- Q2 net spread and dollar roll income of $0.72 vs. $0.62 in Q1. Dividend is $0.65.
- Book value per share of $22.73 up 4.4% from the end of Q1. Today's close of $19.85 is a 12.7% discount to book.
- Adding dividend and book value increase together yields a 7.3% economic return for the quarter.
- $6.8B investment portfolio includes $4.5B in agency MBS, $1.2B net long TBA mortgage position, and $1.1B in non-agency MBS. $68M investment in MSRs during Q2. $11M investment in common stock of other mREITs during Q2. Leverage slips to 5.2x from 5.6x.
- CPR for agency portfolio of 8.3% up from 5.7% in Q1.
- Average net interest spread during Q of 2.32% up 13 bps from Q1.
- Conference call tomorrow at 11 ET
- Previously: American Capital Mortgage EPS of $1.64
- MTGE flat AH
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