We continue to focus on adding longer term financing for our Non-Agency mortgage-backed security holding. On June 29, 2012 we added $350 million three-year repurchase agreement to finance Non-Agency MBS assets.
On July 31, 2012 we paid our second quarter 2012 dividend of $0.23 per share of common stock to stockholders of record as of July 13, 2012. Our REIT taxable income exceeded core earnings in the first half of 2012, primarily due to the fact that for Non-Agency MBS acquired at a discount, core earnings are reduced by credit reserves for estimated future losses while taxable income is reduced by realized losses only when they actually occur.
We typically distribute approximately 100% of a REIT taxable income and consequently, dividends exceeded core earnings in the first two quarters of 2012. We currently anticipate that our REIT taxable income and core earnings will trend closer together in the second half of 2012.
At quarter end our debt-to-EBIDA ratio including the liabilities underlying our linked transactions was 3.6:1. In this low interest rate environment, core earnings per share was $0.20 versus $0.21 in the first quarter. Our Agency portfolio had an average amortized cost of 102.9% of par as of June 30, 2012, and generated a 2.95% yield in the second quarter.Our Non-Agency portfolio had an average amortized cost of 73.0% of par as of June 30, 2012, and generated a loss-adjusted yield of 6.75% in the second quarter. While housing fundamentals remain moderate to weak, we believe that we’ve appropriately factored this into our cash flow projections and credit reserve estimates. Our Non-Agency mortgage-backed security loss adjusted yield of 6.75% is based on projected defaults that are approximately twice the amount of underlying mortgage loans that are presently 60 plus days delinquent. Read the rest of this transcript for free on seekingalpha.com
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