BETHESDA, Md., Oct. 30,
2013 /PRNewswire/ -- American Capital Mortgage Investment Corp.
("MTGE" or the "Company") (Nasdaq: MTGE) today reported net income
for the quarter ended September 30, 2013 of $13.7 million, or $0.25 per share, and net book value of
$22.37 per share.
THIRD QUARTER 2013 FINANCIAL HIGHLIGHTS
- $0.25 per share of net income
- Includes all unrealized gains and losses on investment and
hedging portfolios, due to fair value option election and no hedge
accounting
- $0.58 per share of net spread and
dollar roll income/loss
- Includes $(0.13) per share of
estimated net carry loss (also known as "dollar roll income/loss")
associated with the Company's net short position in agency mortgage
backed securities ("MBS") in the "to-be-announced" ("TBA")
market
- Includes approximately $(0.01)
per common share of "catch-up" premium amortization expense due to
change in projected constant prepayment rate ("CPR") estimates
- $0.85 per share of estimated
taxable income
- Undistributed estimated taxable income of $0.60 per share as of September 30, 2013, up
$0.17 per share from $0.43 per share as of June
30, 2013
- $0.70 per share dividend declared
on September 19, 2013
- $22.37 per share net book value
as of September 30, 2013
- Decreased $(0.26) per share, or
(1.1)%, from $22.63 per share as of
June 30, 2013
- 2.0% economic return on equity for the quarter, or 7.8%
annualized
- Comprised of a $0.70 per share
dividend, partially offset by a $(0.26) per share decrease in net book value
ADDITIONAL THIRD QUARTER 2013 HIGHLIGHTS
- $7.7 billion investment portfolio
as of September 30, 2013
- $8.4 billion agency
securities
- $(1.6) billion net short TBA
mortgage position
- $0.9 billion non-agency
securities
- 5.7x "at risk" leverage as of September 30, 2013
- 7.0x excluding net short TBA mortgage position as of
September 30, 2013
- 6.3x average "at risk" leverage for the quarter
- 6.8x excluding average net short TBA mortgage position for the
quarter
- 6.7% agency securities actual CPR for the quarter
- 5.7% agency securities actual CPR for the month of September 2013
- 7.3% projected life CPR for agency securities as of
September 30, 2013
- Excludes net TBA mortgage position
- 1.77% annualized net interest rate spread as of
September 30, 2013
- Decrease from 1.94% annualized net interest rate spread as of
June 30, 2013
- Excludes net TBA mortgage position
- 1.63% annualized net interest rate spread and dollar roll
income/loss for the quarter
- Includes (0.19)% of estimated dollar roll loss
- Includes (0.03)% of "catch-up" premium amortization expense due
to change in projected CPR estimates
- 3.2 million shares of common stock repurchased during the
quarter
- Represents 5.7% of shares outstanding as of June 30, 2013
- $19.58 average net cost per
share
"Despite facing considerable volatility in the mortgage market
during the third quarter, we were able to generate solid economic
returns for our shareholders," stated Gary
Kain, MTGE's President and Chief Investment Officer. "The
non-agency market can be characterized by light supply and
continued improvement in prices. On the agency side, consistent
with our market outlook, we further repositioned the portfolio away
from 30-year MBS and into more 15-year securities and ARMs. We are
confident that our commitment to active portfolio management, our
growing capabilities across the mortgage investment spectrum and
our continued prioritization of risk management over short term
metrics should help us to generate attractive returns for our
shareholders over the long term."
Commenting on the quarter, John
Erickson, Executive Vice President and Chief Financial
Officer, added, "During the third quarter we continued to execute
on the stock repurchase plan that was put in place a year ago.
During the quarter, we repurchased 3.2 million shares at an average
net cost of $19.58 per share, which
represents 5.7% of shares outstanding as of the prior quarter end.
In addition, despite the challenging macroeconomic backdrop, MTGE
has generated an economic return of over 20% since the beginning of
QE3 and a life-to-date economic return of over 46%."
NET BOOK VALUE
As of September 30, 2013, the Company's net book value per
share was $22.37, or $(0.26) per share lower than the net book value
per share of $22.63 as of
June 30, 2013.
INVESTMENT PORTFOLIO
As of September 30, 2013, the Company's $7.7 billion investment portfolio included
$8.4 billion of agency securities,
$(1.6) billion of net short TBA
mortgage positions, and non-agency securities of $0.9 billion.
The Company accounts for dollar roll positions as derivative
instruments and recognizes dollar roll income/loss in other gains
(losses), net on the Company's financial statements. As of
September 30, 2013, the Company's net short TBA mortgage
portfolio had a notional fair value of $(1,609.9) million and cost basis of
$(1,556.9) million, respectively,
with a net carrying value of $(53.0)
million reported in derivative assets/(liabilities) on the
Company's balance sheet.
As of September 30, 2013, the Company's agency investment
portfolio was comprised of $6,339.3
million of fixed-rate investments, inclusive of the net
short TBA position and $448.7 million
of adjustable-rate securities.
As of September 30, 2013, the Company's fixed-rate mortgage
investments were comprised of $3,015.4
million ≤15 year securities, $153.0
million 20 year fixed-rate securities, $4,780.7 million 30 year fixed-rate securities,
$(457.7) million 15 year net short
TBA and $(1,152.2) million 30 year
net short TBA, at fair value. As of September 30, 2013, ≤15
year fixed rate investments, inclusive of the net short TBA
position, represented 38% of the Company's agency investment
portfolio, an increase from 29% as of June
30, 2013, and 30 year fixed rate investments, inclusive of
the net short TBA position, represented 53% of the Company's agency
investment portfolio, a decrease from 69% as of June 30, 2013.
As of September 30, 2013, the Company's fixed-rate mortgage
assets, inclusive of the net TBA position, had a weighted average
coupon of 3.49%, comprised of a weighted average coupon of 3.21%
for ≤15 year fixed rate securities, 3.29% for 20 year
fixed-rate securities and 3.70% for 30 year fixed-rate
securities.
As of September 30, 2013, 94% of the Company's fixed-rate
agency securities, inclusive of net short TBA mortgage positions,
were comprised of securities backed by lower loan balance mortgages
and loans originated under the U.S. Government sponsored Home
Affordable Refinance Program ("HARP"), which typically have a lower
risk of prepayment in a low or declining interest rate environment
relative to generic agency securities. The Company defines lower
loan balance securities as pools backed by original loan balances
of up to $150,000 and HARP securities
as pools backed by 100% refinance loans with original
loan-to-values of at least 80%. As of September 30, 2013, the
weighted average "pay-up" measured across the Company's fixed-rate
TBA deliverable mortgage asset portfolio was approximately 0.14%
over the corresponding generic TBA price.
As of September 30, 2013, the Company's $927.9 million non-agency portfolio was comprised
of 54% Alt-A, 19% prime, 11% option ARM and 16% subprime
securities.
AGENCY CONSTANT PREPAYMENT RATES
The actual CPR for the Company's agency portfolio during the
third quarter of 2013 was 6.7%, compared to 7.4% during the second
quarter of 2013. The CPR published in October 2013 for the Company's agency portfolio
held as of September 30, 2013 was 5.7%, and the weighted
average projected CPR for the remaining life of the Company's
agency securities held as of September 30, 2013 was 7.3%,
compared to 6.3% as of June 30,
2013.
The Company amortizes and accretes premiums and discounts
associated with purchases of agency securities into interest income
over the estimated life of such securities based on actual and
projected CPRs using the effective yield method. The
amortization of premiums (net of any accretion of discounts) on the
agency portfolio for the quarter was $12.8
million, or $0.24 per
share. The change in the Company's weighted average projected
CPR estimate resulted in recognition of approximately $(0.8) million, or $(0.01) per common share, of "catch-up" premium
amortization expense during the quarter.
The weighted average cost basis of the Company's agency
securities was 104.5% and the unamortized agency net premium was
$371.8 million as of
September 30, 2013. As such, slower actual and projected
prepayments can have a meaningful positive impact, while faster
actual or projected prepayments can have a meaningful negative
impact on the Company's agency asset yields.
NON-AGENCY DISCOUNT ACCRETION
The weighted average cost basis of the Company's non-agency
portfolio was 58.2% of par as of September 30, 2013. Discount
accretion on the non-agency portfolio for the quarter was
$10.5 million, or $0.19 per share. The total net discount remaining
was $615.4 million as of
September 30, 2013, with $255.5
million designated as credit reserves.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average asset yield on its investment portfolio
for the third quarter was 3.04%, compared to 3.17% for the second
quarter. Excluding the impact of "catch-up" premium amortization
benefit recognized due to changes in projected CPR estimates,
the annualized weighted average yield on the Company's investment
portfolio was 3.07% for the third quarter, compared to 3.02% for
the second quarter. The Company's average asset yield as of
September 30, 2013 was 3.00%, a 10 bps decrease from 3.10% as
of June 30, 2013.
The Company's average cost of funds (derived from the cost of
repurchase agreements and interest rate swaps) increased 13 bps to
1.21% for the third quarter, from 1.08% for the second quarter. The
Company's average cost of funds increased 7 bps to 1.23% as of
September 30, 2013 from 1.16% as of June 30, 2013. The increase in the Company's
average cost of funds was due to higher average swap costs
associated with longer duration swaps commencing during the
quarter.
The Company's average net interest rate spread, inclusive of
estimated dollar roll income/loss, for the third quarter was 1.63%,
a decrease of 67 bps from 2.30% for the second quarter. Excluding
estimated dollar roll loss, the Company's average net interest rate
spread for the third quarter was 1.82%, compared to 2.09% for the
second quarter. Excluding estimated dollar roll income, the
Company's average net interest rate spread was 1.77% as of
September 30, 2013, compared to 1.94% as of June 30, 2013.
LEVERAGE AND HEDGING ACTIVITIES
As of September 30, 2013, $8.4
billion of the Company's repurchase agreements were used to
fund acquisitions of agency and non-agency securities, while the
remaining $0.9 billion were used to
fund purchases of U.S. Treasury securities and not included in the
Company's measurements of leverage. Including net short TBAs
outstanding with a cost basis of $(1.6)
billion, the Company's "at risk" leverage ratio was 5.7x as
of September 30, 2013. Average at risk leverage during
the quarter was 6.3x including the impact of $(0.7) billion of net short TBAs at cost.
The $8.4 billion borrowed under
agency and non-agency repurchase agreements as of
September 30, 2013 had remaining maturities consisting of:
- $2,820.0 million of one month or
less;
- $2,324.4 million between one and
two months;
- $1,686.8 million between two and
three months;
- $1,083.3 million between three
and six months;
- $35.1 million between six and
nine months;
- $153.0 million between nine and
twelve months; and
- $250.0 million greater than
twelve months.
As of September 30, 2013, the Company's agency and
non-agency repurchase agreements had an average 90 days remaining
to maturity, a decrease from 93 days as of June 30, 2013.
As of September 30, 2013, the Company had repurchase
agreements with 30 financial institutions and less than 9% of the
Company's equity was at risk with any one counterparty, with the
top five counterparties representing less than 27% of the Company's
equity at risk.
The Company's interest rate swap positions as of
September 30, 2013 totaled $4.4
billion in notional amount at a weighted average fixed
pay rate of 1.62%, a weighted average receive rate of 0.26% and a
weighted average maturity of 6.2 years. The Company enters
into interest rate swaps with longer maturities with the intention
of protecting its net book value and longer term earnings
potential.
The Company also utilizes interest rate swaptions to mitigate
the Company's exposure to larger, more rapid increases in interest
rates. As of September 30, 2013, the Company held payer
swaption contracts with a total notional amount of $2.2 billion and a weighted average expiration of
1.2 years. These swaptions have an underlying weighted
average interest rate swap term of 7.5 years, with a weighted
average pay rate of 2.99%.
As a partial offset to its interest rate swaps and swaptions,
the Company held a $0.7 billion net
long position in U.S. Treasury securities and futures.
As of September 30, 2013, 88% of the Company's combined
repurchase agreement and net short TBA balance was hedged through
interest rate swaps and interest rate swaptions, less net long
positions in U.S. Treasury securities and futures.
OTHER GAINS (LOSSES), NET
The Company has elected to record all investments at fair value
with all changes in fair value recorded in current GAAP earnings as
other gains (losses). In addition, the Company has not
designated any derivatives as hedges for GAAP accounting purposes
and therefore all changes in the fair value of derivatives are
recorded in current GAAP earnings as other gains (losses).
During the third quarter, the Company recorded $(39.2) million in other gains (losses), net, or
$(0.72) per share. Other gains
(losses), net, for the quarter are comprised of:
- $(71.2) million of net realized
loss on agency securities;
- $5.9 million of net realized gain
on non-agency securities;
- $80.9 million of net unrealized
gain on agency securities;
- $(0.4) million of net unrealized
loss on non-agency securities;
- $(14.4) million in realized loss
on periodic settlements of interest rate swaps;
- $65.3 million of net realized
gain on other derivatives and securities; and
- $(105.1) million of net
unrealized loss on other derivatives and securities.
Realized and unrealized net gains on other derivatives and
securities during the third quarter include $(14.1) million related to interest rate swaps
and swaptions, $13.3 million related
to U.S. treasury securities and futures, $(6.8) million of dollar roll loss and
$(32.2) million of net losses on TBA
mortgage positions.
ESTIMATED TAXABLE INCOME
Taxable income for the quarter is estimated at $0.85 per share, or $0.60 higher than GAAP net income per share.
The primary differences between taxable and GAAP net income are
(i) unrealized gains and losses associated with investment and
derivative portfolios 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 net
premiums paid on investments and (iii) timing differences in the
recognition of certain realized gains and losses.
The Company's estimated taxable income for the third quarter
excludes $(1.16) per share of
estimated net capital losses, which are not deductible from the
Company's ordinary taxable income, as well as $0.98 per share of gains on terminated swaps and
$0.26 per share of gains on
terminated or expired swaptions, which for income tax purposes are
deferred and amortized into future ordinary taxable income over the
remaining terms of the underlying swaps.
STOCK REPURCHASE PROGRAM
In September 2013, the Company's
Board of Directors authorized the repurchase of an additional
$150 million of the Company's
outstanding shares of common stock through December 31, 2014. During the three months
ended September 30, 2013, the Company made open market
purchases of 3.2 million shares of its common stock at an average
net purchase price of $19.58 per
share, or $62.1 million. As of
September 30, 2013, the Company has $169.2 million available for repurchase out of
the total $300 million
authorized.
THIRD QUARTER 2013 DIVIDEND DECLARATION
On September 19, 2013, the Board
of Directors of the Company declared a third quarter dividend of
$0.70 per share, payable on
October 28, 2013, to common
stockholders of record as of September 30,
2013. Since the August 2011
initial public offering, the Company has declared and paid a total
of $251.6 million in dividends, or
$7.00 per share.
As of September 30, 2013, the Company had approximately
$31.7 million of estimated
undistributed taxable income ("UTI"), or $0.60 per share, net of dividends declared. UTI
excludes the Company's non-deductible net capital losses and net
deferred gains from terminated or expired swaptions. As of
September 30, 2013, the Company had estimated cumulative
non-deductible net capital losses of $(63.1)
million, or $(1.19) per share,
which may be carried forward and applied against future net capital
gains for up to five years, and the Company had estimated net
deferred gains from terminated swaps of $33.7 million, or $0.64 per share and net deferred gains from
terminated or expired swaptions of $14.2
million, or $0.27 per share,
which will be amortized into future ordinary taxable income over
the remaining terms of the underlying swaps.
STRATEGIC INITIATIVE
During the third quarter, a wholly-owned subsidiary of MTGE
signed definitive documentation to acquire Residential Credit
Solutions, Inc. ("RCS"), a fully-licensed servicer of mortgage
loans based in Fort Worth,
Texas. RCS has an experienced management team with a
fully-developed infrastructure and has obtained approvals
from the Federal National Mortgage Association (Fannie Mae),
the Federal Home Loan Mortgage Corporation (Freddie Mac) and the
Government National Mortgage Association (Ginnie Mae) to hold and manage mortgage
servicing rights (MSRs). Subject to the satisfaction of the
closing conditions set forth in the definitive documentation
including regulatory approval, MTGE anticipates consummating the
transaction in the fourth quarter of 2013.
FINANCIAL STATEMENTS, OPERATING PERFORMANCE AND PORTFOLIO
STATISTICS
The following tables include certain measures of operating
performance, such as net spread income and estimated taxable
income, which are non-GAAP financial measures. Please refer to "Use
of Non-GAAP Financial Information" later in this release for
further discussion of non-GAAP measures.
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
CONSOLIDATED
BALANCE SHEETS
|
(in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September
30, 2013
|
|
June
30, 2013
|
|
March
31, 2013
|
|
December
31, 2012
|
|
September
30, 2012
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(audited)
|
|
(unaudited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
Agency securities, at
fair value
|
|
$
8,397,883
|
|
$
7,777,532
|
|
$
6,535,598
|
|
$
6,367,042
|
|
$
6,337,238
|
Non-agency
securities, at fair value
|
|
927,914
|
|
930,647
|
|
727,351
|
|
681,403
|
|
552,787
|
Treasury securities,
at fair value
|
|
855,815
|
|
1,002,784
|
|
-
|
|
-
|
|
-
|
Cash and cash
equivalents
|
|
204,129
|
|
316,975
|
|
311,252
|
|
157,314
|
|
156,269
|
Restricted
cash
|
|
36,725
|
|
45,869
|
|
32,158
|
|
28,493
|
|
15,756
|
Interest
receivable
|
|
26,924
|
|
23,815
|
|
19,209
|
|
18,265
|
|
17,792
|
Derivative assets, at
fair value
|
|
154,510
|
|
237,514
|
|
52,149
|
|
23,043
|
|
15,030
|
Receivable for
securities sold
|
|
201,968
|
|
162,571
|
|
121,816
|
|
-
|
|
106,606
|
Receivable under
reverse repurchase agreements
|
|
-
|
|
1,216,596
|
|
1,563,334
|
|
418,888
|
|
344,075
|
Other
assets
|
|
3,997
|
|
194
|
|
480
|
|
1,692
|
|
746
|
Total
assets
|
|
$
10,809,865
|
|
$
11,714,497
|
|
$
9,363,347
|
|
$
7,696,140
|
|
$
7,546,299
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$
9,248,346
|
|
$
7,978,748
|
|
$
6,137,343
|
|
$
6,245,791
|
|
$
6,117,783
|
Payable for agency
and non-agency securities
purchased
|
|
186,621
|
|
542,865
|
|
96,200
|
|
-
|
|
50,663
|
Payable for U.S.
Treasury securities purchased
|
|
-
|
|
498,867
|
|
-
|
|
-
|
|
-
|
Derivative
liabilities, at fair value
|
|
99,480
|
|
90,703
|
|
77,997
|
|
63,726
|
|
76,437
|
Dividend
payable
|
|
37,031
|
|
44,857
|
|
53,075
|
|
32,368
|
|
32,636
|
Obligation to return
securities borrowed under reverse
repurchase
agreements, at fair value
|
|
-
|
|
1,181,829
|
|
1,558,429
|
|
421,077
|
|
347,367
|
Accounts payable and
other accrued liabilities
|
|
55,050
|
|
107,903
|
|
10,476
|
|
7,616
|
|
7,073
|
Total
liabilities
|
|
9,626,528
|
|
10,445,772
|
|
7,933,520
|
|
6,770,578
|
|
6,631,959
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
|
Preferred stock,
$0.01 par value; 50,000 shares
authorized, 0 shares
issued and outstanding,
respectively
|
|
-
|
|
-
|
|
-
|
|
-
|
|
-
|
Common stock, $0.01
par value; 300,000 shares
authorized, 52,902,
56,071, 58,972, 35,964 and
36,262 issued and
outstanding, respectively
|
|
529
|
|
561
|
|
590
|
|
360
|
|
363
|
Additional paid-in
capital
|
|
1,231,797
|
|
1,293,824
|
|
1,355,687
|
|
772,008
|
|
778,804
|
Retained earnings
(deficit)
|
|
(48,989)
|
|
(25,660)
|
|
73,550
|
|
153,194
|
|
135,173
|
Total
stockholders' equity
|
|
1,183,337
|
|
1,268,725
|
|
1,429,827
|
|
925,562
|
|
914,340
|
Total liabilities
and stockholders' equity
|
|
$
10,809,865
|
|
$
11,714,497
|
|
$
9,363,347
|
|
$
7,696,140
|
|
$
7,546,299
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
|
$
22.37
|
|
$
22.63
|
|
$
24.25
|
|
$
25.74
|
|
$
25.21
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Three
Months Ended
|
|
|
September
30, 2013
|
|
June
30, 2013
|
|
March
31, 2013
|
|
December
31, 2012
|
|
September
30, 2012
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
Agency
securities
|
|
$
54,587
|
|
$
51,053
|
|
$
40,183
|
|
$
39,144
|
|
$
37,311
|
Non-agency
securities
|
|
15,847
|
|
12,731
|
|
11,293
|
|
10,511
|
|
6,949
|
Other
|
|
77
|
|
143
|
|
91
|
|
113
|
|
95
|
Interest
expense
|
|
(10,949)
|
|
(9,113)
|
|
(8,036)
|
|
(8,288)
|
|
(7,329)
|
Net
interest income
|
|
59,562
|
|
54,814
|
|
43,531
|
|
41,480
|
|
37,026
|
|
|
|
|
|
|
|
|
|
|
|
Other gains
(losses), net:
|
|
|
|
|
|
|
|
|
|
|
Realized gain (loss)
on agency securities, net
|
|
(71,179)
|
|
(20,979)
|
|
8,674
|
|
26,977
|
|
23,566
|
Realized gain on
non-agency securities, net
|
|
5,884
|
|
8,307
|
|
1,419
|
|
828
|
|
952
|
Realized loss on
periodic settlements of interest rate swaps, net
|
|
(14,449)
|
|
(10,045)
|
|
(7,734)
|
|
(6,747)
|
|
(6,855)
|
Realized gain (loss)
on other derivatives and securities, net
|
|
65,258
|
|
23,865
|
|
(2,448)
|
|
(791)
|
|
(29,132)
|
Unrealized gain
(loss) on agency securities, net
|
|
80,894
|
|
(292,864)
|
|
(78,840)
|
|
(41,538)
|
|
95,477
|
Unrealized gain
(loss) on non-agency securities, net
|
|
(424)
|
|
(23,751)
|
|
30,478
|
|
29,804
|
|
33,118
|
Unrealized gain
(loss) on other derivatives and securities, net
|
|
(105,138)
|
|
213,307
|
|
(15,251)
|
|
5,631
|
|
(3,118)
|
Total other gains
(losses), net
|
|
(39,154)
|
|
(102,160)
|
|
(63,702)
|
|
14,164
|
|
114,008
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
Management
fees
|
|
4,725
|
|
5,079
|
|
4,444
|
|
3,005
|
|
2,945
|
General and
administrative expenses
|
|
1,781
|
|
1,928
|
|
1,777
|
|
1,509
|
|
1,415
|
Total
expenses
|
|
6,506
|
|
7,007
|
|
6,221
|
|
4,514
|
|
4,360
|
|
|
|
|
|
|
|
|
|
|
|
Income (loss)
before excise tax
|
|
13,902
|
|
(54,353)
|
|
(26,392)
|
|
51,130
|
|
146,674
|
Excise tax
|
|
200
|
|
-
|
|
177
|
|
741
|
|
432
|
Net income
(loss)
|
|
$
13,702
|
|
$
(54,353)
|
|
$
(26,569)
|
|
$
50,389
|
|
$
146,242
|
|
|
|
|
|
|
|
|
|
|
|
Net income (loss)
per common share - basic and diluted
|
|
$
0.25
|
|
$
(0.94)
|
|
$
(0.56)
|
|
$
1.40
|
|
$
4.03
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
|
54,515
|
|
57,982
|
|
47,469
|
|
36,105
|
|
36,262
|
|
|
|
|
|
|
|
|
|
|
|
Dividends declared
per common share
|
|
$
0.70
|
|
$
0.80
|
|
$
0.90
|
|
$
0.90
|
|
$
0.90
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
RECONCILIATIONS OF
GAAP NET INTEREST INCOME TO NET SPREAD AND DOLLAR ROLL INCOME
(1)
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Three
Months Ended
|
|
|
September
30, 2013
|
|
June
30, 2013
|
|
March
31, 2013
|
|
December
31, 2012
|
|
September
30, 2012
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
Agency
securities
|
|
$
54,587
|
|
$
51,053
|
|
$
40,183
|
|
$
39,144
|
|
$
37,311
|
Non-agency securities
and other
|
|
15,924
|
|
12,874
|
|
11,384
|
|
10,624
|
|
7,044
|
Interest
expense
|
|
(10,949)
|
|
(9,113)
|
|
(8,036)
|
|
(8,288)
|
|
(7,329)
|
Net interest
income
|
|
59,562
|
|
54,814
|
|
43,531
|
|
41,480
|
|
37,026
|
Realized loss on
periodic settlements of
interest rate swaps,
net
|
|
(14,449)
|
|
(10,045)
|
|
(7,734)
|
|
(6,747)
|
|
(6,855)
|
Adjusted net
interest income
|
|
45,113
|
|
44,769
|
|
35,797
|
|
34,733
|
|
30,171
|
Operating
expenses
|
|
(6,506)
|
|
(7,007)
|
|
(6,221)
|
|
(4,514)
|
|
(4,360)
|
Net spread
income
|
|
38,607
|
|
37,762
|
|
29,576
|
|
30,219
|
|
25,811
|
Dollar roll income
(loss)
|
|
(6,827)
|
|
23,214
|
|
8,033
|
|
-
|
|
-
|
Net spread and
dollar roll income
|
|
$
31,780
|
|
$
60,976
|
|
$
37,609
|
|
$
30,219
|
|
$
25,811
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares
outstanding - basic
and diluted
|
|
54,515
|
|
57,982
|
|
47,469
|
|
36,105
|
|
36,262
|
|
|
|
|
|
|
|
|
|
|
|
Net spread income
per common share -
basic and
diluted
|
|
$
0.71
|
|
$
0.65
|
|
$
0.62
|
|
$
0.84
|
|
$
0.71
|
|
Net spread and
dollar roll income per
common share –
basic and diluted
|
|
$
0.58
|
|
$
1.05
|
|
$
0.79
|
|
$
0.84
|
|
$
0.71
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
RECONCILIATIONS OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME
(1)
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Three
Months Ended
|
|
|
September
30, 2013
|
|
June
30, 2013
|
|
March
31, 2013
|
|
December
31, 2012
|
|
September
30, 2012
|
Net income
(loss)
|
|
$
13,702
|
|
$
(54,353)
|
|
$
(26,569)
|
|
$
50,389
|
|
$
146,242
|
Estimated book to
tax differences:
|
|
|
|
|
|
|
|
|
|
|
Unrealized (gains)
and losses, net
|
|
|
|
|
|
|
|
|
|
|
Agency
securities
|
|
(80,894)
|
|
292,864
|
|
78,840
|
|
41,538
|
|
(95,477)
|
Non-agency
securities
|
|
424
|
|
23,751
|
|
(30,478)
|
|
(29,804)
|
|
(33,118)
|
Derivatives and other
securities
|
|
105,138
|
|
(213,307)
|
|
15,251
|
|
(5,631)
|
|
3,118
|
Premium amortization,
net
|
|
44
|
|
(5,730)
|
|
1,864
|
|
297
|
|
4,104
|
Capital losses in
excess of capital gains (2)
|
|
63,131
|
|
-
|
|
-
|
|
-
|
|
-
|
Other realized
(gains) losses, net (2)
|
|
(55,220)
|
|
953
|
|
(1,360)
|
|
(2,404)
|
|
22,846
|
Excise tax and
other
|
|
164
|
|
(36)
|
|
206
|
|
750
|
|
373
|
Total book to tax
difference
|
|
32,787
|
|
98,495
|
|
64,323
|
|
4,746
|
|
(98,154)
|
Estimated taxable
income
|
|
$
46,489
|
|
$
44,142
|
|
$
37,754
|
|
$
55,135
|
|
$
48,088
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic and diluted
|
|
54,515
|
|
57,982
|
|
47,469
|
|
36,105
|
|
36,262
|
|
|
|
|
|
|
|
|
|
|
|
Net estimated
taxable income per common share – basic and diluted
|
|
$
0.85
|
|
$
0.76
|
|
$
0.80
|
|
$
1.53
|
|
$
1.33
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
KEY PORTFOLIO
STATISTICS*(1)
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the Three
Months Ended
|
|
|
September
30, 2013
|
|
June
30, 2013
|
|
March
31, 2013
|
|
December
31, 2012
|
|
September
30, 2012
|
Ending agency
securities, at fair value
|
|
$
8,397,883
|
|
$
7,777,532
|
|
$
6,535,598
|
|
$
6,367,042
|
|
$
6,337,238
|
Ending agency
securities, at cost
|
|
$
8,551,421
|
|
$
8,011,964
|
|
$
6,477,165
|
|
$
6,229,770
|
|
$
6,158,427
|
Ending agency
securities, at par
|
|
$
8,179,581
|
|
$
7,597,458
|
|
$
6,117,534
|
|
$
5,904,666
|
|
$
5,856,319
|
Average agency
securities, at cost
|
|
$
8,424,136
|
|
$
7,288,238
|
|
$
6,012,033
|
|
$
5,841,326
|
|
$
6,011,801
|
Average agency
securities, at par
|
|
$
8,060,321
|
|
$
6,869,169
|
|
$
5,692,708
|
|
$
5,542,727
|
|
$
5,726,255
|
|
|
|
|
|
|
|
|
|
|
|
Ending non-agency
securities, at fair value
|
|
$
927,914
|
|
$
930,647
|
|
$
727,351
|
|
$
681,403
|
|
$
552,787
|
Ending non-agency
securities, at cost
|
|
$
856,915
|
|
$
859,224
|
|
$
632,178
|
|
$
616,707
|
|
$
517,896
|
Ending non-agency
securities, at par
|
|
$
1,472,299
|
|
$
1,500,219
|
|
$
1,050,021
|
|
$
1,045,891
|
|
$
879,042
|
Average non-agency
securities, at cost
|
|
$
857,048
|
|
$
751,723
|
|
$
618,957
|
|
$
605,956
|
|
$
399,704
|
Average non-agency
securities, at par
|
|
$
1,484,249
|
|
$
1,292,633
|
|
$
1,040,534
|
|
$
1,026,030
|
|
$
664,628
|
|
|
|
|
|
|
|
|
|
|
|
Net TBA - as of
period end, at fair value
|
|
$
(1,609,891)
|
|
$
90,795
|
|
$
4,490,697
|
|
NM
|
|
NM
|
Net TBA - as of
period end, at cost
|
|
$
(1,556,881)
|
|
$
147,236
|
|
$
4,489,753
|
|
NM
|
|
NM
|
Average TBA dollar
roll position, at cost
|
|
$
(689,331)
|
|
$
3,378,283
|
|
$
746,793
|
|
NM
|
|
NM
|
|
|
|
|
|
|
|
|
|
|
|
Average total assets,
at fair value
|
|
$
10,619,499
|
|
$
10,265,857
|
|
$
8,222,549
|
|
$
7,334,654
|
|
$
7,527,346
|
Average agency and
non-agency repurchase agreements
|
|
$
8,298,648
|
|
$
7,083,080
|
|
$
5,832,005
|
|
$
5,894,642
|
|
$
5,834,747
|
Average stockholders'
equity
|
|
$
1,212,720
|
|
$
1,379,448
|
|
$
1,180,931
|
|
$
915,085
|
|
$
851,093
|
|
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
|
3.05%
|
|
3.20%
|
|
3.17%
|
|
3.23%
|
|
3.32%
|
Average asset
yield
|
|
3.04%
|
|
3.17%
|
|
3.11%
|
|
3.08%
|
|
2.76%
|
Average cost of funds
(3)
|
|
1.21%
|
|
1.08%
|
|
1.10%
|
|
1.01%
|
|
0.96%
|
Average net interest
rate spread
|
|
1.82%
|
|
2.09%
|
|
2.01%
|
|
2.07%
|
|
1.80%
|
Average net interest
rate spread, including estimated TBA dollar roll income
(4)
|
|
1.63%
|
|
2.30%
|
|
2.27%
|
|
NM
|
|
NM
|
Average actual CPR
for agency securities held during the period
|
|
6.7%
|
|
7.4%
|
|
6.3%
|
|
6.5%
|
|
6.7%
|
Average projected
life CPR for agency securities as of period end
|
|
7.3%
|
|
6.3%
|
|
8.3%
|
|
9.3%
|
|
12.7%
|
|
|
|
|
|
|
|
|
|
|
|
Leverage - average
during the period (5)
|
|
6.8x
|
|
5.1x
|
|
4.9x
|
|
6.4x
|
|
6.9x
|
Leverage - average
during the period, including average TBA dollar roll
position
|
|
6.3x
|
|
7.6x
|
|
5.6x
|
|
NM
|
|
NM
|
Leverage - as of
period end (6)
|
|
7.0x
|
|
6.3x
|
|
4.3x
|
|
6.7x
|
|
6.6x
|
Leverage - as of
period end, including net TBA position
|
|
5.7x
|
|
6.4x
|
|
7.4x
|
|
NM
|
|
NM
|
|
|
|
|
|
|
|
|
|
|
|
Expenses % of average
total assets
|
|
0.2%
|
|
0.3%
|
|
0.3%
|
|
0.2%
|
|
0.2%
|
Expenses % of average
stockholders' equity
|
|
2.1%
|
|
2.0%
|
|
2.1%
|
|
2.0%
|
|
2.0%
|
Net book value per
common share as of period end
|
|
$
22.37
|
|
$
22.63
|
|
$
24.25
|
|
$
25.74
|
|
$
25.21
|
Dividends declared
per common share
|
|
$
0.70
|
|
$
0.80
|
|
$
0.90
|
|
$
0.90
|
|
$
0.90
|
Net return on average
stockholders' equity
|
|
4.5%
|
|
(15.8)%
|
|
(9.1)%
|
|
21.8%
|
|
68.2%
|
|
|
|
|
|
|
*
|
Average numbers for
each period are weighted based on days on the Company's books and
records. All percentages are annualized.
|
NM
|
Not meaningful. Prior
to the first quarter of 2013, the Company's net TBA position
consisted of short TBAs used for hedging purposes.
|
(1)
|
Table includes
non-GAAP financial measures. Refer to "Use of Non-GAAP Financial
Information" for additional discussion of non-GAAP financial
measures.
|
(2)
|
Capital losses in
excess of capital gains represents calendar year 2013 year to date
capital losses in excess of capital gains. The Company's estimated
taxable income for the third quarter excludes $(1.16) per share of
estimated net capital losses, which are not deductible from the
Company's ordinary taxable income but may be carried forward for up
to five years and applied against future net capital gains, as well
as $0.98 per share of gains on terminated swaps and $0.26 per share
of gains on terminated or expired swaptions, which for income tax
purposes are deferred and amortized into future ordinary taxable
income over the remaining terms of the underlying swaps.
|
(3)
|
Weighted average cost
of funds includes periodic settlements of interest rate
swaps.
|
(4)
|
Estimated dollar roll
income is net of short TBAs used for hedging purposes. Dollar roll
income excludes the impact of other supplemental hedges, and is
recognized in gain (loss) on derivative instruments and other
securities, net.
|
(5)
|
Leverage during the
period was calculated by dividing the Company's daily weighted
average agency and non-agency repurchase agreements for the period
by the Company's average month-ended stockholders' equity for the
period. Leverage excludes U.S. Treasury repurchase
agreements.
|
(6)
|
Leverage at period
end was calculated by dividing the sum of the amount outstanding
under the Company's agency and non-agency repurchase agreements and
the net receivable/payable for unsettled securities at period end
by the Company's stockholders' equity at period end. Leverage
excludes U.S. Treasury repurchase agreements.
|
STOCKHOLDER CALL
MTGE invites shareholders, prospective shareholders and analysts
to attend the MTGE shareholder call on October 31, 2013 at 11:00
am ET. The call can be accessed through a live webcast, free
of charge, at www.MTGE.com or by dialing (888) 317-6016 (U.S.
domestic) or (412) 317-6016 (international). Please advise the
operator you are dialing in for the American Capital Mortgage
shareholder call. If you do not plan on asking a question on the
call and have access to the internet, please take advantage of the
webcast.
A slide presentation will accompany the call and will be
available at www.MTGE.com. Select the Q3 2013 Earnings Presentation
link to download and print the presentation in advance of the
shareholder call.
An archived audio of the shareholder call combined with the
slide presentation will be made available on the MTGE website after
the call on October 31, 2013. In
addition, there will be a phone recording available from
1:00 pm ET October 31, 2013 until 9:00 am ET November 15,
2013. If you are interested in hearing the recording of the
presentation, please dial (877) 344-7529 (U.S. domestic) or (412)
317-0088 (international). The conference number is 10035763.
For further information or questions, please contact our
Investor Relations Department at (301) 968-9220 or IR@MTGE.com.
ABOUT AMERICAN CAPITAL MORTGAGE INVESTMENT CORP.
American Capital Mortgage Investment Corp. is a real estate
investment trust that invests in and manages a leveraged portfolio
of agency mortgage investments, non-agency mortgage investments and
other mortgage-related investments. The Company is externally
managed and advised by American Capital MTGE Management, LLC, an
affiliate of American Capital, Ltd. ("American Capital"). For
further information please refer to www.MTGE.com.
ABOUT AMERICAN CAPITAL
American Capital is a publicly traded private equity firm and
global asset manager (Nasdaq: ACAS). American Capital, both
directly and through its asset management business, originates,
underwrites and manages investments in middle market private
equity, leveraged finance, real estate, energy & infrastructure
and structured products. American Capital manages $21 billion, including assets on its balance
sheet and fee earning assets under management by affiliated
managers, with $119 billion of total
assets under management (including levered assets). Through an
affiliate, American Capital manages publicly traded American
Capital Agency Corp. (Nasdaq: AGNC) with approximately $10 billion of net book value and American
Capital Mortgage Investment Corp. (Nasdaq: MTGE) with approximately
$1 billion of net book value. From
its eight offices in the U.S. and Europe, American Capital and its affiliate,
European Capital, will consider investment opportunities from
$10 million to $750 million. For
further information, please refer to www.AmericanCapital.com.
FORWARD LOOKING STATEMENTS
This press release contains forward-looking statements.
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 or
results. 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 important
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, the receipt of regulatory approval or other closing
conditions for a transaction, general economic conditions, market
conditions, conditions in the market for agency and non-agency
securities and mortgage related investments, and legislative and
regulatory changes that could adversely affect the business of the
Company. Certain important factors that could cause actual
results to differ materially from those contained in the
forward-looking statements, are included in the Company's periodic
reports filed with the Securities and Exchange Commission
("SEC"). Copies are available on the SEC's website,
www.sec.gov. The Company disclaims any obligation to update or
revise any forward-looking statements based on the occurrence of
future events, the receipt or new information, or otherwise.
USE OF NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP,
this release includes certain non-GAAP financial information,
including net spread income, net spread and dollar roll income,
estimated taxable income and certain financial metrics derived from
non-GAAP information, such as estimated undistributed taxable
income, which the Company's management uses in its internal
analysis of results, and believes may be informative to
investors.
GAAP interest expense does not include interest related to
periodic settlements associated with undesignated interest rate
swaps. Periodic interest settlements associated with undesignated
interest rate swaps are reported in realized gain (loss) on
periodic settlements of interest rate swaps on our consolidated
statement of operations. As we believe that these items are
beneficial to the understanding of our investment performance, we
provide a non-GAAP measure called adjusted net interest income,
which includes the impact of net periodic settlements of interest
rates swaps. Additionally, we present net spread income as a
measure of our operating performance. Net spread income is
comprised of adjusted net interest income, less total operating
expenses. Net spread income excludes all unrealized gains or
losses due to changes in fair value, realized gains or losses on
sales of securities, realized losses associated with derivative
instruments and income taxes. Net spread and dollar roll income
includes the impact of estimated net carry income or loss (also
known as "dollar roll income/loss") associated with net purchases
or sales of agency mortgage backed securities on a
forward-settlement basis through the TBA market.
Estimated taxable income is pre-tax income calculated in
accordance with the requirements of the Internal Revenue Code
rather than GAAP. Estimated taxable income differs from GAAP
income because of both temporary and permanent differences in
income and expense recognition. Examples include (i)
temporary differences for unrealized gains and losses on derivative
instruments and investment securities recognized in current income
for GAAP but excluded from estimated taxable income until realized
or settled, (ii) temporary differences related to the amortization
of premiums and discounts paid on investments, and (iii) timing
differences in the recognition of certain realized gains and
losses. Furthermore, taxable income can include certain
estimated information and is subject to potential adjustments up to
the time of filing of the appropriate tax returns, which occurs
after the end of the calendar year of the Company.
The Company believes that these non-GAAP financial measures
provide information useful to investors because net spread income
is a financial metric used by management and investors and
estimated taxable income is directly related to the amount of
dividends the Company is required to distribute in order to
maintain its REIT tax qualification status.
The Company also believes that providing investors with net
spread income, estimated taxable income and certain financial
metrics derived from such non-GAAP financial information, in
addition to the related GAAP measures, gives investors greater
transparency to the information used by management in its financial
and operational decision-making. However, because net spread
income and estimated taxable income are incomplete measures of the
Company's financial performance and involve differences from net
income computed in accordance with GAAP, they should be considered
as supplementary to, and not as a substitute for, the Company's net
income computed in accordance with GAAP as a measure of the
Company's financial performance. In addition, because not all
companies use identical calculations, our presentation of net
spread income and estimated taxable income may not be comparable to
other similarly-titled measures of other companies.
CONTACT:
Investors - (301) 968-9220
Media - (301) 968-9400
SOURCE American Capital Mortgage Investment Corp.