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Key Figures

 

(Dollars in millions. Except per share data)

 
1Q 2019  4Q 2018  3Q 2018  2Q 2018  1Q 2018 
 GAAP Earnings  $0.54   ($0.63)   $0.79   $0.58   $1.22  
 Core Earnings(1)  $0.57   $0.58   $0.60   $0.59   $0.58  
 Common Dividend  $0.50   $0.50   $0.50   $0.50   $0.50  
                 
 Total Assets  $29,338   $27,709   $25,180   $23,263   $21,331  
 Stockholders Equity  $3,953   $3,704   $3,913   $3,650   $3,671  
 GAAP Book Value  $16.15   $15.90   $17.02   $17.01   $17.12  
 Total Economic Return(2) - Trailing 12 mos.  6.5%   6.2%   12.4%   14.7%   17.6%  

(1)Core earnings is a non-GAAP measure.


(2)Economic return on book value is based on the change in GAAP book value per common share plus the dividend declared per common share.

Core Earnings Reconciliation9

Core earnings is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains on the aggregate portfolio, impairment losses, realized gains on sales of investments, realized gains or losses on futures, realized gains or losses on swap terminations, gain on deconsolidation, extinguishment of debt and certain other non-recurring gains or losses. As defined, core earnings include interest income and expense as well as realized losses on interest rate swaps used to hedge interest rate risk. Management believes that the presentation of core earnings is useful to investors because it can provide a useful measure of comparability to our other REIT peers, but has important limitations. We believe core earnings as described above helps evaluate our financial performance without the impact of certain transactions but is of limited usefulness as an analytical tool. Therefore, core earnings should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP.

The following table provides GAAP measures of net income and net income per basic share available to common stockholders for the periods presented and details with respect to reconciling the line items to core earnings and related per average basic common share amounts:"

GAAP to Core Earnings Reconciliation

 

(Dollars in thousands. Except per share data)

 
1Q 2019  4Q 2018  3Q 2018  2Q 2018  1Q 2018 
 GAAP net income available to common shareholders  $100,755   ($117,235)   $147,361   $108,708   $229,607  
 Adjustments:                
  Net other-than temporary credit impairment losses $4,853   $4,269   $7,233   $9,131   $1,158  
  Net unrealized (gains) losses on derivatives $89,315   $319,673   ($71,197)   ($25,895)   ($81,419)  
  Net unrealized (gains) losses on financial instruments at fair value ($200,812)   ($84,836)   $34,306   $18,364   ($14,466)  
  Net realized (gains) losses on sales of investments $8,603   ($1,213)   $6,123   ($2,167)   $0  
  (Gains) losses on extinguishment of debt $0   ($7,055)   ($9,263)   ($387)   ($9,670)  
  Realized (gains) losses on terminations of interest rate swaps $108,046   $0   $0   $0   $0  
  Net realized (gains) losses on Futures(3) $12,579   ($4,320)   ($2,799)   $2,210   ($16,424)  
 Core Earnings  $106,133   $109,283   $111,764   $109,964   $108,786  
                 
 GAAP net income per basic common share  $0.54   ($0.63)   $0.79   $0.58   $1.22  
 Core earnings per basic common share(4)  $0.57   $0.58   $0.60   $0.59   $0.58  


(3) Included in net realized gain (losses) on derivatives in the Consolidated Statements of Operations.


(4) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition, timing differences in premium ammortization, accretion of discounts, equity compensation and other items.


Portfolio Income and Yield

 

(Dollars in thousands. Except per share data)

 
1Q 2019  4Q 2018  3Q 2018  2Q 2018  1Q 2018 
 Interest Income  $350,389   $348,033   $321,715   $306,436   $297,132  
 Interest Expense  $202,950   $193,920   $174,671   $161,266   $149,251  
 Net Interest Income  $147,439   $154,113   $147,044   $145,170   $147,881  
                 
 Average Yield, Interest-earning assets  5.5%   5.8%   5.8%   6.1%   6.2%  
 Average Cost, Interest-bearing liabilities  3.4%   3.6%   3.6%   3.6%   3.7%  
 Net Interest Spread  2.1%   2.2%   2.2%   2.5%   2.5%  

Portfolio Allocation

   1Q 2019  4Q 2018  3Q 2018  2Q 2018  1Q 2018 
 Agency RMBS as percent of portfolio  33%   34%   28%   20%   11%  
 Agency CMBS as percent of portfolio  12%   11%   10%   10%   11%  
 Securitized Loans as percent of portfolio  46%   46%   52%   58%   65%  
 Non-Agency RMBS as percent of portfolio  9%   9%   10%   12%   13%  
                 
 GAAP Leverage  6.0:1   6.1:1   5.1:1   5.1:1   4.6:1  
 GAAP Leverage (Recourse)  3.9:1   3.8:1   2.8:1   2.5:1   2.0:1