BETHESDA, Md., Feb. 4,
2015 /PRNewswire/ -- American Capital Mortgage Investment Corp.
("MTGE" or the "Company") (Nasdaq: MTGE) today reported net income
for the quarter ended December 31, 2014 of $16.7 million, or $0.33 per common share, and net book value of
$21.91 per common share.
Economic return for the period, defined as dividends and change in
net book value per common share, was 1.4% for the quarter. For the
full year 2014, MTGE reported an economic return of 14.1%.
FOURTH QUARTER 2014 FINANCIAL HIGHLIGHTS
- $0.33 net income per common share
- Includes all unrealized gains and losses on investment and
hedging portfolios
- $0.67 net spread and dollar roll
income per common share, excluding estimated "catch-up" premium
amortization
- Includes $0.19 estimated dollar
roll income per common share associated with the Company's
$1.1 billion average net long
position in agency mortgage-backed securities ("MBS") in the
"to-be-announced" ("TBA") market
- Excludes $(0.03) estimated
"catch-up" premium amortization cost per common share due to change
in projected constant prepayment rate ("CPR") estimates
- Excludes $(0.09) net servicing
loss per common share
- $0.65 dividend declared per
common share on December 18, 2014
- 13.8% annualized dividend yield based on December 31, 2014 closing stock price of
$18.84 per common share
- $21.91 net book value per common
share as of December 31, 2014
- Decreased $(0.33) per common
share, or (1.5)%, from $22.24 per
common share as of September 30,
2014
- 1.4% economic return on common equity for the quarter, or 5.8%
annualized
- Comprised of $0.65 dividend per
common share and $(0.33) decrease in
net book value per common share
ADDITIONAL FOURTH QUARTER 2014 HIGHLIGHTS
- $5.9 billion investment portfolio
as of December 31, 2014
- $4.4 billion agency
securities
- $0.3 billion net long TBA
mortgage position
- $1.2 billion non-agency
securities
- $0.1 billion mortgage servicing
rights ("MSR")
- 4.6x "at risk" leverage as of December
31, 2014
- 4.4x excluding net long TBA mortgage position
- 8.0% agency securities actual CPR for the quarter
- 8.2% projected life CPR for agency securities as of
December 31, 2014
- 2.35% annualized net spread and dollar roll income for the
quarter, excluding estimated "catch-up" premium amortization
FULL YEAR 2014 HIGHLIGHTS
- 14.1% economic return on common equity, comprised of:
- $2.60 dividend per common
share
- $0.44 increase in net book value
per common share
- $3.06 net income per common
share
- $53 million of net proceeds
raised from 8.125% Series A Cumulative Redeemable Preferred Stock
(the "Series A Preferred Stock")
MANAGEMENT REMARKS
"We are pleased with MTGE's 2014 performance. Our
portfolio generated an economic return of 14%, and our total stock
return exceeded 23% for the year," commented Gary Kain, President and Chief Investment
Officer. "At the beginning of 2014, the consensus view was
that interest rates would increase and agency MBS spreads would
widen as the economy strengthened and the Federal Reserve ended its
asset purchases. We took a more balanced approach to managing
the portfolio than this consensus view might suggest, maintaining a
larger duration gap, allocating a relatively high proportion of our
capital to agency investments, and operating with moderate
leverage. Interest rates ultimately declined in 2014, and
agency MBS performed well, contrary to popular sentiment."
"Our non-agency MBS also performed well during 2014, modestly
lagging our agency investments, as the US housing market and the
broader economy continued to show improvement, while supply and
demand fundamentals remained favorable," continued Mr. Kain.
"With respect to our mortgage servicing investments and operations,
we were patient in acquiring MSR, despite the negative impact on
the operating performance of our servicing platform, as elevated
market valuations did not adequately reflect our view of the
underlying risks. Looking ahead, with longer term rates near
historic lows, managing prepayment and extension risk will be
critical to producing attractive risk-adjusted returns. These
are familiar challenges for us and we are confident that our
disciplined and active approach to portfolio management will serve
us well in this environment. Moreover, we believe our
non-agency portfolio is well positioned, and we expect to have
attractive investment opportunities in GSE risk sharing
transactions in 2015."
"2014 was another strong year for MTGE," commented John Erickson, Chief Financial Officer and
Executive Vice President. "We are very pleased with last year's
economic return, as well as the outstanding 61% economic return
that MTGE has generated since its IPO in late 2011. These are
great results for MTGE shareholders and are a testament to our
investment philosophy that stresses active management, prudent
asset selection and careful diversification. We are happy
with our performance to date, but we are even more excited about
MTGE's future. We are confident that MTGE is well positioned
to take full advantage of the ever changing landscape in the US
housing market."
INVESTMENT PORTFOLIO
As of December 31, 2014, the Company's investment portfolio
included $4.4 billion of agency MBS,
$0.3 billion of net long TBA
securities, $1.2 billion of
non-agency MBS and $0.1 billion of
MSR.
As of December 31, 2014, the Company's agency investment
portfolio, inclusive of net long TBA, was comprised of $4.5 billion of fixed rate and $0.1 billion of adjustable rate securities.
As of December 31, 2014, the Company's agency fixed rate
investments were comprised of $1.7
billion 15 year securities, $0.2
billion 20 year securities, $2.3
billion 30 year securities and $0.3
billion 15 year net long TBA securities. As of
December 31, 2014, 15 year fixed rate investments represented
43% of the Company's agency investment portfolio, an increase from
27% as of September 30, 2014, and 30
year fixed rate investments represented 50% of the Company's agency
investment portfolio, a decrease from 66% as of September 30, 2014.
As of December 31, 2014, the Company's agency fixed rate
mortgage assets, inclusive of the net TBA position, had a weighted
average coupon of 3.23%, comprised of a weighted average coupon of
2.98% for <15 year securities, 3.35% for 20 year securities and
3.44% for 30 year securities.
As of December 31, 2014, the Company's $1.2 billion non-agency portfolio was comprised
of 42% Alt-A, 24% prime, 15% option ARM and 19% subprime
securities. The Company's non-agency securities
collateralized by prime mortgage loans had a total fair value of
$282 million, of which $104 million related to GSE issued, credit risk
transfer securities.
The Company accounts for TBA securities as derivative
instruments and recognizes dollar roll income and other realized
and unrealized gains and losses on TBA securities in other gains
(losses), net on the Company's consolidated statements of
operations. As of December 31, 2014, the Company's net
long TBA mortgage portfolio had a fair value and cost basis of
approximately $0.3 billion, with a
net carrying value of $11.6 million
reported in derivative assets/(liabilities) on the Company's
consolidated balance sheets.
AGENCY CONSTANT PREPAYMENT RATES
The actual CPR for the Company's agency portfolio during the
fourth quarter of 2014 was 8.0%, down from 8.9% during the third
quarter. The CPR published in January
2015 for the Company's agency portfolio held as of
December 31, 2014 was 7.7%, and the weighted average projected
CPR for the remaining life of the Company's agency securities held
as of December 31, 2014 was 8.2%, compared to 7.6% as of
September 30, 2014.
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. 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.
The amortization of premiums (net of any accretion of discounts)
on the agency portfolio for the quarter was $9.0 million, or $0.18 per common share. The Company
recognized approximately $(1.7)
million, or $(0.03) per common
share, of "catch-up" premium amortization expense during the
quarter, as projected CPR estimates rose for the Company's existing
agency securities during the quarter. The weighted average
cost basis of the Company's agency securities was 104.4% of par and
the unamortized agency net premium was $184.3 million as of December 31,
2014.
NON-AGENCY DISCOUNT ACCRETION
The weighted average cost basis of the Company's non-agency
portfolio was 80.9% of par as of December 31, 2014.
Discount accretion on the non-agency portfolio for the quarter was
$10.1 million, or $0.20 per common share. The total net
discount remaining was $262.5 million
as of December 31, 2014, with $135.9
million designated as credit reserves.
ASSET YIELDS, COST OF FUNDS AND NET INTEREST RATE
SPREAD
The Company's average annualized net interest rate spread and
dollar roll income for the fourth quarter was 2.24%, compared to
2.34% for the third quarter. Excluding dollar rolls, the
Company's average net interest rate spread was 2.16% for the fourth
quarter, down 10 bps from 2.26% for the third quarter.
The Company's average asset yield on its MBS portfolio for the
fourth quarter was 3.18%, compared to 3.28% for the third
quarter. Excluding the impact of "catch-up" premium
amortization expense recognized due to changes in projected CPR
estimates, the annualized weighted average yield on the Company's
MBS portfolio was 3.31% for the fourth quarter, compared to 3.34%
for the third quarter. The Company's asset yield as of
December 31, 2014 was 3.24%, down 9 bps from 3.33% as of
September 30, 2014.
The Company's average cost of funds of 1.02% for the fourth
quarter (derived from the cost of repurchase agreements and
effective interest rate swaps) was consistent with the third
quarter. The Company's average cost of funds of 1.02% as of
December 31, 2014 was down 1 bp from 1.03% as of September 30, 2014.
LEVERAGE AND HEDGING ACTIVITIES
As of December 31, 2014, $4.7
billion of the Company's repurchase agreements were used to
fund purchases of agency and non-agency securities, while the
remaining $0.7 billion were used to
fund purchases of U.S. Treasury securities and are not included in
the Company's measurements of leverage. Including net long
TBA securities, the Company's "at risk" leverage ratio was 4.6x as
of December 31, 2014 and averaged 5.3x during the fourth
quarter.
The $4.7 billion borrowed under
agency and non-agency repurchase agreements as of December 31,
2014 had remaining maturities consisting of:
- $2.2 billion of one month or
less;
- $0.6 billion between one and two
months;
- $0.6 billion between two and
three months;
- $0.5 billion between three and
six months;
- $0.1 billion between six and nine
months;
- $0.2 billion between nine and
twelve months; and
- $0.5 billion greater than twelve
months.
As of December 31, 2014, the Company's agency and
non-agency repurchase agreements had an average of 210 days
remaining to maturity, up from 87 days as of September 30, 2014.
As of December 31, 2014, the Company had repurchase
agreements with 31 financial institutions and less than 5% of the
Company's equity was at risk with any one counterparty, with the
top five counterparties representing less than 21% of the Company's
equity at risk.
The Company's interest rate swap positions as of
December 31, 2014 totaled $4.0
billion in notional amount, with a weighted average fixed
pay rate of 2.08%, a weighted average receive rate of 0.23% and a
weighted average maturity of 4.7 years. Excluding forward
starting swaps, the Company's interest rate swap portfolio had a
notional balance of $1.9 billion and
an average fixed pay rate of 1.24% as of December 31,
2014. 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 utilizes interest rate swaptions to mitigate the
Company's exposure to larger, more rapid increases in interest
rates. As of December 31, 2014, the Company held payer
swaption contracts with a total notional amount of $0.6 billion and a weighted average expiration of
1.1 years. These swaptions have an underlying weighted
average interest rate swap term of 6.5 years and a weighted average
pay rate of 3.29% as of December 31, 2014.
In addition to its interest rate swaps and swaptions, the
Company held a $0.3 billion net long
position in U.S. Treasury securities and futures.
As of December 31, 2014, 84% of the Company's combined
repurchase agreement and net long TBA balance was hedged through a
combination of interest rate swaps, interest rate swaptions, and
U.S. Treasury securities and futures.
SERVICING
As of December 31, 2014, Residential Credit Solutions, Inc.
("RCS") managed a servicing portfolio of approximately 66,000
residential mortgage loans, representing approximately $14 billion in unpaid principal balances. During
the fourth quarter, the Company recorded $11.8 million in servicing income and
$(16.2) million in servicing expense,
which included $(2.3) million in
realization of cash flows on MSR.
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 fourth quarter, the Company recorded $(6.8) million in other gains (losses), net, or
$(0.13) per common share. Other
gains (losses), net, for the quarter are comprised of:
- $0.1 million of net realized gain
on agency securities;
- $7.3 million of net realized gain
on non-agency securities;
- $60.5 million of net unrealized
gain on agency securities;
- $(15.1) million of net unrealized
loss on non-agency securities;
- $(5.0) million of net realized
loss on periodic settlements of interest rate swaps;
- $(23.7) million of net realized
loss on other derivatives and securities;
- $(27.0) million of net unrealized
loss on other derivatives and securities; and
- $(3.9) million of unrealized loss
on mortgage servicing rights.
Realized and unrealized net losses on other derivatives and
securities during the fourth quarter include $(58.2) million of net loss on interest rate
swaps and swaptions, $(17.4) million
of net loss on U.S. treasury securities and futures, and
$24.2 million of net gain on TBA
mortgage positions (including $9.9
million of dollar roll income).
ESTIMATED TAXABLE INCOME
REIT taxable income for the fourth quarter is estimated at
$0.51 per common share, or
$0.18 higher than GAAP net income per
common share.
The primary differences between GAAP net income and estimated
REIT taxable net income are (i) unrealized gains and losses
associated with investment securities, interest rate swaps and
other derivatives and securities marked-to-market in current income
for GAAP purposes, but excluded from taxable income until realized
or settled, (ii) timing differences, both temporary and potentially
permanent, in the recognition of certain realized gains and losses,
(iii) losses or undistributed income of taxable REIT subsidiaries
and (iv) temporary differences related to the amortization and
accretion of net premiums and discounts paid on investments.
The Company's estimated taxable income for the fourth quarter
excludes $(0.04) per share of
estimated net capital losses, which are not included in the
Company's ordinary taxable income.
As of December 31, 2014, the Company had approximately
$6.3 million of estimated
undistributed taxable income ("UTI"), or $0.12 per common share, net of dividends
declared. UTI excludes the Company's remaining unutilized net
capital loss carryforwards and net deferred gains from terminated
or expired swaps and swaptions. As of December 31, 2014,
the Company had estimated remaining unutilized net capital losses
of $(144.9) million, or $(2.83) per common share, which may be carried
forward and applied against future net capital gains through
2018. Additionally, as of December 31, 2014, the Company
had estimated net deferred gains from terminated swaps and
swaptions of $69.7 million, or
$1.36 per common share, which will be
amortized into future ordinary taxable income over the remaining
terms of the underlying swaps.
FOURTH QUARTER 2014 DIVIDEND DECLARATION
On December 18, 2014, the Board of
Directors of the Company declared a fourth quarter dividend on its
common stock of $0.65 per share,
unchanged from the prior quarter, which was paid on January 27, 2015 to common stockholders of record
as of December 31, 2014. Since
its August 2011 initial public
offering, the Company has declared and paid a total of $418.0 million in common stock dividends, or
$10.25 per common share.
On December 18, 2014, the Board of
Directors of the Company declared a fourth quarter dividend on its
Series A Preferred Stock of $0.5078125 per share. The dividend was paid on
January 15, 2015 to preferred
stockholders of record as of January 1,
2015. Since the May 2014
Series A Preferred Stock offering, the Company has declared and
paid a total of $2.7 million in
Series A Preferred Stock dividends, or $1.314675 per share.
The Company also announced the tax characteristics of its 2014
common stock and Series A Preferred Stock dividends. The Company's
2014 dividends of $2.60 per common
share and $1.314675 per share of
Series A Preferred Stock consisted of ordinary dividends for
federal income tax purposes. Stockholders should receive an IRS
Form 1099-DIV containing this information from their brokers,
transfer agents or other institutions. For additional detail please
visit the Company's website at www.MTGE.com.
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December
31, 2014
|
|
September
30, 2014
|
|
June
30, 2014
|
|
March
31, 2014
|
|
December
31, 2013
|
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(unaudited)
|
|
(audited)
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
Agency
securities, at fair value
|
|
$
4,384,139
|
|
$
4,259,763
|
|
$
4,464,193
|
|
$
4,953,038
|
|
$
5,641,682
|
Non-agency
securities, at fair value
|
|
1,168,834
|
|
1,075,867
|
|
1,051,140
|
|
1,036,180
|
|
1,011,217
|
REIT equity
securities, at fair value
|
|
-
|
|
-
|
|
11,482
|
|
41,344
|
|
38,807
|
Treasury
securities, at fair value
|
|
758,629
|
|
467,201
|
|
148,328
|
|
121,623
|
|
637,342
|
Cash and cash
equivalents
|
|
203,431
|
|
204,938
|
|
200,015
|
|
190,599
|
|
206,398
|
Restricted
cash
|
|
82,144
|
|
88,161
|
|
92,157
|
|
58,487
|
|
21,005
|
Interest
receivable
|
|
15,249
|
|
14,523
|
|
14,112
|
|
16,045
|
|
20,620
|
Derivative
assets, at fair value
|
|
28,574
|
|
32,948
|
|
35,524
|
|
41,129
|
|
108,221
|
Receivable for
securities sold
|
|
26,747
|
|
49,131
|
|
196,616
|
|
4,743
|
|
608,646
|
Receivable
under reverse repurchase agreements
|
|
214,399
|
|
745,443
|
|
579,364
|
|
766,021
|
|
22,736
|
Mortgage
servicing rights, at fair value
|
|
93,640
|
|
100,314
|
|
106,164
|
|
38,508
|
|
15,608
|
Other
assets
|
|
55,466
|
|
45,638
|
|
63,034
|
|
56,216
|
|
65,583
|
Total assets
|
|
$
7,031,252
|
|
$
7,083,927
|
|
$
6,962,129
|
|
$
7,323,933
|
|
$
8,397,865
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$
5,423,630
|
|
$
4,921,812
|
|
$
4,999,178
|
|
$
5,303,712
|
|
$
7,158,192
|
Payable for
agency and non-agency securities
purchased
|
|
49,755
|
|
98,671
|
|
26,341
|
|
57,078
|
|
-
|
Derivative
liabilities, at fair value
|
|
75,981
|
|
48,742
|
|
51,027
|
|
14,110
|
|
11,327
|
Dividend
payable
|
|
34,374
|
|
34,359
|
|
33,900
|
|
33,242
|
|
33,381
|
Obligation to
return securities borrowed under
reverse repurchase agreements, at fair value
|
|
230,136
|
|
742,642
|
|
580,646
|
|
760,676
|
|
22,530
|
Accounts
payable and other accrued liabilities
|
|
41,407
|
|
45,424
|
|
53,347
|
|
41,050
|
|
69,715
|
Total liabilities
|
|
5,855,283
|
|
5,891,650
|
|
5,744,439
|
|
6,209,868
|
|
7,295,145
|
Stockholders'
equity:
|
|
|
|
|
|
|
|
|
|
|
Redeemable
preferred stock - aggregate liquidation
preference of $55,000
|
|
53,039
|
|
53,039
|
|
53,018
|
|
-
|
|
-
|
Common stock,
$0.01 par value; 300,000 shares
authorized, 51,165, 51,142, 51,142, 51,142 and
51,356 issued and outstanding, respectively
|
|
512
|
|
511
|
|
511
|
|
511
|
|
514
|
Additional
paid-in capital
|
|
1,198,560
|
|
1,198,324
|
|
1,197,692
|
|
1,197,656
|
|
1,201,826
|
Retained
deficit
|
|
(76,142)
|
|
(59,597)
|
|
(33,531)
|
|
(84,102)
|
|
(99,620)
|
Total stockholders' equity
|
|
1,175,969
|
|
1,192,277
|
|
1,217,690
|
|
1,114,065
|
|
1,102,720
|
Total liabilities and stockholders' equity
|
|
$
7,031,252
|
|
$
7,083,927
|
|
$
6,962,129
|
|
$
7,323,933
|
|
$
8,397,865
|
|
|
|
|
|
|
|
|
|
|
|
Net book value per
common share
|
|
$
21.91
|
|
$
22.24
|
|
$
22.73
|
|
$
21.78
|
|
$
21.47
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year
Ended
|
|
|
December
31, 2014
|
|
September
30, 2014
|
|
June
30, 2014
|
|
March
31, 2014
|
|
December
31, 2014
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
Agency
securities
|
|
$
25,825
|
|
$
27,208
|
|
$
31,459
|
|
$
34,272
|
|
$
118,764
|
Non-agency
securities
|
|
16,488
|
|
16,324
|
|
15,502
|
|
15,968
|
|
64,282
|
Other
|
|
65
|
|
114
|
|
77
|
|
56
|
|
312
|
Interest
expense
|
|
(6,823)
|
|
(6,407)
|
|
(7,256)
|
|
(8,145)
|
|
(28,631)
|
Net interest income
|
|
35,555
|
|
37,239
|
|
39,782
|
|
42,151
|
|
154,727
|
|
|
|
|
|
|
|
|
|
|
|
Servicing:
|
|
|
|
|
|
|
|
|
|
|
Servicing
income
|
|
11,839
|
|
13,081
|
|
11,389
|
|
9,564
|
|
45,873
|
Servicing
expense
|
|
(16,225)
|
|
(16,213)
|
|
(14,426)
|
|
(14,222)
|
|
(61,086)
|
Net servicing loss
|
|
(4,386)
|
|
(3,132)
|
|
(3,037)
|
|
(4,658)
|
|
(15,213)
|
|
|
|
|
|
|
|
|
|
|
|
Other gains
(losses), net:
|
|
|
|
|
|
|
|
|
|
|
Realized gain
(loss) on agency securities, net
|
|
133
|
|
685
|
|
4,052
|
|
(13,133)
|
|
(8,263)
|
Realized gain
on non-agency securities, net
|
|
7,285
|
|
17,403
|
|
12,983
|
|
1,409
|
|
39,080
|
Realized loss
on periodic settlements of interest rate swaps, net
|
|
(4,988)
|
|
(5,226)
|
|
(5,227)
|
|
(4,947)
|
|
(20,388)
|
Realized gain
(loss) on other derivatives and securities, net
|
|
(23,681)
|
|
13,704
|
|
11,560
|
|
(22,028)
|
|
(20,445)
|
Unrealized
gain (loss) on agency securities, net
|
|
60,474
|
|
(18,446)
|
|
78,336
|
|
67,557
|
|
187,921
|
Unrealized
gain (loss) on non-agency securities, net
|
|
(15,120)
|
|
(21,103)
|
|
2,018
|
|
7,830
|
|
(26,375)
|
Unrealized
loss on other derivatives and securities, net
|
|
(27,046)
|
|
(3,303)
|
|
(49,211)
|
|
(19,094)
|
|
(98,654)
|
Unrealized
loss on mortgage servicing rights
|
|
(3,906)
|
|
(3,076)
|
|
(529)
|
|
(100)
|
|
(7,611)
|
Total other gains (losses), net
|
|
(6,849)
|
|
(19,362)
|
|
53,982
|
|
17,494
|
|
45,265
|
|
|
|
|
|
|
|
|
|
|
|
Expenses:
|
|
|
|
|
|
|
|
|
|
|
Management
fees
|
|
4,472
|
|
4,544
|
|
4,377
|
|
4,248
|
|
17,641
|
General and
administrative expenses
|
|
2,137
|
|
1,908
|
|
1,846
|
|
1,830
|
|
7,721
|
Total expenses
|
|
6,609
|
|
6,452
|
|
6,223
|
|
6,078
|
|
25,362
|
|
|
|
|
|
|
|
|
|
|
|
Income before
tax
|
|
17,711
|
|
8,293
|
|
84,504
|
|
48,909
|
|
159,417
|
Provision for
income tax, net
|
|
(118)
|
|
-
|
|
207
|
|
149
|
|
238
|
Net
income
|
|
17,829
|
|
8,293
|
|
84,297
|
|
48,760
|
|
159,179
|
Dividend on
preferred stock
|
|
(1,117)
|
|
(1,117)
|
|
(484)
|
|
-
|
|
(2,718)
|
Net income
available to common shareholders
|
|
$
16,712
|
|
$
7,176
|
|
$
83,813
|
|
$
48,760
|
|
$
156,461
|
|
|
|
|
|
|
|
|
|
|
|
Net income per
basic and diluted common
share
|
|
$
0.33
|
|
$
0.14
|
|
$
1.64
|
|
$
0.95
|
|
$
3.06
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares
outstanding - basic
|
|
51,150
|
|
51,142
|
|
51,142
|
|
51,272
|
|
51,176
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares
outstanding - diluted
|
|
51,175
|
|
51,158
|
|
51,142
|
|
51,272
|
|
51,192
|
|
|
|
|
|
|
|
|
|
|
|
Dividends declared
per common share
|
|
$
0.65
|
|
$
0.65
|
|
$
0.65
|
|
$
0.65
|
|
$
2.60
|
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)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year
Ended
|
|
|
December
31, 2014
|
|
September
30, 2014
|
|
June
30, 2014
|
|
March
31, 2014
|
|
December
31, 2014
|
Interest
income:
|
|
|
|
|
|
|
|
|
|
|
Agency
securities
|
|
$
25,825
|
|
$
27,208
|
|
$
31,459
|
|
$
34,272
|
|
$
118,764
|
Non-agency
securities and other
|
|
16,553
|
|
16,438
|
|
15,579
|
|
16,024
|
|
64,594
|
Interest
expense
|
|
(6,823)
|
|
(6,407)
|
|
(7,256)
|
|
(8,145)
|
|
(28,631)
|
Net interest income
|
|
35,555
|
|
37,239
|
|
39,782
|
|
42,151
|
|
154,727
|
Dividend
income from investments in REIT
equity securities (2)
|
|
-
|
|
-
|
|
732
|
|
1,108
|
|
1,840
|
Realized loss
on periodic settlements of interest
rate swaps, net
|
|
(4,988)
|
|
(5,226)
|
|
(5,227)
|
|
(4,947)
|
|
(20,388)
|
Adjusted net interest income
|
|
30,567
|
|
32,013
|
|
35,287
|
|
38,312
|
|
136,179
|
Operating expenses
(3)
|
|
(6,609)
|
|
(6,452)
|
|
(6,223)
|
|
(6,078)
|
|
(25,362)
|
Net spread income
|
|
23,958
|
|
25,561
|
|
29,064
|
|
32,234
|
|
110,817
|
Dollar roll income
(loss)
|
|
9,909
|
|
10,364
|
|
8,030
|
|
(1,824)
|
|
26,479
|
Net spread and dollar roll income
|
|
33,867
|
|
35,925
|
|
37,094
|
|
30,410
|
|
137,296
|
Dividend on preferred
stock
|
|
(1,117)
|
|
(1,117)
|
|
(484)
|
|
-
|
|
(2,718)
|
Net spread and dollar roll income available
to common shareholders
|
|
$
32,750
|
|
$
34,808
|
|
$
36,610
|
|
$
30,410
|
|
$
134,578
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares
outstanding - basic
|
|
51,150
|
|
51,142
|
|
51,142
|
|
51,272
|
|
51,176
|
Weighted average
number of common shares
outstanding - diluted
|
|
51,175
|
|
51,158
|
|
51,142
|
|
51,272
|
|
51,192
|
|
|
|
|
|
|
|
|
|
|
|
Net spread and
dollar roll income per
common share – basic and
diluted
|
|
$
0.64
|
|
$
0.68
|
|
$
0.72
|
|
$
0.59
|
|
$
2.63
|
Net spread and
dollar roll income,
excluding "catch up" amortization
per
common share - basic and
diluted
|
|
$
0.67
|
|
$
0.70
|
|
$
0.71
|
|
$
0.62
|
|
$
2.69
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
RECONCILIATIONS OF
GAAP NET INCOME TO ESTIMATED TAXABLE INCOME
(1)
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
Year
Ended
|
|
|
December
31, 2014
|
|
September
30, 2014
|
|
June
30, 2014
|
|
March
31, 2014
|
|
December
31, 2014
|
Net
income
|
|
$
17,829
|
|
$
8,293
|
|
$
84,297
|
|
$
48,760
|
|
$
159,179
|
Estimated book to
tax differences:
|
|
|
|
|
|
|
|
|
|
|
Unrealized (gains)
and losses, net
|
|
|
|
|
|
|
|
|
|
|
Agency securities
|
|
(60,474)
|
|
18,446
|
|
(78,336)
|
|
(67,557)
|
|
(187,921)
|
Non-agency
securities
|
|
15,120
|
|
21,103
|
|
(2,018)
|
|
(7,830)
|
|
26,375
|
Derivatives and other
securities
|
|
30,952
|
|
6,379
|
|
49,740
|
|
19,194
|
|
106,265
|
Premium amortization,
net
|
|
131
|
|
(3,778)
|
|
(4,232)
|
|
(1,722)
|
|
(9,601)
|
Capital losses
(gains) in excess of capital gains (losses)
(4)
|
|
2,269
|
|
(37,359)
|
|
(34,583)
|
|
19,502
|
|
(50,171)
|
Other realized
(gains) losses, net
|
|
16,986
|
|
4,451
|
|
5,323
|
|
15,912
|
|
42,672
|
Taxable REIT
subsidiary loss and other
|
|
4,483
|
|
3,132
|
|
3,244
|
|
4,807
|
|
15,666
|
Total book to tax
difference
|
|
9,467
|
|
12,374
|
|
(60,862)
|
|
(17,694)
|
|
(56,715)
|
Estimated taxable
income
|
|
27,296
|
|
20,667
|
|
23,435
|
|
31,066
|
|
102,464
|
Dividend on preferred
stock
|
|
(1,117)
|
|
(1,117)
|
|
(484)
|
|
-
|
|
(2,718)
|
Estimated taxable
income available to common shareholders
|
|
$
26,179
|
|
$
19,550
|
|
$
22,951
|
|
$
31,066
|
|
$
99,746
|
|
|
|
|
|
|
|
|
|
|
|
Weighted average
number of common shares outstanding - basic
|
|
51,150
|
|
51,142
|
|
51,142
|
|
51,272
|
|
51,176
|
Weighted average
number of common shares outstanding - diluted
|
|
51,175
|
|
51,158
|
|
51,142
|
|
51,272
|
|
51,192
|
|
|
|
|
|
|
|
|
|
|
|
Net estimated
taxable income per common share – basic and diluted
|
|
$
0.51
|
|
$
0.38
|
|
$
0.45
|
|
$
0.61
|
|
$
1.95
|
Estimated
cumulative undistributed REIT taxable income per common
share
|
|
$
0.12
|
|
$
0.26
|
|
$
0.53
|
|
$
0.73
|
|
$
0.12
|
|
|
|
|
|
|
|
|
|
|
|
Beginning cumulative
non-deductible capital losses
|
|
$
142,628
|
|
$
179,987
|
|
$
214,570
|
|
$
195,068
|
|
$
195,068
|
Current period net
capital loss (gain)
|
|
2,269
|
|
(37,359)
|
|
(34,583)
|
|
19,502
|
|
(50,171)
|
Ending cumulative
non-deductible capital losses
|
|
$
144,897
|
|
$
142,628
|
|
$
179,987
|
|
$
214,570
|
|
$
144,897
|
Ending cumulative
non-deductible capital losses per common share
|
|
$
2.83
|
|
$
2.79
|
|
$
3.52
|
|
$
4.20
|
|
$
2.83
|
AMERICAN CAPITAL
MORTGAGE INVESTMENT CORP.
|
KEY PORTFOLIO
STATISTICS (1)
|
(in thousands,
except per share data)
|
(unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months
Ended
|
|
|
December
31, 2014
|
|
September
30, 2014
|
|
June
30, 2014
|
|
March
31, 2014
|
|
December
31, 2013
|
Ending agency
securities, at fair value
|
|
$
4,384,139
|
|
$
4,259,763
|
|
$ 4,464,193
|
|
$
4,953,038
|
|
$
5,641,682
|
Ending agency
securities, at cost
|
|
$
4,374,729
|
|
$
4,310,828
|
|
$ 4,496,811
|
|
$
5,063,993
|
|
$
5,820,194
|
Ending agency
securities, at par
|
|
$
4,190,407
|
|
$
4,128,817
|
|
$ 4,301,864
|
|
$
4,849,295
|
|
$
5,573,593
|
Average agency
securities, at cost
|
|
$
4,280,835
|
|
$
4,323,399
|
|
$ 4,851,241
|
|
$
5,606,086
|
|
$
7,674,009
|
Average agency
securities, at par
|
|
$
4,100,924
|
|
$
4,138,378
|
|
$ 4,645,002
|
|
$
5,368,817
|
|
$
7,335,621
|
|
|
|
|
|
|
|
|
|
|
|
Ending non-agency
securities, at fair value
|
|
$
1,168,834
|
|
$
1,075,867
|
|
$ 1,051,140
|
|
$
1,036,180
|
|
$
1,011,217
|
Ending non-agency
securities, at cost
|
|
$
1,111,123
|
|
$
1,003,036
|
|
$
957,207
|
|
$
944,264
|
|
$
927,131
|
Ending non-agency
securities, at par
|
|
$
1,373,652
|
|
$
1,477,251
|
|
$ 1,490,982
|
|
$
1,522,954
|
|
$
1,526,918
|
Average non-agency
securities, at cost
|
|
$
1,037,091
|
|
$
987,963
|
|
$
927,830
|
|
$
920,213
|
|
$
902,518
|
Average non-agency
securities, at par
|
|
$
1,348,656
|
|
$
1,493,252
|
|
$ 1,484,770
|
|
$
1,510,092
|
|
$
1,512,170
|
|
|
|
|
|
|
|
|
|
|
|
Net TBA portfolio -
as of period end, at fair value
|
|
$
271,617
|
|
$
949,111
|
|
$ 1,167,645
|
|
$
693,605
|
|
$
(774,840)
|
Net TBA portfolio -
as of period end, at cost
|
|
$
259,985
|
|
$
951,179
|
|
$ 1,154,708
|
|
$
693,414
|
|
$
(775,859)
|
Average net TBA
portfolio, at cost
|
|
$
1,072,410
|
|
$
1,095,781
|
|
$
865,738
|
|
$
(310,905)
|
|
$
(1,162,138)
|
|
|
|
|
|
|
|
|
|
|
|
Average total assets,
at fair value
|
|
$
7,040,096
|
|
$
6,872,722
|
|
$ 7,205,796
|
|
$
7,812,035
|
|
$
9,899,105
|
Average agency and
non-agency repurchase agreements
|
|
$
4,610,643
|
|
$
4,524,189
|
|
$ 5,062,594
|
|
$
5,762,349
|
|
$
7,654,594
|
Average stockholders'
equity (5)
|
|
$
1,180,019
|
|
$
1,200,644
|
|
$ 1,169,456
|
|
$
1,120,233
|
|
$
1,146,628
|
|
|
|
|
|
|
|
|
|
|
|
Average
coupon
|
|
3.02%
|
|
2.93%
|
|
2.95%
|
|
2.93%
|
|
3.04%
|
Average asset
yield
|
|
3.18%
|
|
3.28%
|
|
3.25%
|
|
3.08%
|
|
3.25%
|
Average cost of funds
(6)
|
|
1.02%
|
|
1.02%
|
|
0.99%
|
|
0.92%
|
|
0.99%
|
Average net interest
rate spread
|
|
2.16%
|
|
2.26%
|
|
2.26%
|
|
2.16%
|
|
2.25%
|
Average net interest
rate spread,
including estimated dollar roll income
(7)
|
|
2.24%
|
|
2.34%
|
|
2.32%
|
|
2.19%
|
|
2.27%
|
Average net spread
and dollar roll income, excluding catch-up premium
amortization
|
|
2.35%
|
|
2.39%
|
|
2.30%
|
|
2.29%
|
|
2.05%
|
Average coupon as of
period end
|
|
3.06%
|
|
2.94%
|
|
2.93%
|
|
2.93%
|
|
2.93%
|
Average asset yield
as of period end
|
|
3.24%
|
|
3.33%
|
|
3.33%
|
|
3.20%
|
|
3.18%
|
Average cost of funds
as of period end
|
|
1.02%
|
|
1.03%
|
|
1.02%
|
|
0.97%
|
|
0.88%
|
Average net interest
rate spread as of period end
|
|
2.22%
|
|
2.30%
|
|
2.31%
|
|
2.23%
|
|
2.30%
|
Average actual CPR
for agency securities held during the period
|
|
8.0%
|
|
8.9%
|
|
8.3%
|
|
5.7%
|
|
5.7%
|
Average projected
life CPR for agency securities as of period end
|
|
8.2%
|
|
7.6%
|
|
7.5%
|
|
8.2%
|
|
7.3%
|
|
|
|
|
|
|
|
|
|
|
|
Leverage - average
during the period (8)
|
|
4.3x
|
|
4.2x
|
|
4.8x
|
|
5.6x
|
|
6.8x
|
Leverage - average
during the period, including net TBA position
|
|
5.3x
|
|
5.2x
|
|
5.6x
|
|
5.3x
|
|
5.8x
|
Leverage - as of
period end (9)
|
|
4.4x
|
|
4.1x
|
|
4.2x
|
|
5.1x
|
|
5.9x
|
Leverage - as of
period end, including net TBA position
|
|
4.6x
|
|
4.9x
|
|
5.2x
|
|
5.8x
|
|
5.1x
|
|
|
|
|
|
|
|
|
|
|
|
Expenses % of average
total assets - annualized
|
|
0.4%
|
|
0.4%
|
|
0.3%
|
|
0.3%
|
|
0.2%
|
Expenses % of average
stockholders' equity - annualized
|
|
2.2%
|
|
2.1%
|
|
2.1%
|
|
2.2%
|
|
2.2%
|
Net book value per
common share as of period end
|
|
$
21.91
|
|
$
22.24
|
|
$
22.73
|
|
$
21.78
|
|
$
21.47
|
Dividends declared
per common share
|
|
$
0.65
|
|
$
0.65
|
|
$
0.65
|
|
$
0.65
|
|
$
0.65
|
Net return on average
stockholders' equity
|
|
6.0%
|
|
2.7%
|
|
28.9%
|
|
17.7%
|
|
(6.0)%
|
————————
(1) Table
includes non-GAAP financial measures. Average numbers for
each period are weighted based on days on the Company's books and
records. All percentages are annualized. Refer to "Use of
Non-GAAP Financial Information" for additional discussion of
non-GAAP financial measures.
(2)
Dividend income from investments in REIT equity securities is
included in realized gain (loss) on other derivatives and
securities, net on the consolidated statements of operations.
(3)
Excludes servicing expenses related to the Company's investment in
RCS.
(4) The
Company's estimated taxable income for the fourth quarter excludes
$(0.04) per common share of estimated
net capital losses, which are not included in the Company's
ordinary taxable income but are applied against previously
recognized net capital losses.
(5)
Excluding our investments in RCS and REIT equity securities, the
average stockholder's equity for the fourth quarter was
$1.1 billion.
(6)
Weighted average cost of funds includes periodic settlements of
interest rate swaps and excludes U.S. Treasury repurchase
agreements.
(7)
Estimated dollar roll income excludes the impact of other
supplemental hedges and is recognized in gain (loss) on derivative
instruments and other securities, net.
(8)
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 less investments in RCS and REIT equity
securities. Leverage excludes U.S. Treasury repurchase
agreements.
(9)
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 less investment in RCS. Leverage excludes U.S.
Treasury repurchase agreements.
STOCKHOLDER CALL
MTGE invites shareholders, prospective shareholders and analysts
to attend the MTGE shareholder call on February 5, 2015 at 11:00
am ET. Callers who do not plan on asking a question and have
access to the internet are encouraged to utilize the free live
webcast at www.MTGE.com. Those who do plan on participating in the
Q&A or do not have the internet available may access the call
by dialing (877) 503-6874 (U.S. domestic) or (412) 902-6600
(international). Please advise the operator you are dialing in for
the American Capital Mortgage shareholder call.
A slide presentation will accompany the call and will be
available at www.MTGE.com. Select the Q4 2014 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 February 5, 2015. In
addition, there will be a phone recording available one hour after
the live call on February 5, 2015
through February 19, 2015. 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 10058862.
For further information or questions, please contact the
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, LTD.
American Capital, Ltd. (Nasdaq: ACAS) is a publicly traded
private equity firm and global asset manager. 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 of assets,
including assets on its balance sheet and fee earning assets under
management by affiliated managers, with $80
billion of total assets under management (including levered
assets). Through a wholly owned affiliate, American Capital
manages publicly traded American Capital Agency Corp. (Nasdaq:
AGNC), American Capital Mortgage Investment Corp. (Nasdaq: MTGE)
and American Capital Senior Floating, Ltd. (Nasdaq: ACSF) with
approximately $11 billion of total
net book value. From its eight offices in the U.S.,
Europe and Asia, American Capital and its wholly owned
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
the Company's 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,
our results of operations discussed herein include certain non-GAAP
financial information, including "adjusted net interest income"
(including the periodic interest rate costs of our interest rate
swaps reported in gain (loss) on derivatives and other securities,
net in our consolidated statements of operations and dividends from
REIT equity securities) and "estimated taxable income" and certain
financial metrics derived from non-GAAP information, such as "cost
of funds" and "estimated undistributed taxable income." By
providing users of our financial information with such measures in
addition to the related GAAP measures, we believe it gives users
greater transparency into the information used by our management in
its financial and operational decision-making and that it is
meaningful information to consider related to: (i) the economic
costs of financing our investment portfolio inclusive of interest
rate swaps used to economically hedge against fluctuations in our
borrowing costs, (ii) in the case of net spread income, our current
financial performance without the effects of certain transactions
that are not necessarily indicative of our current investment
portfolio and operations, and (iii) in the case of estimated
taxable income and estimated undistributed taxable income,
information that is directly related to the amount of dividends we
are required to distribute in order to maintain our REIT
qualification status. However, because such measures are
incomplete measures of our financial performance and involve
differences from results computed in accordance with GAAP, they
should be considered as supplementary to, and not as a substitute
for, our results computed in accordance with GAAP. In
addition, because not all companies use identical calculations, our
presentation of such non-GAAP measures may not be comparable to
other similarly-titled measures of other companies.
Furthermore, estimated taxable income can include certain
information that is subject to potential adjustments up to the time
of filing our income tax returns, which occurs after the end of our
fiscal year.
A reconciliation of GAAP net interest income to non-GAAP net
spread and dollar roll income and a reconciliation of GAAP net
income to non-GAAP estimated taxable income is included in this
release.
CONTACT:
Investors - (301) 968-9220
Media - (301) 968-9400
To view the original version on PR Newswire,
visit:http://www.prnewswire.com/news-releases/american-capital-mortgage-investment-corp-reports-033-net-income-per-common-share-for-the-fourth-quarter-306-per-common-share-for-2014-and-2191-net-book-value-per-common-share-300031054.html
SOURCE American Capital Mortgage Investment Corp.