SECOND QUARTER 2014 FINANCIAL HIGHLIGHTS
|Q1 2014||Q2 2014|
Summary of Operating Results
|GAAP Income, per diluted common share (6)||$||0.98||$||1.33|
|Core Earnings, per diluted common share (6)||$||0.62||$||0.60|
* For a reconciliation of GAAP Income to Core Earnings, please refer to the Reconciliation of Core Earnings at the end of this press release.
“We are pleased with MITT’s performance and the investment opportunities during the second quarter,” commented
“MITT produced another solid quarter for our shareholders,” commented
KEY STATISTICS (2)
Weighted Average for the
Investment portfolio (2)(4)
Leverage ratio (7)
Hedge ratio - Total repo (8)
Hedge ratio - Agency repo (8)
Yield on investment portfolio (9)
Cost of funds (10)
Net interest margin (3)
Management fees (11)
Other operating expenses (12)
Book value, per share (1)
Undistribted taxable income, per common share (13)
|Dividend, per share||$||0.60|
The following summarizes the Company’s investment portfolio as of
|Amortized Cost||Fair Value|
|15-Year Fixed Rate||$||261,447||$|
|20-Year Fixed Rate||135,691||6,679||142,370||143,618||2.8||%|
|30-Year Fixed Rate||1,037,961||56,198||1,094,159||1,101,770||3.2||%|
|Fixed Rate CMO||94,181||966||95,147||95,475||2.9||%|
|Inverse Interest Only||408,803||(330,265||)||78,538||77,229||8.3||%|
|Excess Mortgage Servicing Rights||94,317||(93,587||)||730||730||6.1||%|
The Company had net realized losses of
Premiums and discounts associated with purchases of the Company's securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded a
FINANCING AND HEDGING ACTIVITIES
The Company has entered into repurchase agreements with 33 counterparties, under which we had debt outstanding with 21 counterparties as of
|($ in thousands)|
|Repo Outstanding||WA Funding Cost|
WA Days to
|30 Days or Less||$||1,892,752||0.82||%||17.4||60.4||%|
|Greater than 90 Days||531,683||1.76||%||384.0||17.0||%|
|Total / Weighted Average||$||3,134,087||0.93||%||88.1||100.0||%|
*Our weighted average original days to maturity is 120 days.
We have entered into interest rate swap agreements to hedge our portfolio. The Company’s swaps as of
|($ in thousands)|
The Company also utilizes short positions in U.S. Treasury securities, interest rate swaptions and IO Index derivatives to mitigate exposure to increases in interest rates. As of
The primary differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of certain terminated derivatives and (v) taxes. As of
The Company invites stockholders, prospective stockholders and analysts to attend MITT’s second quarter earnings conference call on
A presentation will accompany the conference call and will be available on the Company’s website at www.agmit.com. Select the Q2 2014 Earnings Presentation link to download and print the presentation in advance of the stockholder call.
An audio replay of the stockholder call combined with the presentation will be made available on our website after the call. The replay will be available until midnight on
For further information or questions, please email email@example.com.
Additional information can be found on the Company's website at www.agmit.com.
ABOUT ANGELO, GORDON & CO.
Angelo, Gordon & Co. was founded in 1988 and has approximately
FORWARD LOOKING STATEMENTS
This press release includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 related to future dividends, the credit component of our portfolio book value, deploying capital, the preferred stock offering and repurchase agreements. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability and terms of financing, changes in the market value of our assets, general economic conditions, market conditions, conditions in the market for Agency RMBS, Non-Agency RMBS, ABS and CMBS securities and loans, and legislative and regulatory changes that could adversely affect the business of the Company. Additional information concerning these and other risk factors are contained in the Company's filings with the
|Consolidated Balance Sheets|
|Real estate securities, at fair value:|
Agency - ||$||2,202,165,778||$||2,423,002,768|
Non-Agency - ||1,203,480,872||844,217,568|
ABS - ||43,095,198||71,344,784|
CMBS - ||76,604,761||93,251,470|
Residential mortgage loans, at fair value - ||34,841,048||-|
|Commercial loans, at fair value||72,800,000||-|
|Investment in affiliates||9,232,541||16,411,314|
|Excess mortgage servicing rights, at fair value||730,146||-|
|Linked transactions, net, at fair value||33,355,968||49,501,897|
|Cash and cash equivalents||11,203,229||86,190,011|
Receivable on unsettled trades - ||5,188,733||-|
|Receivable under reverse repurchase agreements||44,050,000||27,475,000|
|Derivative assets, at fair value||20,046,840||55,060,075|
|Due from broker||2,165,075||1,410,720|
|Obligation to return securities borrowed under reverse repurchase agreements, at fair value||43,497,266||27,477,188|
|Derivative liabilities, at fair value||8,166,941||2,206,289|
|Due to affiliates||4,362,027||4,645,297|
|Due to broker||9,814,000||30,567,000|
Preferred stock - |
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000
shares issued and outstanding (||49,920,772||49,920,772|
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000
shares issued and outstanding (||111,293,233||111,293,233|
Common stock, par value ||283,774||283,657|
|Additional paid-in capital||585,858,424||585,619,488|
|Retained earnings (deficit)||(11,121,592||)||(42,686,416||)|
|Total Stockholders' Equity||736,234,611||704,430,734|
|Total Liabilities & Stockholders' Equity||$||3,800,159,361||$||3,684,706,374|
|Consolidated Statements of Operations|
|Three Months Ended||Three Months Ended|
|Net Interest Income|
|Net realized loss||(1,826,360||)||(76,576,762||)|
|Income/(loss) from linked transactions, net||3,409,366||(1,339,610||)|
|Realized loss on periodic interest settlements of interest rate swaps, net||(5,773,644||)||(6,809,777||)|
|Unrealized gain/(loss) on real estate securities and loans, net||42,653,828||(83,093,338||)|
|Unrealized gain/(loss) on derivative and other instruments, net||(23,917,820||)||67,905,018|
|Management fee to affiliate||2,507,487||2,813,003|
|Other operating expenses||2,739,225||2,686,584|
|Equity based compensation to affiliate||73,586||17,350|
|Income/(loss) before provision for income taxes and equity in earnings/(loss) from affiliate||37,983,022||(70,971,729||)|
|Provision for income taxes||(92,795||)||(23,510||)|
|Equity in earnings/(loss) from affiliate||3,275,056||(240,050||)|
|Dividends on preferred stock||3,367,354||3,367,354|
|Net Income/(Loss) Available to Common Stockholders||$||37,797,929||$||(74,602,643||)|
|Earnings/(Loss) Per Share of Common Stock|
|Weighted Average Number of Shares of Common Stock Outstanding|
NON-GAAP FINANCIAL MEASURE
This press release contains Core Earnings, a non-GAAP financial measure.
Core Earnings are defined by the Company as net income excluding both realized and unrealized gains/(losses) on the sale or termination of securities and the related tax or disposition expense, if any, on such, including securities underlying linked transactions, investments held in affiliated entities and derivatives. As defined, Core Earnings include the net interest earned on these transactions, including credit derivatives, linked transactions, investments in affiliates, inverse Agency securities, interest rate derivatives or any other investment activity that may earn net interest. One of the objectives of the Company is to generate net income from net interest margin on the portfolio and management uses Core Earnings to measure this objective.
A reconciliation of GAAP net income to Core Earnings for the three months ended
|($ in thousands)|
|Three Months Ended||Three Months Ended|
|Net Income available to common stockholders||$||37,798||$||(74,603||)|
|Net realized loss||1,826||76,577|
|Tax provision related to realized gain||93||13|
|Income/(loss) from linked transactions, net||(3,409||)||1,340|
|Net interest income on linked transactions||1,917||4,334|
|Equity in earnings/(loss) from affiliate||(3,275||)||240|
|Net interest income from equity method investments||502||231|
Unrealized gain/(loss) on real estate securities and loans, net
Unrealized gain/(loss) on derivative and other instruments, net
|Core Earnings, per Diluted Share||$||0.60||$||0.83|
(1) Per share figures are calculated using a denominator of all outstanding common shares including all shares granted to our Manager and our independent directors under our equity incentive plans as of quarter end. Net book value uses stockholders’ equity less net proceeds of the Company’s 8.25% Series A and 8.00% Series B Cumulative Redeemable Preferred Stock as the numerator.
(2) Generally when we purchase a security and finance it with a repurchase agreement, the security is included in our assets and the repurchase agreement is separately reflected in our liabilities on our balance sheet. For securities with certain characteristics (including those which are not readily obtainable in the market place) that are purchased and then simultaneously sold back to the seller under a repurchase agreement, US GAAP requires these transactions be netted together and recorded as a forward purchase commitment. Throughout this press release where we disclose our investment portfolio and the repurchase agreements that finance it, including our leverage metrics, we have un-linked the transaction and used the gross presentation as used for all other securities. Additionally we invested in certain credit sensitive commercial real estate assets through an affiliated entity, for which we have used the equity method of accounting. Throughout this press release where we disclose our investment portfolio, we have presented the underlying assets consistently with all other investments. This presentation is consistent with how the Company’s management evaluates the business, and believes provides the most accurate depiction of the Company’s investment portfolio and financial condition.
(3) Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for the Company’s investment portfolio, which excludes cash held by the Company. See footnotes (9) and (10) for further detail.
(4) The total investment portfolio is calculated by summing the fair market value of our Agency RMBS, Non-Agency RMBS, ABS, CMBS, mortgage loan assets, and excess mortgage servicing rights, including linked transactions and assets owned through investments in affiliates. The percentage of Agency RMBS and credit investments is calculated by dividing the respective fair market value of each, including linked transactions and assets owned through investments in affiliates, by the total investment portfolio.
(5) This represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.
(6) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP.
(7) The leverage ratio during the quarter was calculated by dividing our daily weighted average repurchase agreements, including those included in linked transactions, for the quarter by the weighted average stockholders’ equity for the quarter. The leverage ratio at quarter end was calculated by dividing total repurchase agreements, including repurchase agreements accounted for as linked transactions, plus or minus the net payable or receivable, as applicable, on unsettled trades on our GAAP balance sheet by our GAAP stockholders’ equity at quarter end.
(8) The hedge ratio during the quarter was calculated by dividing our daily weighted average swap notionals, net short positions in U.S. Treasury securities, IO Index notionals, and interest rate swaptions, including receive fixed swap notionals, and short positions in U.S. Treasury securities as negative values, as applicable, for the period by either our daily weighted average total repurchase agreements or daily weighted average repurchase agreements secured by Agency RMBS, as indicated. The hedge ratio at quarter end was calculated by dividing the notional value of our interest rate swaps, net short positions in U.S. Treasury securities, IO Index notionals, and interest rate swaptions, including receive fixed swap notionals, and short positions in U.S. Treasury securities as negative values, as applicable, by either total repurchase agreements or repurchase agreements secured by Agency RMBS, as indicated, plus the net payable/receivable on either all unsettled trades, or unsettled Agency RMBS trades, as indicated.
(9) The yield on our investment portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter end. The yield on our investment portfolio during the quarter was calculated by annualizing interest income for the quarter and dividing by our daily weighted average securities held. This calculation excludes cash held by the Company.
(10) The cost of funds during the quarter was calculated by annualizing the sum of our interest expense and our net pay rate of our interest rate swaps, and dividing by our daily weighted average repurchase agreements for the period. The cost of funds at quarter end was calculated as the sum of the weighted average funding costs on the repurchase agreements outstanding at quarter end and the weighted average net pay rate on our interest rate swaps. Both elements of the cost of funds at quarter end were weighted by the repurchase agreements outstanding at quarter end.
(11) The management fee percentage during the quarter was calculated by annualizing the management fees recorded during the quarter and dividing by the weighted average stockholders’ equity for the quarter. The management fee percentage at quarter end was calculated by annualizing management fees recorded during the quarter and dividing by quarter end stockholders’ equity.
(12) The other operating expenses percentage during the quarter was calculated by annualizing the other operating expenses recorded during the quarter and dividing by our weighted average stockholders’ equity for the quarter. The other operating expenses percentage at quarter end was calculated by annualizing other operating expenses recorded during the quarter and dividing by quarter end stockholders’ equity.
(13) Undistributed taxable income per common share represents total undistributed taxable income as of quarter end.
(14) The economic return on equity for the quarter represents the increase in net book value per share from prior quarter, plus the dividend declared in the current quarter, divided by prior quarter’s net book value per share.