from counterparties

—

1,584

Investment related receivable

25,608

22,744

Derivative assets, at fair value

—

662

Other assets

2,062

1,731

Total assets

5,831,343

5,097,395

LIABILITIES AND STOCKHOLDERS' EQUITY

Liabilities:

Repurchase agreements

4,987,006

4,234,823

Derivative liabilities, at fair value

7,637

2,079

Dividends payable

19,384

25,162

Accrued interest payable

26,751

20,546

Collateral held payable

—

4,892

Accounts payable and accrued expenses

1,838

1,365

Due to affiliate

3,702

4,453

Total liabilities

5,046,318

4,293,320

Commitments and contingencies (See Note 14) ⁽¹⁾

Stockholders' equity:

Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized:

7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock: 4,465,414 and

 4,537,634 shares issued and outstanding, respectively ($111,635 and $113,441 aggregate

 liquidation preference, respectively)

107,934

109,679

7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock: 7,681,211 and

 7,816,470 shares issued and outstanding, respectively ($192,030 and $195,412 aggregate

 liquidation preference, respectively)

185,757

189,028

Common Stock, par value $0.01 per share; 67,000,000 shares authorized; 48,460,626 and 38,710,916

 shares issued and outstanding, respectively

484

387

Additional paid in capital

4,011,005

3,901,562

Accumulated other comprehensive income

883

10,761

Retained earnings (distributions in excess of earnings)

(3,521,038)

(3,407,342)

Total stockholders' equity

785,025

804,075

Total liabilities and stockholders' equity

5,831,343

5,097,395

(1)

See Note 14 of the Company's condensed consolidated financial statements filed in Item 1 of the Company's Quarterly Report on Form 10-Q for the quarter ended September 30, 2023.

Non-GAAP Financial Measure

Most Directly Comparable U.S. GAAP Measure

Earnings available for distribution (and by calculation, earnings available

for distribution per common share)

Net income (loss) attributable to common stockholders (and by

calculation, basic earnings (loss) per common share)

Effective interest expense (and by calculation, effective cost of funds)

Total interest expense (and by calculation, cost of funds)

Effective net interest income (and by calculation, effective

interest rate margin)

Net interest income (and by calculation, net interest rate

margin)

Economic debt-to-equity ratio

Debt-to-equity ratio

Three Months Ended

Nine Months Ended

$ in thousands, except per share data

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Net income (loss) attributable to common stockholders

(74,024)

(1,398)

(94,602)

(59,821)

(447,562)

Adjustments:

(Gain) loss on investments, net

224,897

99,679

260,837

272,620

1,090,101

Realized (gain) loss on derivative instruments, net ⁽¹⁾

(84,565)

(26,946)

(62,877)

(19,611)

(487,538)

Unrealized (gain) loss on derivative instruments, net ⁽¹⁾

5,002

(6,241)

(40,527)

6,220

(21,618)

TBA dollar roll income ⁽²⁾

—

—

2,159

697

27,415

Gain on repurchase and retirement of preferred stock

(347)

(364)

(12,688)

(711)

(14,179)

Foreign currency (gains) losses, net ⁽³⁾

—

(27)

—

66

(44)

Amortization of net deferred (gain) loss on de-designated interest rate swaps ⁽⁴⁾

(1,810)

(3,201)

(4,855)

(9,505)

(14,853)

Subtotal

143,177

62,900

142,049

249,776

579,284

Earnings available for distribution

69,153

61,502

47,447

189,955

131,722

Basic income (loss) per common share

(1.62)

(0.03)

(2.78)

(1.40)

(13.42)

Earnings available for distribution per common share ⁽⁵⁾

1.51

1.45

1.39

4.46

3.95

(1)

U.S. GAAP gain (loss) on derivative instruments, net on the condensed consolidated statements of operations includes the following components:

Three Months Ended

Nine Months Ended

$ in thousands

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Realized gain (loss) on derivative instruments, net

84,565

26,946

62,877

19,611

487,538

Unrealized gain (loss) on derivative instruments, net

(5,002)

6,241

40,527

(6,220)

21,618

Contractual net interest income (expense) on interest rate swaps

72,126

63,437

30,145

190,027

44,995

Gain (loss) on derivative instruments, net

151,689

96,624

133,549

203,418

554,151

(2)

A TBA dollar roll is a series of derivative transactions where TBAs with the same specified issuer, term and coupon but different settlement dates are simultaneously bought and sold. The TBA settling in the later month typically prices at a discount to the TBA settling in the earlier month. TBA dollar roll income represents the price differential between the TBA price for current month settlement versus the TBA price for forward month settlement. The Company includes TBA dollar roll income in earnings available for distribution because it is the economic equivalent of interest income on the underlying Agency RMBS, less an implied financing cost, over the forward settlement period. TBA dollar roll income is a component of gain (loss) on derivative instruments, net on the Company's condensed consolidated statements of operations.

(3)

Foreign currency gains (losses), net includes foreign currency transaction gains and losses and the reclassification of currency translation adjustments that were previously recorded in accumulated other comprehensive income and is included in other investment income (loss), net on the condensed consolidated statements of operations.

(4)

U.S. GAAP repurchase agreements interest expense on the condensed consolidated statements of operations includes the following components:

Three Months Ended

Nine Months Ended

$ in thousands

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Interest expense on repurchase agreement borrowings

67,511

62,223

22,863

183,954

34,212

Amortization of net deferred (gain) loss on de-designated interest rate swaps

(1,810)

(3,201)

(4,855)

(9,505)

(14,853)

Repurchase agreements interest expense

65,701

59,022

18,008

174,449

19,359

(5)

Earnings available for distribution per common share is equal to earnings available for distribution divided by the basic weighted average number of common shares outstanding.

Three Months Ended

Nine Months Ended

$ in thousands

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Effective net interest income ⁽¹⁾

79,747

72,642

57,010

221,920

147,240

TBA dollar roll income

—

—

2,159

697

27,415

Equity in earnings (losses) of unconsolidated ventures

2

—

(6)

4

(287)

(Increase) decrease in provision for credit losses

(43)

(169)

—

(212)

—

Total expenses

(4,781)

(5,131)

(5,854)

(14,980)

(20,290)

Subtotal

74,925

67,342

53,309

207,429

154,078

Dividends to preferred stockholders

(5,772)

(5,840)

(5,862)

(17,474)

(22,356)

Earnings available for distribution

69,153

61,502

47,447

189,955

131,722

(1)

See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure.

Three Months Ended

September 30, 2023

June 30, 2023

September 30, 2022

$ 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

65,701

5.36 %

59,022

4.93 %

18,008

1.84 %

Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps

1,810

0.15 %

3,201

0.27 %

4,855

0.50 %

Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net

(72,126)

(5.88) %

(63,437)

(5.30) %

(30,145)

(3.09) %

Effective interest expense

(4,615)

(0.37) %

(1,214)

(0.10) %

(7,282)

(0.75) %

Nine Months Ended September 30,

2023

2022

$ in thousands

Reconciliation

Cost of Funds
/ Effective
Cost of Funds

Reconciliation

Cost of Funds
/ Effective
Cost of Funds

Total interest expense

174,449

4.83 %

19,359

0.55 %

Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps

9,505

0.26 %

14,853

0.42 %

Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net

(190,027)

(5.27) %

(44,995)

(1.27) %

Effective interest expense

(6,073)

(0.18) %

(10,783)

(0.30) %

Three Months Ended

September 30, 2023

June 30, 2023

September 30, 2022

$ 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

9,431

0.11 %

12,406

0.48 %

31,720

2.51 %

Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps

(1,810)

(0.15) %

(3,201)

(0.27) %

(4,855)

(0.50) %

Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net

72,126

5.88 %

63,437

5.30 %

30,145

3.09 %

Effective net interest income

79,747

5.84 %

72,642

5.51 %

57,010

5.10 %

Nine Months Ended September 30,

2022

$ in thousands

Reconciliation

Net Interest
Rate Margin /
Effective
Interest Rate
Margin

Reconciliation

Net Interest
Rate Margin /
Effective
Interest Rate
Margin

Net interest income

41,398

0.56 %

117,098

2.82 %

Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps

(9,505)

(0.26) %

(14,853)

(0.42) %

Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net

190,027

5.27 %

44,995

1.27 %

Effective net interest income

221,920

5.57 %

147,240

3.67 %

$ in thousands

Agency RMBS

Credit Portfolio ⁽¹⁾

Total

Mortgage-backed securities

5,409,976

33,952

5,443,928

Cash and cash equivalents ⁽²⁾

173,921

—

173,921

Restricted cash ⁽³⁾

185,824

—

185,824

Other assets

25,500

2,170

27,670

Total assets

5,795,221

36,122

5,831,343

Repurchase agreements

4,987,006

—

4,987,006

Derivative liabilities, at fair value ⁽³⁾

7,637

—

7,637

Other liabilities

49,848

1,827

51,675

Total liabilities

5,044,491

1,827

5,046,318

Total stockholders' equity (allocated)

750,730

34,295

785,025

Debt-to-equity ratio ⁽⁴⁾

6.6

—

6.4

Economic debt-to-equity ratio ⁽⁵⁾

6.6

—

6.4

(1)

Investments in non-Agency CMBS, non-Agency RMBS and an unconsolidated joint venture are included in credit portfolio.

(2)

Cash and cash equivalents is allocated based on the Company's financing strategy for each asset class.

(3)

Restricted cash and derivative assets and liabilities are allocated based on the hedging strategy for each asset class.

(4)

Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.

(5)

Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis to total stockholders' equity. The Company did not have any TBAs outstanding as of September 30, 2023.

$ in thousands

Agency RMBS

Credit Portfolio ⁽¹⁾

Total

Mortgage-backed securities

5,462,474

44,986

5,507,460

Cash and cash equivalents ⁽²⁾

209,036

—

209,036

Restricted cash ⁽³⁾

124,669

—

124,669

Other assets

24,298

766

25,064

Total assets

5,820,477

45,752

5,866,229

Repurchase agreements

4,959,388

—

4,959,388

Derivative liabilities, at fair value ⁽³⁾

2,635

—

2,635

Other liabilities

61,484

1,838

63,322

Total liabilities

5,023,507

1,838

5,025,345

Total stockholders' equity (allocated)

796,970

43,914

840,884

Debt-to-equity ratio ⁽⁴⁾

6.2

—

5.9

Economic debt-to-equity ratio ⁽⁵⁾

6.2

—

5.9

(1)

Investments in non-Agency CMBS, non-Agency RMBS and an unconsolidated joint venture are included in credit portfolio.

(2)

Cash and cash equivalents is allocated based on the Company's financing strategy for each asset class.

(3)

Restricted cash and derivative assets and liabilities are allocated based on the hedging strategy for each asset class.

(4)

Debt-to-equity ratio is calculated as the ratio of total repurchase agreements to total stockholders' equity.

(5)

Economic debt-to-equity ratio is calculated as the ratio of total repurchase agreements and TBAs at implied cost basis. The Company did not have any TBAs outstanding as of June 30, 2023.

Three Months Ended

Nine Months Ended

$ in thousands

September 30,
2023

June 30,
2023

September 30,
2022

September 30,
2023

September 30,
2022

Average earning assets ⁽¹⁾

5,498,298

5,285,794

4,568,855

5,344,055

5,403,538

Average earning asset yields ⁽²⁾

5.47 %

5.41 %

4.35 %

5.39 %

3.37 %

Average borrowings ⁽³⁾

4,902,400

4,791,720

3,907,724

4,811,136

4,720,478

Average cost of funds ⁽⁴⁾

5.36 %

4.93 %

1.84 %

4.83 %

0.55 %

(1)

Average balances for each period are based on weighted month-end balances.

(2)

Average earning asset yields for each period are calculated by dividing interest income, including amortization of premiums and discounts, by average earning assets based on the amortized cost of the investments. All yields are annualized.

(3)

Average borrowings for each period are based on weighted month-end balances.

(4)

Average cost of funds is calculated by dividing annualized interest expense, including amortization of net deferred gain (loss) on de-designated interest rate swaps, by average borrowings.