Attached files
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8-K - FORM 8-K - Apollo Residential Mortgage, Inc. | d817837d8k.htm |
EX-99.2 - EX-99.2 - Apollo Residential Mortgage, Inc. | d817837dex992.htm |
EX-99.3 - EX-99.3 - Apollo Residential Mortgage, Inc. | d817837dex993.htm |
Exhibit 99.1
FOR IMMEDIATE RELEASE CONTACT: Hilary Ginsberg (212) 822-0767 |
NYSE: AMTG |
APOLLO RESIDENTIAL MORTGAGE, INC. REPORTS
THIRD QUARTER 2014 FINANCIAL RESULTS
New York, NY, November 3, 2014 - Apollo Residential Mortgage, Inc. (the Company) (NYSE: AMTG) today reported financial results for the quarter ended September 30, 2014.
Third Quarter 2014 Financial Highlights
| Net income allocable to common stock and participating securities of $7.4 million, or $0.23 per basic and diluted share of common stock comprised of: |
| Operating earnings(1) of $0.51 per share of common stock; |
| Realized net losses of $(0.12) per share of common stock; and |
| Unrealized net losses of $(0.16) per share of common stock |
| Declared a $0.44 dividend per share of common stock for the quarter, a 5% increase over the prior quarter dividend per share of common stock and a 10% increase over the first quarter of 2014 dividend per share of common stock |
Third Quarter 2014 Other Highlights
| Book value per share of common stock of $19.27 at September 30, 2014, as compared to book value per share of common stock of $19.49 at June 30, 2014 |
| $3.6 billion residential mortgage backed securities (RMBS) portfolio consisted of Agency RMBS with an estimated fair value of $2.1 billion and non-Agency RMBS with an estimated fair value of $1.5 billion |
| RMBS, securitized mortgage loans and other credit investment portfolio had a 2.7% effective net interest rate spread and a 15.0% effective levered asset yield at September 30, 2014(1) |
| Leverage multiple of 3.9x |
| $23 million outstanding on warehouse facility receivable associated with our Seller Financing Program(2) to fund the acquisition and rehabilitation of 381 homes and earnest money deposits for 45 homes |
(1) | Reflects a non-GAAP financial measure (i.e., a measure that is not calculated in accordance with U.S. Generally Accepted Accounting Principles). See Reconciliations of Non-GAAP Financial Measures in this press release. |
(2) | The Seller Financing Program refers to the initiative whereby the Company provides funding through a warehouse line to a third-party to finance the acquisition and improvement of single-family homes. Once the homes are improved, they are marketed for sale, with the seller providing financing to the buyer in the form of a mortgage loan or a bond-for-title contract (BFT Contract). The mortgage loans and BFT contracts may be purchased by the Company or by an unrelated third party from the counterparty, at which time the associated balance on the warehouse line is repaid. |
AMTG continued to produce solid operating and financial results in the third quarter, which resulted in a 5% increase in the Companys dividend per common share, said Michael Commaroto, the Chief Executive Officer and President of the Company. We continue to focus AMTGs capital allocation towards non-Agency RMBS and other credit investments, which performed well during the recent volatility in the fixed income markets, and have opportunistically added new investments to our credit portfolio throughout the quarter.
Portfolio Summary (Table 1)
The following table sets forth additional detail regarding the Companys investment securities and securitized mortgage loans as of September 30, 2014:
($ amounts in thousands) | Principal Balance |
Unamortized Premium/ (Discount), Net(1) |
Amortized Cost (2) | Estimated Fair Value |
Unrealized Gain/(Loss) |
Weighted Average Coupon |
Estimated Weighted Average Yield (3) |
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Agency RMBS: |
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30-Year Mortgages |
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3.5% |
$ | 149,142 | $ | 6,878 | $ | 156,020 | $ | 152,392 | $ | (3,628 | ) | 3.50 | % | 2.80 | % | |||||||||||||
4.0% |
1,302,012 | 93,114 | 1,395,126 | 1,375,410 | (19,716 | ) | 4.00 | % | 2.86 | % | ||||||||||||||||||
4.5% |
466,745 | 35,394 | 502,139 | 506,427 | 4,288 | 4.50 | % | 3.05 | % | |||||||||||||||||||
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1,917,899 | 135,386 | 2,053,285 | 2,034,229 | (19,056 | ) | 4.08 | % | 2.90 | % | |||||||||||||||||||
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15-Year Mortgages |
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3.0% |
48,941 | 1,312 | 50,253 | 50,449 | 196 | 3.00 | % | 2.47 | % | |||||||||||||||||||
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Agency Inverse Floater(4) |
1,381 | 3,723 | 5,104 | 5,122 | 18 | 81.83 | % | 12.43 | % | |||||||||||||||||||
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Agency IOs (5) |
| | 24,471 | 25,255 | 784 | 4.02 | % | 0.41 | % | |||||||||||||||||||
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Agency Inverse IOs(5) |
| | 30,445 | 30,368 | (77 | ) | 6.22 | % | 12.81 | % | ||||||||||||||||||
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Total Agency RMBS |
1,968,221 | 140,421 | 2,163,558 | 2,145,423 | (18,135 | ) | 4.23 | % | 3.02 | % | ||||||||||||||||||
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Non-Agency RMBS |
1,666,481 | (308,589 | ) | 1,357,892 | 1,445,016 | 87,124 | 1.23 | % | 6.13 | % | ||||||||||||||||||
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Total RMBS |
$ | 3,634,702 | $ | (168,168 | ) | $ | 3,521,450 | $ | 3,590,439 | $ | 68,989 | 3.00 | % | 4.22 | % | |||||||||||||
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Securitized Mortgage Loans |
$ | 142,019 | $ | (43,189 | ) | $ | 98,830 | $ | 106,947 | $ | 8,117 | 5.80 | % | 7.81 | % | |||||||||||||
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Other Investment Securities |
$ | 32,720 | $ | (2,442 | ) | $ | 30,278 | $ | 30,688 | $ | 410 | 1.84 | % | 4.51 | % | |||||||||||||
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Total Portfolio |
$ | 3,809,441 | $ | (213,799 | ) | $ | 3,650,558 | $ | 3,728,074 | $ | 77,516 | 3.09 | % | 4.32 | % | |||||||||||||
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(1) | A portion of the purchase discount on non-Agency RMBS is not expected to be recognized as interest income, and is instead viewed as a credit discount. At September 30, 2014, the Companys non-Agency RMBS had gross discounts of $309,197, which included credit discounts of $97,958 and other-than-temporary impairments (OTTI) of $15,278. |
(2) | Amortized cost is reduced by allowances for loan losses on the Companys securitized mortgage loans and unrealized losses that are classified as OTTI on the Companys investment securities. The Company recognized OTTI of $3,817 on RMBS and recognized a reversal of provision for loan losses of $1,241 on securitized mortgage loans for the three months ended September 30, 2014. |
(3) | The estimated weighted average yield at the date presented incorporates estimates for future prepayment assumptions and forward interest rate assumptions on all RMBS and loss assumptions on non-Agency RMBS. |
(4) | The Companys Agency Inverse Floater bonds are comprised of securities that have a floating interest rate with coupons that reset periodically based on an index and which coupon varies inversely with changes in the index, which index is typically one-month London Interbank Offer Rate (LIBOR). |
(5) | Agency IOs and Agency Inverse IOs are interest only (IO) securities that have no principal balance and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only classes of securities. At September 30, 2014, the Companys Agency IOs had a notional balance of $293,345 and the Companys Agency Inverse IOs had a notional balance of $149,983. |
As of September 30, 2014, the average cost basis of the Companys Agency RMBS pass-through portfolio was 107.0% of par value and the average cost basis of the Companys non-Agency RMBS portfolio was 81.5% of par value.
The Agency RMBS pass-through portfolio experienced prepayments at an average one month constant prepayment rate (CPR) for the quarter ended September 30, 2014 of 7.9%. Including Agency IOs, Agency Inverse IOs and Agency Inverse Floaters, the Agency RMBS portfolio experienced prepayments at an average one month CPR of 8.0% for the quarter ended September 30, 2014.
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Other Investments (Table 2)
The following table sets forth the Companys other investments at September 30, 2014:
($ amounts in thousands) | Amortized Cost | |||
Warehouse line receivable |
$ | 22,989 | ||
Real estate subject to BFT Contracts(1) |
2,228 | |||
Mortgage loans |
295 | |||
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Total Other Investments |
$ | 25,512 | ||
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(1) | Reflects BFT Contracts on real estate at September 30, 2014, which had an aggregate principal balance of $2,817 with a weighted average interest rate of 9.6%. |
Portfolio Financing
At September 30, 2014, the Company had master repurchase agreements with 25 counterparties and had outstanding repurchase borrowings with 18 counterparties totaling approximately $3.1 billion.
(Table 3)
The following table sets forth the Companys borrowings at September 30, 2014:
($ amounts in thousands) |
Balance | Weighted Average Contractual Borrowing Rate |
Weighted Average Remaining Maturity |
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Repurchase agreement borrowings: |
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Agency RMBS |
$ | 1,934,669 | 0.33 | % | 16 days | |||||||
Non-Agency RMBS(1) |
1,116,411 | 1.97 | 167 days | |||||||||
Other investment securities |
25,728 | 1.74 | 77 days | |||||||||
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Total repurchase agreements |
$ | 3,076,808 | 0.94 | % | 71 days | |||||||
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Securitized debt |
$ | 34,947 | 4.00 | % | 53 months | (2) | ||||||
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Total borrowings |
$ | 3,111,755 | 0.97 | % | ||||||||
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(1) | Includes $29,177 of repurchase borrowings collateralized by $48,036 of non-Agency RMBS that were eliminated from the Companys consolidated balance sheet in consolidation with the variable interest entity associated with the Companys securitization transaction. |
(2) | Securitized debt, which represents non-recourse senior securities sold to third parties in connection with a securitization transaction, has a final contractual maturity of May 2047. Weighted average remaining maturity represents the estimated final maturity of the security based on the final projected repayment of principal. The actual maturity of the securitized debt may differ significantly from this estimate given that actual interest collection, mortgage prepayments and/or losses on liquidation of mortgages may differ significantly from those expected. |
(Table 4)
The Companys derivative instruments consisted of the following at September 30, 2014:
($ amounts in thousands) | Notional Amount |
Estimated Fair Value |
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Swaps assets |
$ | 957,000 | $ | 22,429 | ||||
Swaptions assets |
1,100,000 | 2,593 | ||||||
Swaps (liabilities) |
730,000 | (5,018 | ) | |||||
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Total derivative instruments |
$ | 2,787,000 | $ | 20,004 | ||||
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(Table 5)
The following table summarizes the average fixed-pay rate and average maturity for the Companys Swaps at September 30, 2014:
Term to Maturity ($ amounts in thousands) |
Notional Amount |
Average Fixed Pay Rate |
Average Maturity (Years) |
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Greater than 1 year up to 3 years |
$ | 920,000 | 1.07 | % | 2.7 | |||||||
Greater than 3 years up to 5 years |
189,000 | 1.02 | 3.5 | |||||||||
Greater than 5 years |
578,000 | 2.13 | 8.2 | |||||||||
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Total |
$ | 1,687,000 | 1.43 | % | 4.6 | |||||||
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(Table 6)
At September 30, 2014, the Companys Swaptions had an aggregate notional amount of $1.1 billion. The following table presents information about the Companys Swaptions at September 30, 2014:
($ amounts in thousands) | Option | Underlying Swap | ||||||||||||||||||
Fixed-Pay Rate for Underlying Swap |
Fair Value | Weighted Average Months Until Option Expiration |
Notional Amount |
Swap Terms (Years) |
Weighted Average Fixed-Pay Rate |
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2.50 3.00% |
$ | 768 | 8 | $ | 160,000 | 5.0 | 2.77 | % | ||||||||||||
3.00 3.50% |
183 | 11 | 15,000 | 10.0 | 3.42 | |||||||||||||||
3.50 4.00% |
1,642 | 6 | 925,000 | 10.0 | 3.76 | |||||||||||||||
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$ | 2,593 | 6 | $ | 1,100,000 | 9.3 | 3.61 | % | |||||||||||||
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Estimated Taxable Income
The Companys taxable income may vary significantly on a quarterly basis. Estimated taxable income for the quarter ended September 30, 2014 was $0.35 per share of common stock, or $0.16 lower than the Companys operating earnings per share of common stock. This difference primarily reflects estimated tax to GAAP timing differences associated with discount accretion on certain non-Agency RMBS. These fluctuations primarily are attributable to changes in cash flows on the Companys locked-out non-Agency RMBS, which impacts the timing of market discount the Company recognizes for tax purposes on such securities. Certain locked-out bonds may move from being locked-out to current pay, and vice-versa, depending on the performance of the underlying collateral and the associated triggers specified in the securitization structure.
Book Value
The Companys book value per share of common stock at September 30, 2014 was $19.27 as compared to book value per share of common stock of $19.49 at June 30, 2014.
Teleconference and Website Presentation Details:
The Company will be hosting a conference call to discuss its financial results on Tuesday, November 4, 2014 at 10:00 a.m. Eastern Time. Members of the public who are interested in participating in the Companys third quarter 2014 earnings teleconference call should dial from the U.S., (877) 445-0818, or from outside the U.S., (724) 498-0351, shortly before 10:00 a.m. and reference the Apollo Residential Mortgage, Inc. Teleconference Call (number 15206169). Please note the teleconference call will be available for replay beginning at 1:00 p.m. on Tuesday, November 4, 2014, and ending at midnight on Tuesday, November 11, 2014. To access the replay, callers from the U.S. should dial (855) 859-2056 and callers from outside the U.S. should dial (404) 537-3406, and enter conference identification number 15206169.
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Webcast:
The conference call will also be available on the Companys website at www.apolloresidentialmortgage.com. To listen to a live broadcast, please go to the site at least 15 minutes prior to the scheduled start time in order to register, download and install any necessary audio software. A replay of the call will also be available for 30 days on the Companys website.
Supplemental Information
The Company provides a supplemental information package to offer more transparency into its financial results and make its reporting more informative and easier to follow. The supplemental package is available in the investor relations section of the Companys website at www.apolloresidentialmortgage.com.
About Apollo Residential Mortgage, Inc.
Apollo Residential Mortgage, Inc. is a real estate investment trust that invests in and manages residential mortgage-backed securities and other residential mortgage assets throughout the United States. The Company is externally managed and advised by ARM Manager, LLC, a Delaware limited liability company and an indirect subsidiary of Apollo Global Management, LLC (NYSE:APO), a leading global alternative investment manager with approximately $164 billion of assets under management at September 30, 2014.
Additional information can be found on the Companys website at www.apolloresidentialmortgage.com.
Forward-Looking Statements
Certain statements contained in this press release constitute forward-looking statements as such term is defined in Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, and such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Companys control. These forward-looking statements include information about possible or assumed future results of the Companys business, financial condition, liquidity, results of operations, plans and objectives, including information about the ability of the Company to generate attractive returns while attempting to mitigate risk. When used in this release, the words believe, expect, anticipate, estimate, plan, continue, intend, should, may or similar expressions are intended to identify forward-looking statements. Statements regarding the following subjects, among others, may be forward-looking: the return on equity; the yield on investments; the ability to borrow to finance assets; and risks associated with investing in real estate assets, including changes in business conditions and the general economy. For a further list and description of such risks and uncertainties, see the Companys Annual Report on Form 10-K for the year ended December 31, 2013 and other reports filed by the Company with the Securities and Exchange Commission. The forward-looking statements, and other risks, uncertainties and factors are based on the Companys beliefs, assumptions and expectations of its future performance, taking into account all information currently available to the Company. Forward-looking statements are not predictions of future events. The Company disclaims any intention or obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as required by law.
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Apollo Residential Mortgage, Inc. and Subsidiaries Consolidated Balance Sheets
(in thousands except share and per share data)
September 30, 2014 | December 31, 2013 | |||||||
(Unaudited) | ||||||||
Assets: |
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Cash |
$ | 105,904 | $ | 127,959 | ||||
Restricted cash |
66,399 | 67,458 | ||||||
RMBS, at fair value (of which $3,424,933 and $3,317,060 were pledged as collateral, respectively) |
3,590,439 | 3,503,326 | ||||||
Securitized mortgage loans (transferred to a consolidated VIE), at fair value |
106,947 | 110,984 | ||||||
Other investment securities, at fair value (of which $30,688 and $11,515 were pledged as collateral, respectively) |
30,688 | 11,515 | ||||||
Other investments |
25,512 | | ||||||
Investment related receivable (of which $0 and $21,959 were pledged as collateral, respectively) |
6,095 | 24,887 | ||||||
Interest receivable |
10,020 | 10,396 | ||||||
Deferred financing costs, net |
773 | 882 | ||||||
Derivative instruments, at fair value |
25,022 | 53,315 | ||||||
Other assets |
1,072 | 854 | ||||||
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Total Assets |
$ | 3,968,871 | $ | 3,911,576 | ||||
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Liabilities and Stockholders Equity |
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Liabilities: |
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Borrowings under repurchase agreements |
$ | 3,076,808 | $ | 3,034,058 | ||||
Non-recourse securitized debt, at fair value |
36,188 | 43,354 | ||||||
Investment related payable |
11,505 | | ||||||
Obligation to return cash held as collateral |
14,656 | 38,654 | ||||||
Accrued interest payable |
10,332 | 8,708 | ||||||
Derivative instruments, at fair value |
5,018 | 4,610 | ||||||
Payable to related party |
5,036 | 5,444 | ||||||
Dividends payable |
17,558 | 16,812 | ||||||
Accounts payable and accrued expenses |
1,336 | 2,335 | ||||||
Other liabilities |
6 | | ||||||
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Total Liabilities |
$ | 3,178,443 | $ | 3,153,975 | ||||
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Stockholders Equity: |
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Preferred stock, $0.01 par value, 50,000,000 shares authorized, 6,900,000 shares issued and outstanding ($172,500 aggregate liquidation preference) |
$ | 69 | $ | 69 | ||||
Common stock, $0.01 par value, 450,000,000 shares authorized, 32,063,141 and 32,038,970 shares issued and outstanding, respectively |
321 | 320 | ||||||
Additional paid-in-capital |
793,021 | 792,010 | ||||||
Accumulated deficit |
(2,983 | ) | (34,798 | ) | ||||
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Total Stockholders Equity |
790,428 | 757,601 | ||||||
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Total Liabilities and Stockholders Equity |
$ | 3,968,871 | $ | 3,911,576 | ||||
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Apollo Residential Mortgage, Inc. and Subsidiaries
Consolidated Statements of Operations (Unaudited)
(in thousands except per share data)
Three months ended September 30, |
Nine months ended September 30, |
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2014 | 2013 | 2014 | 2013 | |||||||||||||
Interest Income: |
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RMBS |
$ | 36,277 | $ | 32,013 | $ | 108,093 | $ | 107,959 | ||||||||
Securitized mortgage loans |
1,871 | 2,324 | 6,044 | 5,954 | ||||||||||||
Other |
394 | 79 | 726 | 79 | ||||||||||||
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Total Interest Income |
38,542 | 34,416 | 114,863 | 113,992 | ||||||||||||
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Interest Expense: |
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Repurchase agreements |
(7,310 | ) | (6,299 | ) | (21,214 | ) | (18,935 | ) | ||||||||
Securitized debt |
(398 | ) | (490 | ) | (1,272 | ) | (1,308 | ) | ||||||||
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Total Interest Expense |
(7,708 | ) | (6,789 | ) | (22,486 | ) | (20,243 | ) | ||||||||
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Net Interest Income |
$ | 30,834 | $ | 27,627 | $ | 92,377 | $ | 93,749 | ||||||||
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Other Income/(Loss): |
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Realized gain/(loss) on sale of RMBS, net |
$ | 2,581 | $ | (16,596 | ) | $ | (16,301 | ) | $ | (48,309 | ) | |||||
Gain/(loss) on derivative instruments, net (includes $12,434, $(27,572), ($20,751) and $50,547 of unrealized gains/(losses), net, respectively) |
801 | (21,687 | ) | (63,522 | ) | 55,884 | ||||||||||
Unrealized gain/(loss) on RMBS, net |
(16,971 | ) | 28,143 | 85,266 | (139,727 | ) | ||||||||||
Unrealized gain/(loss) on securitized debt |
67 | (428 | ) | (287 | ) | (413 | ) | |||||||||
Unrealized gain/(loss) on securitized mortgage loans, net |
(650 | ) | 537 | 2,440 | (88 | ) | ||||||||||
Unrealized gain/(loss) on other investment securities |
(101 | ) | 116 | 75 | 116 | |||||||||||
Other, net |
39 | 4 | 14 | 72 | ||||||||||||
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Other Income/(Loss), net |
$ | (14,234 | ) | $ | (9,911 | ) | $ | 7,685 | $ | (132,465 | ) | |||||
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Operating Expenses: |
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General and administrative (includes ($144), ($207), ($1,011) and ($752) of non-cash stock based compensation, respectively) |
$ | (2,925 | ) | $ | (3,089 | ) | $ | (8,941 | ) | $ | (8,374 | ) | ||||
Management fee related party |
(2,800 | ) | (2,941 | ) | (8,360 | ) | (8,651 | ) | ||||||||
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Total Operating Expenses |
$ | (5,725 | ) | $ | (6,030 | ) | $ | (17,301 | ) | $ | (17,025 | ) | ||||
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Net Income/(Loss) |
$ | 10,875 | $ | 11,686 | $ | 82,761 | $ | (55,741 | ) | |||||||
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Preferred Stock Dividends Declared |
$ | (3,450 | ) | $ | (3,450 | ) | $ | (10,350 | ) | $ | (10,350 | ) | ||||
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Net Income/(Loss) Allocable to Common Stock and Participating Securities |
$ | 7,425 | $ | 8,236 | $ | 72,411 | $ | (66,091 | ) | |||||||
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Earnings/(Loss) per Common Share Basic and Diluted |
$ | 0.23 | $ | 0.25 | $ | 2.25 | $ | (2.22 | ) | |||||||
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Dividends Declared per Share of Common Stock |
$ | 0.44 | $ | 0.40 | $ | 1.26 | $ | 1.80 | ||||||||
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7
Reconciliations of Non-GAAP Financial Measures
Included in this press release are disclosures about the Companys operating earnings, operating earnings per share of common stock, effective levered asset yield and effective net interest rate spread which measures constitute non-GAAP financial measures within the meaning of Regulation G promulgated by the Securities and Exchange Commission. The Company believes that the non-GAAP financial measures presented, when considered together with GAAP financial measures, provide information that is useful to investors in understanding the Companys operating results. An analysis of any non-GAAP financial measures should be made in conjunction with results presented in accordance with GAAP.
Operating earnings and operating earnings per share of common stock presented exclude, as applicable: (i) certain realized and unrealized gains and losses recognized through earnings; (ii) non-cash equity compensation; (iii) one-time events pursuant to changes in GAAP; and (iv) certain other non-cash charges. Operating earnings is a non-GAAP financial measure that is used by the Manager to assess the Companys business results.
While the Company has not elected hedge accounting under GAAP for its Swaps, such derivative instruments are viewed by the Company as an economic hedge against increases in future market interest rates. To present for investors how the Company views its Swaps, the Company provides the effective cost of funds which is comprised of GAAP interest expense plus the interest expense component for Swaps. The interest expense component of the Companys Swaps reflects the net interest payments made or accrued on its Swaps. The Company believes that the presentation of effective cost of funds is useful for investors as it presents the Companys borrowing costs as viewed by management.
The Company believes that the non-GAAP measures presented provide investors and other readers of this press release with meaningful information to assess the performance of the Companys ongoing business and believes it is useful supplemental information for both management and investors in evaluating the Companys financial results. The primary limitation associated with operating earnings as a measure of the Companys financial performance over any period is that such measure excludes, except for the net interest component of Swaps, the effects of net realized and unrealized gains and losses from investments and realized and unrealized gains and losses from derivative instruments. In addition, the Companys presentation of operating earnings may not be comparable to similarly-titled measures of other companies, who may use different definitions or calculations for such term. As a result, operating earnings should not be considered as a substitute for GAAP net income as a measure of the Companys financial performance or the Companys liquidity under GAAP.
8
A reconciliation of the GAAP items discussed above to their non-GAAP measures for the three and nine month periods ended September 30, 2014 and the three and nine month periods ended September 30, 2013, are presented in the tables below.
(Table 7)
The following table reconciles net income allocable to common stockholders with operating earnings for the three months ended September 30, 2014 and September 30, 2013, respectively:
Three months ended September 30, 2014 |
Three months ended September 30, 2013 |
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($ amounts in thousands except share and per share data) | Per Share(1) | Per Share(1) | ||||||||||||||
Net income allocable to common stockholders |
$ | 7,344 | $ | 0.23 | $ | 8,158 | $ | 0.25 | ||||||||
Adjustments: |
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Non-cash stock-based compensation expense |
144 | | 207 | 0.01 | ||||||||||||
Unrealized (gain)/loss on RMBS, net |
16,971 | 0.53 | (28,143 | ) | (0.88 | ) | ||||||||||
Unrealized (gain)/loss on derivatives, net |
(12,434 | ) | (0.39 | ) | 27,572 | 0.86 | ||||||||||
Unrealized (gain)/loss on securitized mortgage loans, net |
650 | 0.02 | (537 | ) | (0.02 | ) | ||||||||||
Unrealized (gain)/loss on securitized debt |
(67 | ) | | 428 | 0.01 | |||||||||||
Unrealized (gain)/loss on other investment securities |
101 | | (116 | ) | | |||||||||||
Realized (gain)/loss on sale of RMBS, net |
(2,581 | ) | (0.08 | ) | 16,596 | 0.52 | ||||||||||
Realized (gain) on Short TBA Contracts, net |
| | (281 | ) | (0.01 | ) | ||||||||||
Realized (gain)/loss on Swap/Swaption terminations and expirations, net |
6,505 | 0.20 | (12,498 | ) | (0.38 | ) | ||||||||||
Tax amortization of (loss) on Swaption terminations and expirations, net |
(250 | ) | | | | |||||||||||
Other, net |
(11 | ) | | | | |||||||||||
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Total adjustments to arrive at operating earnings: |
$ | 9,028 | $ | 0.28 | $ | 3,228 | $ | 0.11 | ||||||||
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Operating earnings |
$ | 16,372 | $ | 0.51 | $ | 11,386 | $ | 0.36 | ||||||||
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Weighted average shares of common stock |
32,035,376 | 31,999,792 | ||||||||||||||
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(1) | Reflects basic per share impact of each component presented. |
9
(Table 8)
The following table reconciles net income allocable to common stockholders with operating earnings for the nine months ended September 30, 2014 and September 30, 2013, respectively:
Nine months ended September 30, 2014 |
Nine months ended September 30, 2013 |
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($ amounts in thousands except share and per share data) | Per Share(1) | Per Share(1) | ||||||||||||||
Net income/(loss) allocable to common stockholders |
$ | 71,960 | $ | 2.25 | $ | (66,442 | ) | $ | (2.22 | ) | ||||||
Adjustments: |
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Non-cash stock-based compensation expense |
1,011 | 0.03 | 752 | 0.03 | ||||||||||||
Unrealized (gain)/loss on RMBS, net |
(85,266 | ) | (2.66 | ) | 139,727 | 4.67 | ||||||||||
Unrealized (gain)/loss on derivatives, net |
20,751 | 0.65 | (50,547 | ) | (1.69 | ) | ||||||||||
Unrealized (gain)/loss on securitized mortgage loans, net |
(2,440 | ) | (0.08 | ) | 88 | | ||||||||||
Unrealized (gain)/loss on securitized debt |
287 | 0.01 | 413 | 0.01 | ||||||||||||
Unrealized (gain) on other investment securities |
(75 | ) | | (116 | ) | | ||||||||||
Realized loss on sale of RMBS, net |
16,301 | 0.51 | 48,309 | 1.61 | ||||||||||||
Realized (gain)/loss on Short TBA Contracts |
7,156 | 0.22 | (281 | ) | (0.01 | ) | ||||||||||
Realized (gain)/loss on Swaps/Swaption terminations and expirations, net |
20,617 | 0.64 | (22,526 | ) | (0.75 | ) | ||||||||||
Tax amortization of gain/(loss) on Swaption terminations and expirations, net |
(342 | ) | (0.01 | ) | | | ||||||||||
Other, net |
52 | | | | ||||||||||||
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Total adjustments to arrive at operating earnings: |
$ | (21,948 | ) | $ | (0.69 | ) | $ | 115,819 | $ | 3.87 | ||||||
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Operating earnings |
$ | 50,012 | $ | 1.56 | $ | 49,377 | $ | 1.65 | ||||||||
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Weighted average shares of common stock |
32,023,617 | 29,916,932 | ||||||||||||||
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(1) | Reflects basic per share impact of each component presented. |
(Table 9)
The following table details Effective Net Interest Spread and Effective Levered Asset Yield at September 30, 2014:
Agency RMBS | Non-Agency RMBS and Other Credit Investments |
Securitized Mortgage Loans |
Weighted Average |
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Asset Yield |
3.0 | % | 6.1 | % | 7.8 | % | 4.3 | % | ||||||||
Interest Expense |
0.3 | % | 2.0 | % | 3.0 | % | 1.0 | % | ||||||||
Cost of Swaps |
1.0 | % | | 1.9 | % | 0.7 | % | |||||||||
Effective Net Interest Spread |
1.7 | % | 4.1 | % | 2.9 | % | 2.7 | % | ||||||||
Debt/Equity |
7.1 | x | 2.7 | x | 1.5 | x | 3.9 | x | ||||||||
Effective Levered Asset Yield |
14.9 | % | 17.4 | % | 12.2 | % | 15.0 | % |
10