15 Historical Financials 3/31/2012 12/31/2011 Income Statement Data (in 000's) Investment Income – Interest Income $65,369 $61,631 Total expenses 11,972 10,510 Net Investment Income 53,397 51,121 Net gain (loss) from investments 33,150 (8,587) Net gain (loss) from swap and cap contracts (17,429) 1,559 Net Income $69,118 $44,093 Net Income Per Common Share (diluted) $0.66 $0.53 Distributions per Common Share $0.50 $0.50 Non-GAAP Measure (in 000's) Core Earnings (1) $41,891 $37,836 Non-GAAP Reconciliation (in 000's) NET INCOME $69,118 $44,093 Net (gain) loss from investments (33,150) 8,587 Net (gain) loss on termination of swap contracts -- 1,411 Net unrealized (appreciation) depreciation on swap and cap contracts 5,923 (16,255) Core Earnings $41,891 $37,836 Key Portfolio Statistics* Average yield on Agency RMBS (2) 2.78% 2.81% Average cost of funds and hedge (3) 0.90% 1.01% Interest rate spread net of hedge (4) 1.88% 1.80% Operating expense ratio (5) 1.46% 1.53% Leverage ratio (at period end) (6) 7.7:1 7.7:1 Balance Sheet Data (in 000's) 3/31/2012 12/31/2011 Cash and Cash Equivalents $10,643 $11,508 Total Assets $13,555,905 $9,518,057 Repurchase Agreements $8,234,669 $7,880,814 Net assets $1,525,792 $1,077,458 Net assets per common share $13.14 $13.02 Three Months Ended As of (1) Core Earnings is defined as net income (loss) excluding net gain (loss) on investments, net realized gain (loss) on termination of swap contracts and unrealized appreciation (depreciation) on swap and cap contracts. (2) Our average yield on Agency RMBS for the period was calculated by dividing our interest income from Agency RMBS by our average Agency RMBS. (3) Our average cost of funds and hedge for the period was calculated by dividing our total interest expense, including our net swap and cap interest income (expense), by our average repurchase agreements. (4) Our interest rate spread net of hedge for the period was calculated by subtracting our average cost of funds and hedge from our average yield on Agency RMBS. (5) Our operating expense ratio is calculated by dividing operating expenses by average net assets. (6) Our leverage ratio was calculated by dividing (i) the Company’s repurchase agreements balance plus payable for securities purchased minus receivable for securities sold by (ii) net assets. * All percentages are annualized. |
