Invesco Mortgage Capital Inc. Reports Second Quarter 2023 Financial Results
- Net loss per common share of $0.03 compared to net income of $0.39 in Q1 2023
- Book value per common share declined by 5.0% to $11.98
- Earnings available for distribution per common share remained strong at $1.45
- Debt-to-equity ratio increased to 5.9x
- Expectation of attractive investment environment for Agency RMBS in the second half of 2023
- None.
- Net loss per common share of
compared to net income of$0.03 in Q1 2023$0.39 - Earnings available for distribution per common share(1) of
compared to$1.45 in Q1 2023$1.50 - Common stock dividend of
per common share, unchanged from Q1 2023$0.40 - Book value per common share(2) of
compared to$11.98 as of March 31, 2023$12.61 - Economic return(3) of (1.8)% compared to
1.7% in Q1 2023
Update from John Anzalone, Chief Executive Officer
"Agency RMBS performance improved during the second quarter as investor appetite for risk assets increased given greater confidence that the
"Earnings available for distribution ("EAD") for the second quarter remained strong at
"Our debt-to-equity ratio ended the second quarter at 5.9x, up marginally from 5.8x as of March 31st. As of the end of the quarter, substantially all of our
"We believe the conclusion of the Federal Reserve's tightening cycle will result in a reduction of interest rate volatility and, when combined with compelling valuations and favorable funding conditions, will support an attractive investment environment for Agency RMBS in the second half of 2023."
(1) Earnings available for distribution (and by calculation, earnings available for distribution per common share) is a non-Generally Accepted Accounting Principles ("GAAP") financial measure. Refer to the section entitled "Non-GAAP Financial Measures" for important disclosures and a reconciliation to the most comparable |
(2) Book value per common share is calculated as total stockholders' equity less the liquidation preference of the Company's Series B Preferred Stock and Series C Preferred Stock ( |
(3) Economic return for the quarter ended June 30, 2023 is defined as the change in book value per common share from March 31, 2023 to June 30, 2023 of ( |
Key performance indicators for the quarters ended June 30, 2023 and March 31, 2023 are summarized in the table below.
($ in millions, except share amounts) | Q2 2023 | Q1 2023 | Variance |
Average Balances | (unaudited) | (unaudited) | |
Average earning assets (at amortized cost) | |||
Average borrowings | |||
Average stockholders' equity (1) | ( | ||
Total interest income | |||
Total interest expense | |||
Net interest income | ( | ||
Total expenses | |||
Net income (loss) attributable to common stockholders | ( | ( | |
Average earning asset yields | 5.41 % | 5.28 % | 0.13 % |
Average cost of funds | 4.93 % | 4.20 % | 0.73 % |
Average net interest rate margin | 0.48 % | 1.08 % | (0.60) % |
Period-end weighted average asset yields (2) | 5.24 % | 5.24 % | 0.00 % |
Period-end weighted average cost of funds | 5.21 % | 4.91 % | 0.30 % |
Period-end weighted average net interest rate margin | 0.03 % | 0.33 % | (0.30) % |
Book value per common share (3) | ( | ||
Earnings (loss) per common share (basic) | ( | ( | |
Earnings (loss) per common share (diluted) | ( | ( | |
Debt-to-equity ratio | 5.9x | 5.8x | 0.1x |
Non-GAAP Financial Measures (4) | |||
Earnings available for distribution | |||
Effective interest expense | ( | ( | ( |
Effective net interest income | |||
Effective cost of funds | (0.10) % | (0.02) % | (0.08) % |
Effective interest rate margin | 5.51 % | 5.30 % | 0.21 % |
Earnings available for distribution per common share | ( | ||
Economic debt-to-equity ratio | 5.9x | 5.8x | 0.1x |
(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 ( |
(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 |
Financial Summary
Net loss attributable to common stockholders for the second quarter of 2023 was
Earnings available for distribution increased to
Book value per common share decreased
Total average earning assets and total average borrowings were relatively unchanged in the second quarter of 2023 compared to the first quarter of 2023 with average earning assets increasing
Average net interest rate margin decreased 60 basis points to
The Company's debt-to-equity ratio and economic debt-to-equity ratio were 5.9x as of June 30, 2023 compared to 5.8x as of March 31, 2023, reflecting the decline in asset valuations.
Total expenses for the second and first quarter of 2023, consisting of management fees and general and administrative expenses, were approximately
The Company sold 2.9 million shares of common stock for net proceeds of
As previously announced on June 21, 2023, the Company declared a common stock dividend of
(1) Book value per common share 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 equity less the liquidation preference of Series B Preferred Stock ( |
(2) The ratio of annualized total expenses to average stockholders' equity is calculated as the annualized sum of management fees plus general and administrative expenses divided by average stockholders' equity. |
About Invesco Mortgage Capital Inc.
Invesco Mortgage Capital Inc. is a real estate investment trust that primarily focuses on investing in, financing and managing mortgage-backed securities and other mortgage-related assets. Invesco Mortgage Capital Inc. is externally managed and advised by Invesco Advisers, Inc., a registered investment adviser and an indirect wholly-owned subsidiary of Invesco Ltd., a leading independent global investment management firm.
Earnings Call
Members of the investment community and the general public are invited to listen to the Company's earnings conference call on Friday, August 4, 2023, at 9:00 a.m. ET, by calling one of the following numbers:
North America Toll Free: 888-982-7409
International: 1-212-287-1625
Passcode: Invesco
An audio replay will be available until 5:00 pm ET on August 18, 2023 by calling:
800-839-1174 (
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, the related presentation and comments made in the associated conference call, may include statements and information that constitute "forward-looking statements" within the meaning of the
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 you 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 CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) | |||||||||
Three Months Ended | Six Months Ended | ||||||||
$ in thousands, except share data | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Interest income | |||||||||
Mortgage-backed and other securities | 71,428 | 69,287 | 43,994 | 140,715 | 85,631 | ||||
Commercial loan | — | — | 561 | — | 1,098 | ||||
Total interest income | 71,428 | 69,287 | 44,555 | 140,715 | 86,729 | ||||
Interest expense | |||||||||
Repurchase agreements | 59,022 | 49,726 | 3,455 | 108,748 | 1,351 | ||||
Total interest expense | 59,022 | 49,726 | 3,455 | 108,748 | 1,351 | ||||
Net interest income | 12,406 | 19,561 | 41,100 | 31,967 | 85,378 | ||||
Other income (loss) | |||||||||
Gain (loss) on investments, net | (99,679) | 51,956 | (324,876) | (47,723) | (829,264) | ||||
(Increase) decrease in provision for credit losses | (169) | — | — | (169) | — | ||||
Equity in earnings (losses) of unconsolidated ventures | — | 2 | (352) | 2 | (281) | ||||
Gain (loss) on derivative instruments, net | 96,624 | (44,895) | 181,742 | 51,729 | 420,602 | ||||
Other investment income (loss), net | 27 | (93) | (11) | (66) | 44 | ||||
Total other income (loss) | (3,197) | 6,970 | (143,497) | 3,773 | (408,899) | ||||
Expenses | |||||||||
Management fee – related party | 3,168 | 2,979 | 4,619 | 6,147 | 9,893 | ||||
General and administrative | 1,963 | 2,089 | 2,519 | 4,052 | 4,543 | ||||
Total expenses | 5,131 | 5,068 | 7,138 | 10,199 | 14,436 | ||||
Net income (loss) | 4,078 | 21,463 | (109,535) | 25,541 | (337,957) | ||||
Dividends to preferred stockholders | (5,840) | (5,862) | (8,100) | (11,702) | (16,494) | ||||
Gain on repurchase and retirement of preferred stock | 364 | — | 1,491 | 364 | 1,491 | ||||
Net income (loss) attributable to common stockholders | (1,398) | 15,601 | (116,144) | 14,203 | (352,960) | ||||
Earnings (loss) per share: | |||||||||
Net income (loss) attributable to common stockholders | |||||||||
Basic | (0.03) | 0.39 | (3.52) | 0.35 | (10.70) | ||||
Diluted | (0.03) | 0.39 | (3.52) | 0.35 | (10.70) |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) | |||||||||
Three Months Ended | Six Months Ended | ||||||||
$ in thousands | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Net income (loss) | 4,078 | 21,463 | (109,535) | 25,541 | (337,957) | ||||
Other comprehensive income (loss): | |||||||||
Unrealized gain (loss) on mortgage-backed securities, net | (131) | (476) | (1,825) | (607) | (4,246) | ||||
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 169 | — | — | 169 | — | ||||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (3,201) | (4,494) | (4,802) | (7,695) | (9,998) | ||||
Currency translation adjustments on investment in unconsolidated venture | — | (10) | (93) | (10) | (293) | ||||
Reclassification of currency translation loss on investment in unconsolidated venture to other investment income (loss), net | — | 123 | — | 123 | — | ||||
Total other comprehensive income (loss) | (3,163) | (4,857) | (6,720) | (8,020) | (14,537) | ||||
Comprehensive income (loss) | 915 | 16,606 | (116,255) | 17,521 | (352,494) | ||||
Dividends to preferred stockholders | (5,840) | (5,862) | (8,100) | (11,702) | (16,494) | ||||
Gain on repurchase and retirement of preferred stock | 364 | — | 1,491 | 364 | 1,491 | ||||
Comprehensive income (loss) attributable to common stockholders | (4,561) | 10,744 | (122,864) | 6,183 | (367,497) |
INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) | |||
As of | |||
$ in thousands, except share amounts | June 30, 2023 | December 31, 2022 | |
ASSETS | |||
Mortgage-backed securities, at fair value (including pledged securities of | 5,507,460 | 4,791,893 | |
Cash and cash equivalents | 209,036 | 175,535 | |
Restricted cash | 124,669 | 103,246 | |
Due from counterparties | — | 1,584 | |
Investment related receivable | 23,809 | 22,744 | |
Derivative assets, at fair value | — | 662 | |
Other assets | 1,255 | 1,731 | |
Total assets | 5,866,229 | 5,097,395 | |
LIABILITIES AND STOCKHOLDERS' EQUITY | |||
Liabilities: | |||
Repurchase agreements | 4,959,388 | 4,234,823 | |
Derivative liabilities, at fair value | 2,635 | 2,079 | |
Dividends payable | 17,832 | 25,162 | |
Accrued interest payable | 40,159 | 20,546 | |
Collateral held payable | — | 4,892 | |
Accounts payable and accrued expenses | 1,779 | 1,365 | |
Due to affiliate | 3,552 | 4,453 | |
Total liabilities | 5,025,345 | 4,293,320 | |
Commitments and contingencies (See Note 14) (1) | |||
Stockholders' equity: | |||
Preferred Stock, par value | |||
108,766 | 109,679 | ||
187,995 | 189,028 | ||
Common Stock, par value | 445 | 387 | |
Additional paid in capital | 3,968,567 | 3,901,562 | |
Accumulated other comprehensive income | 2,741 | 10,761 | |
Retained earnings (distributions in excess of earnings) | (3,427,630) | (3,407,342) | |
Total stockholders' equity | 840,884 | 804,075 | |
Total liabilities and stockholders' equity | 5,866,229 | 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 June 30, 2023. |
Non-GAAP Financial Measures
The table below shows the non-GAAP financial measures the Company uses to analyze its operating results and the most directly comparable
Non-GAAP Financial Measure | Most Directly Comparable | |
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 |
The non-GAAP financial measures used by the Company's management should be analyzed in conjunction with
Earnings Available for Distribution
The Company's business objective is to provide attractive risk-adjusted returns to its stockholders, primarily through dividends and secondarily through capital appreciation. The Company uses earnings available for distribution as a measure of its investment portfolio's ability to generate income for distribution to common stockholders and to evaluate its progress toward meeting this objective. The Company calculates earnings available for distribution as
By excluding the gains and losses discussed above, the Company believes the presentation of earnings available for distribution provides a consistent measure of operating performance that investors can use to evaluate its results over multiple reporting periods and, to a certain extent, compare to its peer companies. However, because not all of the Company's peer companies use identical operating performance measures, the Company's presentation of earnings available for distribution may not be comparable to other similarly titled measures used by its peer companies. The Company excludes the impact of gains and losses when calculating earnings available for distribution because (i) when analyzed in conjunction with its
To maintain qualification as a REIT,
Earnings available for distribution is an incomplete measure of the Company's financial performance and there are other factors that impact the achievement of the Company's business objective. The Company cautions that earnings available for distribution should not be considered as an alternative to net income (determined in accordance with
The table below provides a reconciliation of
Three Months Ended | Six Months Ended | ||||||||
$ in thousands, except per share data | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Net income (loss) attributable to common stockholders | (1,398) | 15,601 | (116,144) | 14,203 | (352,960) | ||||
Adjustments: | |||||||||
(Gain) loss on investments, net | 99,679 | (51,956) | 324,876 | 47,723 | 829,264 | ||||
Realized (gain) loss on derivative instruments, net (1) | (26,946) | 91,900 | (141,232) | 64,954 | (424,661) | ||||
Unrealized (gain) loss on derivative instruments, net (1) | (6,241) | 7,459 | (26,944) | 1,218 | 18,909 | ||||
TBA dollar roll income (2) | — | 697 | 11,855 | 697 | 25,256 | ||||
Gain on repurchase and retirement of preferred stock | (364) | — | (1,491) | (364) | (1,491) | ||||
Foreign currency (gains) losses, net (3) | (27) | 93 | 11 | 66 | (44) | ||||
Amortization of net deferred (gain) loss on de-designated interest rate swaps (4) | (3,201) | (4,494) | (4,802) | (7,695) | (9,998) | ||||
Subtotal | 62,900 | 43,699 | 162,273 | 106,599 | 437,235 | ||||
Earnings available for distribution | 61,502 | 59,300 | 46,129 | 120,802 | 84,275 | ||||
Basic income (loss) per common share | (0.03) | 0.39 | (3.52) | 0.35 | (10.70) | ||||
Earnings available for distribution per common share (5) | 1.45 | 1.50 | 1.40 | 2.95 | 2.55 |
(1) |
Three Months Ended | Six Months Ended | ||||||||
$ in thousands | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Realized gain (loss) on derivative instruments, net | 26,946 | (91,900) | 141,232 | (64,954) | 424,661 | ||||
Unrealized gain (loss) on derivative instruments, net | 6,241 | (7,459) | 26,944 | (1,218) | (18,909) | ||||
Contractual net interest income (expense) on interest rate swaps | 63,437 | 54,464 | 13,566 | 117,901 | 14,850 | ||||
Gain (loss) on derivative instruments, net | 96,624 | (44,895) | 181,742 | 51,729 | 420,602 |
(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) |
Three Months Ended | Six Months Ended | ||||||||
$ in thousands | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Interest expense on repurchase agreement borrowings | 62,223 | 54,220 | 8,257 | 116,443 | 11,349 | ||||
Amortization of net deferred (gain) loss on de-designated interest rate swaps | (3,201) | (4,494) | (4,802) | (7,695) | (9,998) | ||||
Repurchase agreements interest expense | 59,022 | 49,726 | 3,455 | 108,748 | 1,351 |
(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. |
The table below shows the components of earnings available for distribution for the following periods:
Three Months Ended | Six Months Ended | ||||||||
$ in thousands | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Effective net interest income (1) | 72,642 | 69,531 | 49,864 | 142,173 | 90,230 | ||||
TBA dollar roll income | — | 697 | 11,855 | 697 | 25,256 | ||||
Equity in earnings (losses) of unconsolidated ventures | — | 2 | (352) | 2 | (281) | ||||
(Increase) decrease in provision for credit losses | (169) | — | — | (169) | — | ||||
Total expenses | (5,131) | (5,068) | (7,138) | (10,199) | (14,436) | ||||
Subtotal | 67,342 | 65,162 | 54,229 | 132,504 | 100,769 | ||||
Dividends to preferred stockholders | (5,840) | (5,862) | (8,100) | (11,702) | (16,494) | ||||
Earnings available for distribution | 61,502 | 59,300 | 46,129 | 120,802 | 84,275 |
(1) | See below for a reconciliation of net interest income to effective net interest income, a non-GAAP measure. |
Effective Interest Expense/Effective Cost of Funds/Effective Net Interest Income/Effective Interest Rate Margin
The Company calculates effective interest expense (and by calculation, effective cost of funds) as
The Company calculates effective net interest income (and by calculation, effective interest rate margin) as
The Company believes the presentation of effective interest expense, effective cost of funds, effective net interest income and effective interest rate margin measures, when considered together with
The following table reconciles total interest expense to effective interest expense and cost of funds to effective cost of funds for the following periods:
Three Months Ended | |||||||||||
June 30, 2023 | March 31, 2023 | June 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 | 59,022 | 4.93 % | 49,726 | 4.20 % | 3,455 | 0.34 % | |||||
Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps | 3,201 | 0.27 % | 4,494 | 0.38 % | 4,802 | 0.47 % | |||||
Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net | (63,437) | (5.30) % | (54,464) | (4.60) % | (13,566) | (1.34) % | |||||
Effective interest expense | (1,214) | (0.10) % | (244) | (0.02) % | (5,309) | (0.53) % |
Six Months Ended June 30, | |||||||
2023 | 2022 | ||||||
$ in thousands | Reconciliation | Cost of Funds / Effective Cost of Funds | Reconciliation | Cost of Funds / Effective Cost of Funds | |||
Total interest expense | 108,748 | 4.56 % | 1,351 | 0.05 % | |||
Add: Amortization of net deferred gain (loss) on de-designated interest rate swaps | 7,695 | 0.32 % | 9,998 | 0.39 % | |||
Less: Contractual net interest expense (income) on interest rate swaps recorded as gain (loss) on derivative instruments, net | (117,901) | (4.95) % | (14,850) | (0.58) % | |||
Effective interest expense | (1,458) | (0.07) % | (3,501) | (0.14) % |
The following table reconciles net interest income to effective net interest income and net interest rate margin to effective interest rate margin for the following periods:
Three Months Ended | |||||||||||
June 30, 2023 | March 31, 2023 | June 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 | 12,406 | 0.48 % | 19,561 | 1.08 % | 41,100 | 3.48 % | |||||
Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps | (3,201) | (0.27) % | (4,494) | (0.38) % | (4,802) | (0.47) % | |||||
Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net | 63,437 | 5.30 % | 54,464 | 4.60 % | 13,566 | 1.34 % | |||||
Effective net interest income | 72,642 | 5.51 % | 69,531 | 5.30 % | 49,864 | 4.35 % |
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
$ in thousands | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | Reconciliation | Net Interest Rate Margin / Effective Interest Rate Margin | ||||
Net interest income | 31,967 | 0.78 % | 85,378 | 2.93 % | ||||
Less: Amortization of net deferred (gain) loss on de-designated interest rate swaps | (7,695) | (0.32) % | (9,998) | (0.39) % | ||||
Add: Contractual net interest income (expense) on interest rate swaps recorded as gain (loss) on derivative instruments, net | 117,901 | 4.95 % | 14,850 | 0.58 % | ||||
Effective net interest income | 142,173 | 5.41 % | 90,230 | 3.12 % |
Economic Debt-to-Equity Ratio
The following tables show the allocation of the Company's stockholders' equity to its target assets, the Company's debt-to-equity ratio, and the Company's economic debt-to-equity ratio as of June 30, 2023 and March 31, 2023. The Company's debt-to-equity ratio is calculated in accordance with
The Company presents an economic debt-to-equity ratio, a non-GAAP financial measure of leverage that considers the impact of the off-balance sheet financing of its investments in TBAs that are accounted for as derivative instruments under
As of June 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 to total stockholders' equity. The Company did not have any TBAs outstanding as of June 30, 2023. |
As of March 31, 2023 | |||
$ in thousands | Agency RMBS | Credit Portfolio (1) | Total |
Mortgage-backed securities | 5,402,200 | 44,943 | 5,447,143 |
Cash and cash equivalents (2) | 101,834 | — | 101,834 |
Restricted cash (3) | 127,038 | — | 127,038 |
Derivative assets, at fair value (3) | 3,416 | — | 3,416 |
Other assets | 27,183 | 758 | 27,941 |
Total assets | 5,661,671 | 45,701 | 5,707,372 |
Repurchase agreements | 4,814,700 | — | 4,814,700 |
Derivative liabilities, at fair value (3) | 12,291 | — | 12,291 |
Other liabilities | 44,792 | 1,474 | 46,266 |
Total liabilities | 4,871,783 | 1,474 | 4,873,257 |
Total stockholders' equity (allocated) | 789,888 | 44,227 | 834,115 |
Debt-to-equity ratio (4) | 6.1 | — | 5.8 |
Economic debt-to-equity ratio (5) | 6.1 | — | 5.8 |
(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 ( |
Average Balances
The table below presents information related to the Company's average earning assets, average earning asset yields, average borrowings and average cost of funds for the following periods:
Three Months Ended | Six Months Ended | ||||||||
$ in thousands | June 30, | March 31, | June 30, | June 30, | June 30, | ||||
Average earning assets (1) | 5,285,794 | 5,245,291 | 4,663,313 | 5,265,654 | 5,827,797 | ||||
Average earning asset yields (2) | 5.41 % | 5.28 % | 3.82 % | 5.34 % | 2.98 % | ||||
Average borrowings (3) | 4,791,720 | 4,737,476 | 4,059,423 | 4,764,748 | 5,133,591 | ||||
Average cost of funds (4) | 4.93 % | 4.20 % | 0.34 % | 4.56 % | 0.05 % |
(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. |
Greg Seals,
Investor Relations
404-439-3323
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SOURCE Invesco Mortgage Capital Inc.
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