OLD GREENWICH, Conn.,
Nov. 1, 2016 /PRNewswire/ --
Ellington Residential Mortgage REIT (NYSE: EARN) today reported
financial results for the quarter ended September 30,
2016.
Summary of Financial Results
- Net income for the quarter was $6.6
million, or $0.73 per share,
as compared to $3.5 million, or
$0.38 per share, in the second
quarter.
- Core Earnings1 for the quarter was $2.9 million, or $0.32 per share, unchanged from the second
quarter. Excluding "Catch-up Premium Amortization Adjustment," Core
Earnings for the third quarter was $4.4
million, or $0.48 per share,
also unchanged from the second quarter.
- Book value increased to $15.70
per share as of September 30, 2016
from $15.38 per share as of
June 30, 2016, after giving effect to
a third quarter dividend of $0.40 per
share.
- Net interest margin was 1.30%, as compared to 1.28% for the
second quarter. Excluding Catch-up Premium Amortization Adjustment,
net interest margin was 1.77% for the third quarter of 2016 as
compared to 1.76% for the second quarter.
- Weighted average prepayment speed for the fixed rate Agency
specified pool portfolio was 12.7% CPR for the quarter, compared to
10.1% in the second quarter.
- Dividend yield of 12.7% based on October
31, 2016 closing stock price of $12.58.
- Debt-to-equity ratio was 8.1:1 as of September 30, 2016, as compared to 8.6:1 as of
June 30, 2016. Adjusted for unsettled
purchases and sales, the debt-to-equity ratio was 8.2:1 and 8.1:1
as of September 30, 2016 and
June 30, 2016, respectively.
Third Quarter 2016 Results
"Ellington Residential had a strong third quarter, with net
income of $0.73 per share and Core
Earnings excluding Catch-up Premium Amortization Adjustment of
$0.48 per share," said Laurence Penn, Chief Executive Officer and
President. "Quarter-over-quarter, our book value per share
increased 2.1% to $15.70. Our Agency
RMBS portfolio performed particularly well, as the combination of
relatively low interest rate volatility and continued strong
investor demand for high quality liquid assets helped control
hedging costs and boost asset valuations. In the overall Agency
RMBS market, prepayment speeds rose significantly during the third
quarter in response to sustained low mortgage rates. However, our
Agency portfolio, which is concentrated in investments in specified
pools with inherent prepayment protection characteristics, had a
much lower quarter-over-quarter increase in prepayment speeds.
Despite the higher prepayment speeds and heightened prepayment
risk, yield spreads in most Agency mortgage sectors have not
widened. This makes careful asset selection and hedging strategies
even more important. We believe that our research-driven modeling
and analytics provide us with a significant advantage in selecting
assets and navigating difficult markets. Through active trading, we
captured net realized gains during the quarter in both our Agency
and non-Agency RMBS portfolios.
Given our caution on overall Agency mortgage spreads, we
maintained a relatively high level of TBA hedges relative to our
overall interest rate hedges. Our TBA hedges help protect us not
only from a potential re-widening in mortgage spreads, but also
from a potential market-wide increase in prepayment speeds. Similar
to our asset portfolio, we actively manage our interest rate
hedging portfolio in response to evolving market conditions."
As of September 30, 2016, our mortgage-backed securities
portfolio consisted of $1.112 billion
of fixed rate Agency "specified pools," $32.3 million of Agency RMBS backed by adjustable
rate mortgages, or "Agency ARMs," $63.7
million of Agency reverse mortgage pools, $6.8 million of Agency interest only securities,
or "Agency IOs," and $17.9 million of
non-Agency RMBS. Specified pools are fixed rate Agency pools with
special characteristics, such as pools comprised of low loan
balance mortgages, pools comprised of mortgages backed by investor
properties, pools containing mortgages originated through the
government-sponsored "Making Homes Affordable" refinancing
programs, and pools containing mortgages with various other
characteristics. During the third quarter, we modestly increased
our holdings of fixed rate pools, and we slightly decreased our
investments in reverse mortgage and floating rate pools. We also
slightly decreased our non-Agency RMBS holdings, as we sold certain
assets over the course of the quarter. Overall, the size of our
RMBS portfolio was roughly unchanged at $1.233 billion as of September 30, 2016, as
compared to $1.229 billion as of
June 30, 2016. In addition, separate and apart from the short
TBA portfolio that we hold for hedging purposes, we held
$60.9 million in notional amount of
long TBA positions for investment purposes at September 30,
2016, as compared to $63.8 million at
June 30, 2016. For financial reporting purposes, TBAs are
considered derivative instruments.
1 Core Earnings is a non-GAAP financial measure. See
"Reconciliation of Core Earnings to Net Income (Loss)" below for an
explanation regarding the calculation of Core Earnings.
Market Overview
During the third quarter, U.S. interest rates trended somewhat
higher and many measures of implied volatility reached multi-year
lows. The large and frequent swings in interest rates that
characterized the early part of 2016 were comparatively absent in
the third quarter. Bias toward accommodative monetary policy by
global central banks, in response to continued sluggish growth,
contributed to the lower volatility and increased investor appetite
for risk-taking. Negative yields persisted throughout the quarter
for many high quality sovereign bonds maintaining the global
shortage of high quality, positive-yielding liquid fixed income
investments. As a result, the higher yields and favorable liquidity
offered by Agency RMBS continued to fuel demand from investors,
especially those in search of high credit quality assets. This
demand helped support Agency RMBS prices despite rising interest
rates and increasing prepayment speeds. Many credit sensitive U.S.
fixed income sectors, including non-Agency RMBS and high-yield
corporate bonds, also performed well in the quarter, driven by
investor demand for yield.
Since its December 2015 initial
increase in the target range for the federal funds rate, which
followed a long period of monetary policy easing actions, the
Federal Reserve has not announced any additional interest rate
increases. Concerns around a global economic slowdown, as well as
mixed data regarding the state of the U.S. economy, have led the
Federal Reserve to delay the timing and expected pace of increases
in the target range. However, as market developments occur,
speculation about when the Federal Reserve will resume its plan to
increase rates continues to be a significant factor in the
direction of interest rates.
The yield curve continued to flatten over the course of the
third quarter, although less dramatically than it had in the second
quarter. The 10-year U.S. Treasury yield increased 12 basis points
to 1.59%, while the 2-year U.S. Treasury yield increased 18 basis
points to 0.76%. Despite the rise in interest rates, the drop in
interest rate volatility helped keep mortgage rates low over the
course of the quarter; the Freddie Mac survey 30-year mortgage rate
actually declined 6 basis points over the course of the quarter,
and fell as low as 3.41% on July 7th,
its lowest level since May 2013. In
response, the Mortgage Bankers Association Refinance Index, which
tracks the volume of mortgage loan refinancing applications,
reached a one-year high on July 8,
2016.
Agency RMBS
Bolstered by high demand from both domestic and overseas
investors, prices of 30-year fixed rate Agency RMBS increased over
the course of the third quarter, even while interest rates rose
slightly and overall prepayment rates increased. Overall prepayment
rates reached their highest levels since 2012, and exceeded most
sell-side estimates. Newer mortgages originated by non-bank lenders
have been prepaying at a particularly fast pace. Strong borrower
credit, high mortgage loan balances, and enhanced
originator/servicer technology and infrastructure each played a
role in the increased prepayment speeds.
Although specified pools with prepayment protection features
also experienced a quarter-over-quarter increase in overall
prepayment speeds, this increase was significantly less than that
of generic pools, and accounted for the relative outperformance of
specified pools relative to generic pools during the quarter.
Specified pools include loans with low principal balances, for
example. Such loans continue to show much more muted prepayment
responses to lower mortgage rates. Our Agency RMBS portfolio, which
remains concentrated in specified pools, was well insulated from
the large increase in generic pool prepayment rates during the
quarter. We believe that specified pools will continue to
outperform generic pools as the presence of the Federal Reserve
(which focuses its purchases on generic pools) shrinks in the
Agency RMBS market and as newer vintage Agency RMBS prepayment
speeds remain high. In the current climate of elevated prepayment
speeds, relative pricing among the many sectors of the Agency RMBS
market, including both the generic "TBA" sectors and the many
sub-sectors of the specified pool market, is often highly
inefficient, and so careful asset selection remains of paramount
importance.
For the quarter ended September 30,
2016, we had total net realized and unrealized gains of
$2.6 million, or $0.29 per share, on our aggregate Agency RMBS
portfolio, while we had total net realized and unrealized losses of
$(0.4) million, or $(0.04) per share, on our interest rate hedging
portfolio, including U.S. Treasury securities. Average pay-ups on
our specified pools increased to 1.07% as of September 30, 2016, from 1.03% as of June 30, 2016. Pay-ups are price premiums for
specified pools relative to their TBA counterparts.
During the third quarter, we continued to use short positions in
TBAs to hedge interest rate risk. TBAs underperformed specified
pools during the quarter as more investors sought pools with
prepayment protection. Because we held a net short position in TBAs
against our long position in specified pools, this underperformance
of TBAs relative to specified pools benefited our results for the
quarter. To the extent that prepayment rates remain elevated, we
believe that the underperformance of generic pools relative to
specified pools will persist.
We actively traded our Agency RMBS portfolio during the quarter
in order to capitalize both on sector rotation opportunities and
trading opportunities. Our portfolio turnover for the quarter was
24% (as measured by sales and excluding paydowns), and we captured
net realized gains of $2.7 million,
excluding hedges.
During the third quarter, we continued to focus our Agency RMBS
purchasing activity primarily on specified pools, especially those
with higher coupons. As of September 30,
2016, the weighted average coupon on our fixed rate
specified pools was 3.9% as compared to 4.0% for June 30, 2016. As of September 30, 2016, the size of our Agency RMBS
portfolio was relatively unchanged as compared to June 30, 2016. Our Agency RMBS portfolio
continues to include a small allocation to Agency IOs. We also
pared back our holdings of reverse mortgage pools, following their
significant spread tightening throughout the quarter. We continue
to view reverse mortgage pools (and derivatives thereon) as an
attractive and inefficiently priced asset class. Overall, we
believe that there remains a heightened risk of substantial
interest rate and mortgage prepayment volatility in the near term,
thus reinforcing the importance of our ability to hedge our Agency
RMBS portfolio using a variety of tools, including TBAs.
We expect to continue to target specified pools that, taking
into account their particular composition and based on our
prepayment projections: (1) should generate attractive yields
relative to other Agency RMBS and U.S. Treasury securities,
(2) should have less prepayment sensitivity to government
policy shocks, and/or (3) should create opportunities for
trading gains once the market recognizes their value, which for
newer pools may come only after several months, when actual
prepayment experience can be observed. We believe that our research
team, proprietary prepayment models, and extensive databases remain
essential tools in our implementation of this strategy.
Our net Agency premium as a percentage of our long Agency RMBS
holdings is one metric that we use to measure our overall
prepayment risk. Net Agency premium represents the total premium
(excess of market value over outstanding principal balance) on long
Agency RMBS holdings less the total premium on related net short
TBA positions. The lower our net Agency premium, the less we
believe we are exposed to market-wide increases in Agency RMBS
prepayments. As of September 30, 2016, our net Agency premium
as a percentage of fair value on long Agency RMBS holdings was
approximately 5.1% as compared to 5.2%, as of June 30, 2016.
Excluding TBA positions used to hedge our long Agency RMBS
portfolio, our Agency premium as a percentage of fair value was
approximately 7.8% and 7.7% as of September 30, 2016 and
June 30, 2016, respectively. Our Agency premium percentage and
net Agency premium percentage may fluctuate from period to period
based on a variety of factors, including market factors such as
interest rates and mortgage rates, and, in the case of our net
Agency premium percentage, based on the degree to which we hedge
prepayment risk with short TBAs. We believe that our focus on
purchasing pools with specific prepayment characteristics provides
a measure of protection against prepayments.
We believe that our adaptive and active style of portfolio
management is well suited to the current MBS market environment,
which continues to be shaped by heightened prepayment risk,
shifting central bank policies, regulatory changes, and developing
technologies.
Non-Agency RMBS
Non-Agency RMBS performed well during the third quarter. As the
case has been for some time, the fundamentals underlying non-Agency
RMBS, led by a stable housing market, continue to be strong. Our
non-Agency portfolio benefited from strong yields, appreciation
from our held positions, and net realized gains from positions
sold. On a quarter-over-quarter basis, our non-Agency RMBS
portfolio declined in size. As of September 30, 2016, our
investment in non-Agency RMBS was $17.9
million as compared to $22.8
million as of June 30, 2016. To the extent that more
attractive entry points develop in non-Agency RMBS, we may increase
our capital allocation to this sector.
Financial Results
For the quarter ended September 30, 2016, the weighted
average yield of our portfolio of Agency and non-Agency RMBS was
2.31%, while our average cost of funds including interest rate
swaps and U.S. Treasuries was 1.01%, resulting in a net interest
margin for the quarter of 1.30%. In comparison, for the quarter
ended June 30, 2016, the annualized weighted average yield of
our Agency and non-Agency RMBS was 2.45%, while our average cost of
funds including interest rate swaps and U.S. Treasuries was 1.17%,
resulting in a net interest margin of 1.28%. Some of the
variability in our interest income, portfolio yields, and net
interest margin is due to quarterly adjustments to premium
amortization triggered by changes in actual and projected
prepayments on our Agency RMBS (accompanied by a corresponding
offsetting adjustment to realized and unrealized gains and losses).
We refer to this quarterly adjustment as a "Catch-up Premium
Amortization Adjustment." The adjustment is calculated as of the
beginning of each quarter based on our then assumptions about
cashflows and prepayments, and can vary significantly from quarter
to quarter. For the third quarter, we had a negative Catch-up
Premium Amortization Adjustment of approximately $1.4 million, which decreased our net interest
income. Excluding the Catch-up Premium Amortization Adjustment, the
weighted average yield of our portfolio was 2.78% for the third
quarter, and our net interest margin was 1.77%. By comparison, for
the second quarter the Catch-up Premium Amortization Adjustment
decreased interest income by approximately $1.5 million. Excluding this Catch-up Premium
Amortization Adjustment, the weighted average yield on our
portfolio for the second quarter would have been 2.93% and our net
interest margin would have been 1.76%.
On a quarter-over-quarter basis our annualized cost of funds,
including the cost of repo, interest rate swaps and short positions
in U.S. Treasury securities, decreased to 1.01% from 1.17%. This
quarter-over-quarter net decrease was primarily the result of a
decline in our cost of swaps, which fell for two main reasons.
First, our swaps, which consist primarily of fixed payer interest
rate swaps, benefited from the increase in LIBOR over the course of
the third quarter. Under our fixed payer interest rate swaps, we
make fixed payments but in return we receive floating payments
based on LIBOR. As LIBOR increased, our net swap payments
decreased. Second, we slightly reduced our net interest rate swap
hedge in favor of a slightly larger TBA hedge. Our cost of repo was
effectively unchanged at 0.71% for the third quarter, as compared
to 0.70% for the second quarter. The relative make up of our
interest rate hedging portfolio can change materially from quarter
to quarter.
During the third quarter, higher short-term interest rates
lowered the cost of our interest rate swap hedges, but for
technical reasons the higher rates did not lead to materially
higher Agency RMBS repo borrowing costs. As a result of changes in
money market fund regulations, there has been a significant
investor shift away from "prime" money market funds, which under
the new regulations are now susceptible to daily changes in their
share prices, and into "government" money market funds. Because
government money market funds are among the biggest providers of
Agency RMBS repo, the increased assets of these funds has resulted
in an increase in the supply of Agency RMBS repo financing, thereby
putting downward pressure on the cost of Agency RMBS repo, and
largely offsetting the increase in short-term interest rates.
After giving effect to a third quarter dividend of $0.40 per share, our book value per share
increased to $15.70 as of
September 30, 2016, from $15.38
as of June 30, 2016, and we had an economic return of 4.7% for
the quarter. Economic return on book value is computed by adding
back dividends to ending book value per share, and comparing that
amount to book value per share as of the beginning of the
quarter.
For the quarter ended September 30, 2016, Core Earnings was
$2.9 million, or $0.32 per share, unchanged from the quarter ended
June 30, 2016. Core Earnings is a non-GAAP financial measure.
See "Reconciliation of Core Earnings to Net Income (Loss)" below
for an explanation regarding the calculation of Core Earnings, and
Core Earnings excluding Catch-up Premium Amortization
Adjustment.
Securities Portfolio
The following table summarizes our portfolio of securities as of
September 30, 2016 and June 30, 2016:
|
September 30,
2016
|
|
June 30,
2016
|
(In
thousands)
|
Current
Principal
|
|
Fair
Value
|
|
Average
Price(1)
|
|
Cost
|
|
Average
Cost(1)
|
|
Current
Principal
|
|
Fair
Value
|
|
Average
Price(1)
|
|
Cost
|
|
Average
Cost(1)
|
Agency
RMBS(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15-year fixed rate
mortgages
|
$
|
134,770
|
|
|
$
|
143,300
|
|
|
$
|
106.33
|
|
|
$
|
141,566
|
|
|
$
|
105.04
|
|
|
$
|
133,590
|
|
|
$
|
142,365
|
|
|
$
|
106.57
|
|
|
$
|
140,303
|
|
|
$
|
105.03
|
|
20-year fixed rate
mortgages
|
10,710
|
|
|
11,660
|
|
|
108.87
|
|
|
11,530
|
|
|
107.66
|
|
|
11,061
|
|
|
12,014
|
|
|
108.62
|
|
|
11,920
|
|
|
107.77
|
|
30-year fixed rate
mortgages
|
881,351
|
|
|
957,420
|
|
|
108.63
|
|
|
940,520
|
|
|
106.71
|
|
|
851,353
|
|
|
924,824
|
|
|
108.63
|
|
|
908,300
|
|
|
106.69
|
|
ARMs
|
30,645
|
|
|
32,341
|
|
|
105.53
|
|
|
32,179
|
|
|
105.01
|
|
|
41,005
|
|
|
43,337
|
|
|
105.69
|
|
|
43,143
|
|
|
105.21
|
|
Reverse
mortgages
|
57,088
|
|
|
63,677
|
|
|
111.54
|
|
|
62,941
|
|
|
110.25
|
|
|
68,858
|
|
|
76,056
|
|
|
110.45
|
|
|
74,869
|
|
|
108.73
|
|
Total Agency
RMBS
|
1,114,564
|
|
|
1,208,398
|
|
|
108.42
|
|
|
1,188,736
|
|
|
106.65
|
|
|
1,105,867
|
|
|
1,198,596
|
|
|
108.39
|
|
|
1,178,535
|
|
|
106.57
|
|
Non-Agency
RMBS
|
23,591
|
|
|
17,896
|
|
|
75.86
|
|
|
16,743
|
|
|
70.97
|
|
|
33,934
|
|
|
22,788
|
|
|
67.15
|
|
|
21,063
|
|
|
62.07
|
|
Total
RMBS(2)
|
1,138,155
|
|
|
1,226,294
|
|
|
107.74
|
|
|
1,205,479
|
|
|
105.92
|
|
|
1,139,801
|
|
|
1,221,384
|
|
|
107.16
|
|
|
1,199,598
|
|
|
105.25
|
|
Agency IOs
|
n/a
|
|
6,840
|
|
|
n/a
|
|
8,730
|
|
|
n/a
|
|
n/a
|
|
7,631
|
|
|
n/a
|
|
9,807
|
|
|
n/a
|
Total mortgage-backed
securities
|
|
|
1,233,134
|
|
|
|
|
1,214,209
|
|
|
|
|
|
|
1,229,015
|
|
|
|
|
1,209,405
|
|
|
|
U.S. Treasury
securities sold short
|
(76,495)
|
|
|
(77,263)
|
|
|
101.00
|
|
|
(76,332)
|
|
|
99.79
|
|
|
(67,105)
|
|
|
(68,528)
|
|
|
102.12
|
|
|
(67,037)
|
|
|
99.90
|
|
Reverse repurchase
agreements
|
77,932
|
|
|
77,932
|
|
|
100.00
|
|
|
77,932
|
|
|
100.00
|
|
|
68,862
|
|
|
68,862
|
|
|
100.00
|
|
|
68,862
|
|
|
100.00
|
|
Total
|
|
|
$
|
1,233,803
|
|
|
|
|
$
|
1,215,809
|
|
|
|
|
|
|
$
|
1,229,349
|
|
|
|
|
$
|
1,211,230
|
|
|
|
|
|
(1)
|
Represents the dollar
amount (not shown in thousands) per $100 of current principal of
the price or cost for the security.
|
(2)
|
Excludes Agency
IOs.
|
Our weighted average holdings of RMBS based on amortized cost
was $1.214 billion and $1.211 billion for the three month periods ended
September 30, 2016 and June 30, 2016, respectively.
Financial Derivatives Portfolio
The following table summarizes fair value of our financial
derivatives as of September 30, 2016 and June 30,
2016:
|
|
September 30,
2016
|
|
June 30,
2016
|
Financial
derivatives–assets, at fair value:
|
|
(In
thousands)
|
TBA securities
purchase contracts
|
|
$
|
142
|
|
|
$
|
353
|
|
TBA securities sale
contracts
|
|
32
|
|
|
22
|
|
Fixed payer interest
rate swaps
|
|
112
|
|
|
—
|
|
Fixed receiver
interest rate swaps
|
|
1,355
|
|
|
1,545
|
|
Total financial
derivatives–assets, at fair value
|
|
1,641
|
|
|
1,920
|
|
Financial
derivatives–liabilities, at fair value:
|
|
|
|
|
TBA securities
purchase contracts
|
|
(3)
|
|
|
(1)
|
|
TBA securities sale
contracts
|
|
(603)
|
|
|
(1,328)
|
|
Fixed payer interest
rate swaps
|
|
(9,275)
|
|
|
(12,039)
|
|
Futures
|
|
(4)
|
|
|
(11)
|
|
Total financial
derivatives–liabilities, at fair value
|
|
(9,885)
|
|
|
(13,379)
|
|
Total
|
|
$
|
(8,244)
|
|
|
$
|
(11,459)
|
|
Interest Rate Swaps
The following tables provide details about our fixed payer
interest rate swaps as of September 30, 2016 and June 30,
2016:
|
|
September 30,
2016
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay
Rate
|
|
Weighted
Average
Receive
Rate
|
|
Weighted
Average
Remaining
Years
to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
26,500
|
|
|
$
|
(43)
|
|
|
0.70
|
%
|
|
0.69
|
%
|
|
0.13
|
2017
|
|
74,750
|
|
|
(283)
|
|
|
1.21
|
|
|
0.78
|
|
|
0.84
|
2018
|
|
65,990
|
|
|
1
|
|
|
0.97
|
|
|
0.72
|
|
|
1.68
|
2019
|
|
4,200
|
|
|
11
|
|
|
0.96
|
|
|
0.79
|
|
|
2.85
|
2020
|
|
79,500
|
|
|
(1,478)
|
|
|
1.48
|
|
|
0.72
|
|
|
3.57
|
2022
|
|
13,044
|
|
|
(451)
|
|
|
1.75
|
|
|
0.75
|
|
|
5.93
|
2023
|
|
42,200
|
|
|
(1,946)
|
|
|
1.90
|
|
|
0.76
|
|
|
6.60
|
2024
|
|
8,900
|
|
|
(494)
|
|
|
1.99
|
|
|
0.65
|
|
|
7.51
|
2025
|
|
15,322
|
|
|
(862)
|
|
|
2.04
|
|
|
0.65
|
|
|
8.38
|
2026
|
|
26,885
|
|
|
(20)
|
|
|
1.46
|
|
|
0.78
|
|
|
9.87
|
2043
|
|
12,380
|
|
|
(3,598)
|
|
|
2.99
|
|
|
0.81
|
|
|
26.63
|
Total
|
|
$
|
369,671
|
|
|
$
|
(9,163)
|
|
|
1.41
|
%
|
|
0.74
|
%
|
|
4.38
|
|
|
June 30,
2016
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay Rate
|
|
Weighted
Average
Receive
Rate
|
|
Weighted
Average
Remaining
Years
to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
48,000
|
|
|
$
|
(71)
|
|
|
0.80
|
%
|
|
0.63
|
%
|
|
0.27
|
2017
|
|
74,750
|
|
|
(646)
|
|
|
1.21
|
|
|
0.63
|
|
|
1.09
|
2018
|
|
65,990
|
|
|
(446)
|
|
|
0.97
|
|
|
0.63
|
|
|
1.93
|
2020
|
|
79,500
|
|
|
(1,924)
|
|
|
1.48
|
|
|
0.63
|
|
|
3.82
|
2022
|
|
13,044
|
|
|
(550)
|
|
|
1.75
|
|
|
0.63
|
|
|
6.19
|
2023
|
|
65,000
|
|
|
(3,511)
|
|
|
1.93
|
|
|
0.63
|
|
|
6.85
|
2024
|
|
8,900
|
|
|
(539)
|
|
|
1.99
|
|
|
0.63
|
|
|
7.76
|
2025
|
|
15,322
|
|
|
(1,058)
|
|
|
2.04
|
|
|
0.64
|
|
|
8.63
|
2043
|
|
12,380
|
|
|
(3,294)
|
|
|
2.99
|
|
|
0.62
|
|
|
26.89
|
Total
|
|
$
|
382,886
|
|
|
$
|
(12,039)
|
|
|
1.42
|
%
|
|
0.63
|
%
|
|
4.14
|
The following tables provide details about our fixed receiver
interest rate swaps as of September 30, 2016 and June 30,
2016:
|
|
September 30,
2016
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay Rate
|
|
Weighted
Average
Receive
Rate
|
|
Weighted
Average
Remaining
Years
to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2025
|
|
$
|
9,700
|
|
|
$
|
1,355
|
|
|
0.68
|
%
|
|
3.00
|
%
|
|
8.79
|
Total
|
|
$
|
9,700
|
|
|
$
|
1,355
|
|
|
0.68
|
%
|
|
3.00
|
%
|
|
8.79
|
|
|
June 30,
2016
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay Rate
|
|
Weighted
Average
Receive
Rate
|
|
Weighted
Average
Remaining
Years
to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2025
|
|
$
|
9,700
|
|
|
$
|
1,545
|
|
|
0.63
|
%
|
|
3.00
|
%
|
|
9.05
|
Total
|
|
$
|
9,700
|
|
|
$
|
1,545
|
|
|
0.63
|
%
|
|
3.00
|
%
|
|
9.05
|
Eurodollar Futures
The following table provides information about our short
positions in Eurodollar futures as of September 30, 2016 and
June 30, 2016:
|
|
September 30,
2016
|
Remaining
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Remaining Months
to
Expiration
|
($ in
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
(3,000)
|
|
|
$
|
—
|
|
|
2.67
|
2017
|
|
(9,000)
|
|
|
(4)
|
|
|
8.66
|
Total
|
|
$
|
(12,000)
|
|
|
$
|
(4)
|
|
|
7.16
|
|
|
June 30,
2016
|
Remaining
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Remaining Months
to
Expiration
|
($ in
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
(6,000)
|
|
|
$
|
(2)
|
|
|
4.22
|
2017
|
|
(9,000)
|
|
|
(9)
|
|
|
11.72
|
Total
|
|
$
|
(15,000)
|
|
|
$
|
(11)
|
|
|
8.72
|
TBAs
The following table provides information about our TBAs as of
September 30, 2016 and June 30, 2016:
|
|
September 30,
2016
|
|
June 30,
2016
|
TBA
Securities
|
|
Notional
Amount
(1)
|
|
Cost
Basis (2)
|
|
Market
Value
(3)
|
|
Net
Carrying
Value
(4)
|
|
Notional
Amount
(1)
|
|
Cost
Basis (2)
|
|
Market
Value
(3)
|
|
Net
Carrying
Value
(4)
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
$
|
56,383
|
|
|
$
|
59,180
|
|
|
$
|
59,322
|
|
|
$
|
142
|
|
|
$
|
61,493
|
|
|
$
|
64,299
|
|
|
$
|
64,652
|
|
|
$
|
353
|
|
Liabilities
|
|
4,510
|
|
|
4,747
|
|
|
4,744
|
|
|
(3)
|
|
|
2,300
|
|
|
2,510
|
|
|
2,509
|
|
|
(1)
|
|
|
|
60,893
|
|
|
63,927
|
|
|
64,066
|
|
|
139
|
|
|
63,793
|
|
|
66,809
|
|
|
67,161
|
|
|
352
|
|
Sale
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
(119,179)
|
|
|
(129,253)
|
|
|
(129,221)
|
|
|
32
|
|
|
(65,849)
|
|
|
(72,025)
|
|
|
(72,003)
|
|
|
22
|
|
Liabilities
|
|
(399,832)
|
|
|
(424,546)
|
|
|
(425,149)
|
|
|
(603)
|
|
|
(427,427)
|
|
|
(454,191)
|
|
|
(455,519)
|
|
|
(1,328)
|
|
|
|
(519,011)
|
|
|
(553,799)
|
|
|
(554,370)
|
|
|
(571)
|
|
|
(493,276)
|
|
|
(526,216)
|
|
|
(527,522)
|
|
|
(1,306)
|
|
Total TBA securities,
net
|
|
$
|
(458,118)
|
|
|
$
|
(489,872)
|
|
|
$
|
(490,304)
|
|
|
$
|
(432)
|
|
|
$
|
(429,483)
|
|
|
$
|
(459,407)
|
|
|
$
|
(460,361)
|
|
|
$
|
(954)
|
|
|
|
(1)
|
Notional amount
represents the principal balance of the underlying Agency
RMBS.
|
(2)
|
Cost basis represents
the forward price to be paid for the underlying Agency
RMBS.
|
(3)
|
Market value
represents the current market value of the underlying Agency RMBS
(on a forward delivery basis) as of the respective period
end.
|
(4)
|
Net carrying value
represents the difference between the market value of the TBA
contract as of the respective period end and the cost basis, and is
reported in Financial derivatives-assets, at fair value and
Financial derivatives-liabilities, at fair value on the
Consolidated Balance Sheet, for each respective period
end.
|
We primarily use TBAs to hedge interest rate risk, typically in
the form of short positions. However, from time to time we also
invest in TBAs as a means of acquiring exposure to Agency RMBS, or
for speculative purposes, including holding long positions.
Overall, we typically hold a net short position.
The following tables detail gains and losses on our financial
derivatives for the three month periods ended September 30,
2016 and June 30, 2016:
|
|
Three Month Period
Ended September 30, 2016
|
Derivative
Type
|
|
Net
Realized
Gains (Losses)
on
Periodic
Settlements
of
Interest
Rate
Swaps
|
|
Net
Realized
Gains
(Losses)
Other
Than
Periodic
Settlements
of
Interest
Rate
Swaps
|
|
Net
Realized
Gains
(Losses)
on
Financial
Derivatives
|
|
Change in
Net
Unrealized
Gains
(Losses)
on
Accrued
Periodic
Settlements
of
Interest Rate
Swaps
|
|
Change in
Net
Unrealized
Gains
(Losses)
Other
Than on
Accrued
Periodic
Settlements
of
Interest Rate
Swaps
|
|
Change in
Net
Unrealized
Gains
(Losses)
on
Financial
Derivatives
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
swaps
|
|
$
|
(241)
|
|
|
$
|
(1,089)
|
|
|
$
|
(1,330)
|
|
|
$
|
(385)
|
|
|
$
|
3,071
|
|
|
$
|
2,686
|
|
TBAs
|
|
|
|
(2,591)
|
|
|
(2,591)
|
|
|
|
|
521
|
|
|
521
|
|
Futures
|
|
|
|
1
|
|
|
1
|
|
|
|
|
8
|
|
|
8
|
|
Total
|
|
$
|
(241)
|
|
|
$
|
(3,679)
|
|
|
$
|
(3,920)
|
|
|
$
|
(385)
|
|
|
$
|
3,600
|
|
|
$
|
3,215
|
|
|
|
Three Month Period
Ended June 30, 2016
|
Derivative
Type
|
|
Net
Realized
Gains (Losses)
on
Periodic
Settlements
of
Interest
Rate
Swaps
|
|
Net
Realized
Gains
(Losses)
Other
Than
Periodic
Settlements
of
Interest
Rate
Swaps
|
|
Net
Realized
Gains
(Losses)
on
Financial
Derivatives
|
|
Change in
Net
Unrealized
Gains
(Losses)
on
Accrued
Periodic
Settlements
of
Interest Rate
Swaps
|
|
Change in
Net
Unrealized
Gains
(Losses)
Other
Than on
Accrued
Periodic
Settlements
of
Interest Rate
Swaps
|
|
Change in
Net
Unrealized
Gains
(Losses)
on
Financial
Derivatives
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
swaps
|
|
$
|
(2,508)
|
|
|
$
|
(7,725)
|
|
|
$
|
(10,233)
|
|
|
$
|
1,448
|
|
|
$
|
3,850
|
|
|
$
|
5,298
|
|
TBAs
|
|
|
|
(3,375)
|
|
|
(3,375)
|
|
|
|
|
(162)
|
|
|
(162)
|
|
Futures
|
|
|
|
1
|
|
|
1
|
|
|
|
|
(7)
|
|
|
(7)
|
|
Total
|
|
$
|
(2,508)
|
|
|
$
|
(11,099)
|
|
|
$
|
(13,607)
|
|
|
$
|
1,448
|
|
|
$
|
3,681
|
|
|
$
|
5,129
|
|
Interest Rate Sensitivity
The following table summarizes, as of September 30, 2016,
the estimated effects on the value of our portfolio, both overall
and by category, of immediate downward and upward parallel shifts
of 50 basis points in interest rates.
|
|
Estimated Change
in Fair Value(1)
|
(In
thousands)
|
|
50 Basis Point
Decline
in Interest
Rates
|
|
50 Basis Point
Increase
in Interest
Rates
|
Agency RMBS - ARM
Pools
|
|
$
|
148
|
|
|
$
|
(227)
|
|
Agency RMBS - Fixed
Pools and IOs
|
|
10,816
|
|
|
(18,138)
|
|
TBAs
|
|
(2,792)
|
|
|
6,594
|
|
Non-Agency
RMBS
|
|
209
|
|
|
(206)
|
|
Interest Rate
Swaps
|
|
(7,507)
|
|
|
7,147
|
|
U.S. Treasury
Securities
|
|
(1,940)
|
|
|
1,874
|
|
Eurodollar
Futures
|
|
(15)
|
|
|
15
|
|
Repurchase and
Reverse Repurchase Agreements
|
|
(691)
|
|
|
691
|
|
Total
|
|
$
|
(1,772)
|
|
|
$
|
(2,250)
|
|
|
|
(1)
|
Based on the market
environment as of September 30, 2016. Results are based on
forward-looking models, which are inherently imperfect, and
incorporate various simplifying assumptions. Therefore, the table
above is for illustrative purposes only and actual changes in
interest rates would likely cause changes in the actual value of
the overall portfolio that would differ from those presented above
and such differences might be significant and adverse.
|
Repo Borrowings
The following table details our outstanding borrowings under
repo agreements as of September 30, 2016 and June 30,
2016:
|
|
September 30,
2016
|
|
June 30,
2016
|
|
|
|
|
Weighted
Average
|
|
|
|
Weighted
Average
|
Remaining Days to
Maturity
|
|
Borrowings
Outstanding
|
|
Interest
Rate
|
|
Remaining Days to
Maturity
|
|
Borrowings
Outstanding
|
|
Interest
Rate
|
|
Remaining Days to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
(In
thousands)
|
|
|
|
|
30 days or
less
|
|
$
|
521,831
|
|
|
0.70
|
%
|
|
15
|
|
$
|
557,934
|
|
|
0.69
|
%
|
|
18
|
31-60 days
|
|
298,063
|
|
|
0.70
|
|
|
47
|
|
305,648
|
|
|
0.67
|
|
|
44
|
61-90 days
|
|
248,083
|
|
|
0.74
|
|
|
76
|
|
342,405
|
|
|
0.71
|
|
|
77
|
91-120
days
|
|
74,956
|
|
|
0.76
|
|
|
109
|
|
—
|
|
|
—
|
|
|
—
|
|
121-150
days
|
|
2,150
|
|
|
0.75
|
|
|
137
|
|
—
|
|
|
—
|
|
|
—
|
|
151-180
days
|
|
13,879
|
|
|
0.82
|
|
|
165
|
|
—
|
|
|
—
|
|
|
—
|
|
Total
|
|
$
|
1,158,962
|
|
|
0.72
|
%
|
|
44
|
|
$
|
1,205,987
|
|
|
0.69
|
%
|
|
41
|
As of September 30, 2016, we had no outstanding borrowings
other than under repo agreements. Our repo borrowings were with
thirteen counterparties as of September 30, 2016. The above
figures are as of the respective quarter ends; over the course of
the quarters ended September 30, 2016 and June 30, 2016
our average cost of repo was 0.71% and 0.70%, respectively.
Other
We incur an annual base management fee, payable quarterly in
arrears, in an amount equal to 1.50% of shareholders' equity (as
defined in our management agreement). For the quarter ended
September 30, 2016, our expense ratio, defined as management
fees and operating expenses as a percentage of average
shareholders' equity, was 3.5% on an annualized basis as compared
to 3.6% for the quarter ended June 30,
2016.
Dividends
On September 13, 2016, our Board
of Trustees declared a third quarter dividend of $0.40 per share, or $3.7
million, which was paid on October
25, 2016 to shareholders of record on September 30, 2016.
Share Repurchase Program
On August 13, 2013, our Board of
Trustees approved the adoption of a $10
million share repurchase program. The program, which is
open-ended in duration, allows us to make repurchases from time to
time on the open market or in negotiated transactions. Repurchases
are at our discretion, subject to applicable law, share
availability, price and our financial performance, among other
considerations. We did not repurchase any shares during the third
quarter.
Reconciliation of Core Earnings to Net Income (Loss)
Core Earnings consists of net income (loss), excluding realized
and change in net unrealized gains and losses on securities and
financial derivatives, and, if applicable, items of income or loss
that are of a non-recurring nature. Core Earnings includes net
realized and change in net unrealized gains (losses) associated
with payments and accruals of periodic payments on interest rate
swaps. Core Earnings excluding Catch-up Premium Amortization
Adjustment consists of Core Earnings but excludes the effect of the
Catch-up Premium Amortization Adjustment on interest income. Core
Earnings and Core Earnings excluding Catch-up Premium Amortization
Adjustment are supplemental non-GAAP financial measures. We believe
that Core Earnings and Core Earnings excluding Catch-up Premium
Amortization Adjustment provide information useful to investors
because they are metrics that we use to assess our performance and
to evaluate the effective net yield provided by the portfolio.
Moreover, one of our objectives is to generate income from the net
interest margin on the portfolio, and Core Earnings and Core
Earnings excluding Catch-up Premium Amortization Adjustment are
used to help measure the extent to which this objective is being
achieved. However, because Core Earnings and Core Earnings
excluding Catch-up Premium Amortization Adjustment are incomplete
measures of our financial results and differ from net income (loss)
computed in accordance with GAAP, they should be considered as
supplementary to, and not as substitutes for, net income (loss)
computed in accordance with GAAP.
The following table reconciles, for the three month periods
ended September 30, 2016 and June 30, 2016, our Core
Earnings and Core Earnings excluding Catch-up Premium Amortization
Adjustment on a consolidated basis to the line on our Consolidated
Statement of Operations entitled Net Income, which we believe is
the most directly comparable GAAP measure on our Consolidated
Statement of Operations to Core Earnings:
(In thousands
except share amounts)
|
|
Three Month
Period Ended
September 30,
2016
|
|
Three Month
Period Ended
June 30, 2016
|
Net
Income
|
|
$
|
6,626
|
|
|
$
|
3,507
|
|
Less:
|
|
|
|
|
Net realized gains
(losses) on securities
|
|
3,892
|
|
|
2,100
|
|
Net realized gains
(losses) on financial derivatives, excluding periodic
payments(1)
|
|
(3,679)
|
|
|
(11,099)
|
|
Change in net
unrealized gains (losses) on securities
|
|
(124)
|
|
|
5,879
|
|
Change in net
unrealized gains (losses) on financial derivatives, excluding
accrued periodic payments(2)
|
|
3,600
|
|
|
3,681
|
|
Subtotal
|
|
3,689
|
|
|
561
|
|
Core
Earnings
|
|
$
|
2,937
|
|
|
$
|
2,946
|
|
Catch-up Premium
Amortization Adjustment
|
|
(1,448)
|
|
|
(1,457)
|
|
Core Earnings
excluding Catch-up Premium Amortization Adjustment
|
|
$
|
4,385
|
|
|
$
|
4,403
|
|
Weighted Average
Shares Outstanding
|
|
9,119,111
|
|
|
9,117,183
|
|
Core Earnings Per
Share
|
|
$
|
0.32
|
|
|
$
|
0.32
|
|
Core Earnings Per
Share excluding Catch-up Premium Amortization
Adjustment
|
|
$
|
0.48
|
|
|
$
|
0.48
|
|
|
|
(1)
|
For the three month
period ended September 30, 2016, represents Net realized gains
(losses) on financial derivatives of $(3,920) less Net realized
gains (losses) on periodic settlements of interest rate swaps of
$(241). For the three month period ended June 30, 2016,
represents Net realized gains (losses) on financial derivatives of
$(13,607) less Net realized gains (losses) on periodic settlements
of interest rate swaps of $(2,508).
|
(2)
|
For the three month
period ended September 30, 2016, represents Change in net
unrealized gains (losses) on financial derivatives of $3,215 less
Change in net unrealized gains (losses) on accrued periodic
settlements of interest rate swaps of $(385). For the three month
period ended June 30, 2016, represents Change in net
unrealized gains (losses) on financial derivatives of $5,129 less
Change in net unrealized gains (losses) on accrued periodic
settlements of interest rate swaps of $1,448.
|
About Ellington Residential Mortgage REIT
Ellington Residential Mortgage REIT is a mortgage real estate
investment trust that specializes in acquiring, investing in and
managing residential mortgage- and real estate-related assets, with
a primary focus on residential mortgage-backed securities, for
which the principal and interest payments are guaranteed by a U.S.
government agency or a U.S. government-sponsored enterprise.
Ellington Residential Mortgage REIT is externally managed and
advised by Ellington Residential Mortgage Management LLC, an
affiliate of Ellington Management Group, L.L.C.
Conference Call
We will host a conference call at 11:00
a.m. Eastern Time on Wednesday, November 2, 2016, to
discuss our financial results for the quarter ended
September 30, 2016. To participate in the event by telephone,
please dial (877) 437-3698 at least 10 minutes prior to the start
time and reference the conference ID number 99806027. International
callers should dial (810) 740-4679 and reference the same
conference ID number. The conference call will also be webcast live
over the Internet and can be accessed via the "For Our
Shareholders" section of our web site at www.earnreit.com. To
listen to the live webcast, please visit www.earnreit.com at least
15 minutes prior to the start of the call to register, download,
and install necessary audio software. In connection with the
release of these financial results, we also posted an investor
presentation, that will accompany the conference call, on our
website at www.earnreit.com under "For Our
Shareholders—Presentations."
A dial-in replay of the conference call will be available on
Wednesday, November 2, 2016, at approximately 2:00 p.m. Eastern Time through Wednesday,
November 9, 2016 at approximately 11:59
p.m. Eastern Time. To access this replay, please dial (800)
585-8367 and enter the conference ID number 99806027. International
callers should dial (404) 537-3406 and enter the same conference ID
number. A replay of the conference call will also be archived on
our web site at www.earnreit.com.
Cautionary Statement Regarding Forward-Looking
Statements
This press release contains forward-looking statements within
the meaning of the safe harbor provisions of the Private Securities
Litigation Reform Act of 1995. Forward-looking statements involve
numerous risks and uncertainties. Actual results may differ from
our beliefs, expectations, estimates, and projections and,
consequently, you should not rely on these forward-looking
statements as predictions of future events. Forward-looking
statements are not historical in nature and can be identified by
words such as "believe," "expect," "anticipate," "estimate,"
"project," "plan," "continue," "intend," "should," "would,"
"could," "goal," "objective," "will," "may," "seek," or similar
expressions or their negative forms, or by references to strategy,
plans, or intentions. Examples of forward-looking statements in
this press release include, without limitation, our beliefs
regarding the current economic and investment environment, our
ability to implement our investment and hedging strategies, our
future prospects and the protection of our net interest margin from
prepayments, volatility and its impact on us, the performance of
our investment and hedging strategies, our exposure to prepayment
risk in our Agency portfolio, estimated effects on the fair value
of our RMBS and interest rate derivative holdings of a hypothetical
change in interest rates, statements regarding our share repurchase
program, and statements regarding the drivers of our returns. Our
results can fluctuate from month to month and from quarter to
quarter depending on a variety of factors, some of which are beyond
our control and/or are difficult to predict, including, without
limitation, changes in interest rates and the market value of our
securities, changes in mortgage default rates and prepayment rates,
our ability to borrow to finance our assets, changes in government
regulations affecting our business, our ability to maintain our
exclusion from registration under the Investment Company Act of
1940 and other changes in market conditions and economic trends.
Furthermore, forward-looking statements are subject to risks and
uncertainties, including, among other things, those described in
Item 1A of our Annual Report on Form 10-K for the fiscal year ended
December 31, 2015 filed on
March 10, 2016 which can be accessed
through the link to our SEC filings under "For Our Shareholders" on
our website (www.earnreit.com) or at the SEC's website
(www.sec.gov). Other risks, uncertainties, and factors that could
cause actual results to differ materially from those projected may
be described from time to time in reports we file with the SEC,
including reports on Forms 10-Q, 10-K and 8-K. We undertake no
obligation to update or revise any forward-looking statements,
whether as a result of new information, future events, or
otherwise.
ELLINGTON RESIDENTIAL
MORTGAGE REIT
CONSOLIDATED STATEMENT OF OPERATIONS
(UNAUDITED)
|
|
|
|
Three Month Period
Ended
|
|
Nine
Month
Period
Ended
|
|
|
September 30,
2016
|
|
June
30,
2016
|
|
September 30,
2016
|
(In thousands
except share amounts)
|
|
|
|
|
|
|
INTEREST INCOME
(EXPENSE)
|
|
|
|
|
|
|
Interest
income
|
|
$
|
7,096
|
|
|
$
|
7,538
|
|
|
$
|
24,285
|
|
Interest
expense
|
|
(2,279)
|
|
|
(2,260)
|
|
|
(6,589)
|
|
Total net interest
income
|
|
4,817
|
|
|
5,278
|
|
|
17,696
|
|
EXPENSES
|
|
|
|
|
|
|
Management
fees
|
|
539
|
|
|
528
|
|
|
1,596
|
|
Professional
fees
|
|
171
|
|
|
161
|
|
|
549
|
|
Compensation
expense
|
|
142
|
|
|
169
|
|
|
463
|
|
Other operating
expenses
|
|
402
|
|
|
414
|
|
|
1,269
|
|
Total
expenses
|
|
1,254
|
|
|
1,272
|
|
|
3,877
|
|
OTHER INCOME
(LOSS)
|
|
|
|
|
|
|
Net realized gains
(losses) on securities
|
|
3,892
|
|
|
2,100
|
|
|
9,003
|
|
Net realized gains
(losses) on financial derivatives
|
|
(3,920)
|
|
|
(13,607)
|
|
|
(21,523)
|
|
Change in net
unrealized gains (losses) on securities
|
|
(124)
|
|
|
5,879
|
|
|
14,388
|
|
Change in net
unrealized gains (losses) on financial derivatives
|
|
3,215
|
|
|
5,129
|
|
|
(5,792)
|
|
Total other income
(loss)
|
|
3,063
|
|
|
(499)
|
|
|
(3,924)
|
|
NET INCOME
(LOSS)
|
|
$
|
6,626
|
|
|
$
|
3,507
|
|
|
$
|
9,895
|
|
NET INCOME (LOSS)
PER COMMON SHARE:
|
|
|
|
|
|
|
Basic and
Diluted
|
|
$
|
0.73
|
|
|
$
|
0.38
|
|
|
$
|
1.09
|
|
WEIGHTED AVERAGE
SHARES OUTSTANDING
|
|
9,119,111
|
|
|
9,117,183
|
|
|
9,119,164
|
|
CASH DIVIDENDS PER
SHARE:
|
|
|
|
|
|
|
Dividends
declared
|
|
$
|
0.40
|
|
|
$
|
0.40
|
|
|
$
|
1.25
|
|
ELLINGTON RESIDENTIAL
MORTGAGE REIT
CONSOLIDATED BALANCE SHEET
(UNAUDITED)
|
|
|
|
As
of
|
|
|
September 30,
2016
|
|
June
30,
2016
|
|
December 31,
2015(1)
|
(In thousands
except share amounts)
|
|
|
|
|
|
|
ASSETS
|
|
|
|
|
|
|
Cash and cash
equivalents
|
|
$
|
43,026
|
|
|
$
|
36,200
|
|
|
$
|
40,166
|
|
Mortgage-backed
securities, at fair value
|
|
1,233,134
|
|
|
1,229,015
|
|
|
1,242,266
|
|
Due from
brokers
|
|
33,462
|
|
|
34,380
|
|
|
33,297
|
|
Financial
derivatives–assets, at fair value
|
|
1,641
|
|
|
1,920
|
|
|
2,183
|
|
Reverse repurchase
agreements
|
|
77,932
|
|
|
68,862
|
|
|
78,632
|
|
Receivable for
securities sold
|
|
37,057
|
|
|
98,328
|
|
|
155,526
|
|
Interest
receivable
|
|
4,274
|
|
|
4,427
|
|
|
4,325
|
|
Other
assets
|
|
357
|
|
|
454
|
|
|
289
|
|
Total
Assets
|
|
$
|
1,430,883
|
|
|
$
|
1,473,586
|
|
|
$
|
1,556,684
|
|
LIABILITIES AND
SHAREHOLDERS' EQUITY
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$
|
1,158,962
|
|
|
$
|
1,205,987
|
|
|
$
|
1,222,719
|
|
Payable for
securities purchased
|
|
34,808
|
|
|
33,457
|
|
|
98,949
|
|
Due to
brokers
|
|
538
|
|
|
5,877
|
|
|
439
|
|
Financial
derivatives–liabilities, at fair value
|
|
9,885
|
|
|
13,379
|
|
|
4,725
|
|
U.S. Treasury
securities sold short, at fair value
|
|
77,263
|
|
|
68,528
|
|
|
78,447
|
|
Dividend
payable
|
|
3,651
|
|
|
3,647
|
|
|
4,111
|
|
Accrued
expenses
|
|
622
|
|
|
615
|
|
|
533
|
|
Management fee
payable
|
|
539
|
|
|
528
|
|
|
545
|
|
Interest
payable
|
|
1,341
|
|
|
1,310
|
|
|
1,361
|
|
Total
Liabilities
|
|
1,287,609
|
|
|
1,333,328
|
|
|
1,411,829
|
|
SHAREHOLDERS'
EQUITY
|
|
|
|
|
|
|
Preferred shares, par
value $0.01 per share, 100,000,000 shares authorized; (0 shares
issued and outstanding, respectively)
|
|
—
|
|
|
—
|
|
|
—
|
|
Common shares, par
value $0.01 per share, 500,000,000 shares authorized; (9,127,039,
9,117,183, and 9,135,103 shares issued and outstanding,
respectively)
|
|
92
|
|
|
92
|
|
|
92
|
|
Additional
paid-in-capital
|
|
180,952
|
|
|
180,911
|
|
|
181,027
|
|
Accumulated
deficit
|
|
(37,770)
|
|
|
(40,745)
|
|
|
(36,264)
|
|
Total
Shareholders' Equity
|
|
143,274
|
|
|
140,258
|
|
|
144,855
|
|
Total Liabilities
and Shareholders' Equity
|
|
$
|
1,430,883
|
|
|
$
|
1,473,586
|
|
|
$
|
1,556,684
|
|
PER SHARE
INFORMATION
|
|
|
|
|
|
|
Common shares, par
value $0.01 per share
|
|
$
|
15.70
|
|
|
$
|
15.38
|
|
|
$
|
15.86
|
|
|
(1) Derived from audited
financial statements as of December 31, 2015.
|
Investor Contact: Maria Cozine,
Vice President of Investor Relations, or Lisa Mumford, Chief Financial Officer, Ellington
Residential Mortgage REIT, (203) 409-3773 or info@earnreit.com;
Media Contact: Amanda Klein or
Kevin Fitzgerald, Gasthalter &
Co., for Ellington Residential Mortgage REIT, (212) 257-4170 or
Ellington@gasthalter.com.
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SOURCE Ellington Residential Mortgage REIT