ARLINGTON, Va.,
Oct. 26,
2015 /PRNewswire/ -- Arlington Asset Investment
Corp. (NYSE: AI) (the "Company" or "Arlington") today reported non-GAAP
core operating
income of $31.1 million for the
quarter ended September 30, 2015, or
$1.35 per diluted
share. Excluding
realized gains and losses on private-label mortgage-backed
securities ("MBS"), the Company reported non-GAAP core operating
income of $31.2 million, or
$1.35 per diluted
share. A reconciliation of non-GAAP core
operating income measures to GAAP net income (loss) appears at the
end of this press release.
Third Quarter 2015 Financial Highlights
- $1.35 per diluted share of
non-GAAP core operating income
- $1.35 per diluted share of
non-GAAP core operating income excluding gain (loss) on
private-label MBS
- $(2.29) per diluted share
of net loss
- $20.75 per share of book
value
- $0.625 per share dividend
declared
- Board approval for share repurchase program of up to 2.0
million shares of Class A common stock
"Continued interest rate volatility and spread widening
between the Company's interest rate hedges and its agency MBS
investments primarily drove the decline in book value during the
quarter," said J. Rock Tonkel, Jr.,
the Company's President and Chief Executive Officer. "In
light of continued expectations for moderate economic growth and
more stable interest rates, the Company adjusted the composition of
its hedges during the quarter by increasing its 10-year duration
hedge instruments and reducing its shorter duration Eurodollar
futures. Looking forward, our interest rate hedges continue
to be structured to maintain substantial protection to our agency
MBS portfolio against rising interest rates but with a lower
initial hedge cost. As of quarter end, the Company's
allocation of investable capital remained relatively unchanged with
approximately 23% directed to private-label MBS. The Company
expects to maintain its current allocation of investable capital to
private-label MBS in the near future to capture the benefit of
investment diversification and return opportunities afforded by
investing in credit oriented, variable rate investments at low
leverage levels. Also, we are pleased to announce that the
Company's wholly-owned captive insurance subsidiary was approved as
a member of the Federal Home Loan Bank ("FHLB") of Cincinnati during the quarter providing the
Company with diversification of funding sources at a reduced cost
to traditional repurchase financing. Beginning in the fourth
quarter, the Company further expanded its lower cost funding
sources with its initial "direct repo" provider."
Other Third Quarter
Highlights
As of September 30, 2015,
the Company's agency investment portfolio totaled $4,198 million consisting of $3,790 million of agency MBS and $408 million of net long to-be-announced ("TBA")
agency securities. As of September 30, 2015, the Company's $3,790 million of fixed-rate agency MBS were
comprised of the following:
- $537.3 million of 3.5%
30-year MBS
- $3,107.7 million of 4.0%
30-year MBS
- $145.0 million of 4.5%
30-year MBS
As of September 30, 2015,
the Company's agency MBS had a weighted average original cost of
105.99 and a weighted average market price of
106.99. The Company's fixed-rate agency MBS was
specifically selected for their prepayment protections with
approximately 48% of the Company's agency MBS portfolio in
specified pools of low loan balance loans, approximately 26% in
specified pools of loans issued under the Home Affordable Refinance
Program ("HARP"), while the remainder includes specified pools of
loans with low FICO scores or with other characteristics selected
for the prepayment protection. Weighted average
pay-up premiums on the Company's agency MBS portfolio, which
represent the estimated price premium of agency MBS backed by
specified pools over a generic TBA agency security, increased
modestly to approximately 3/5 of a point as of September 30, 2015 compared to approximately 1/2
of a point as of June 30,
2015. The three-month
constant prepayment rate ("CPR") for the Company's agency MBS
decreased to 8.16% as of September 30,
2015, compared to 12.34% as of June
30, 2015.
As of September 30, 2015,
the Company's net long TBA securities had a net notional amount of
$390.0 million, purchase price of
$404.9 million and market value of
$408.4 million resulting in a net
GAAP carrying fair value of $3.5
million. The Company accounts for its TBA
mortgage portfolio as derivative instruments and recognizes income
from TBA dollar rolls in other gains and losses in the Company's
financial statements. As of September 30, 3015, the Company's $408.4 million of net long TBA securities were
comprised of the following:
- $265.8 million of 3.5%
30-year MBS
- $90.5 million of 4.0%
30-year MBS
- $52.1 million of 3.0%
15-year MBS
As of September 30, 2015, the
total weighted average notional amount of the Company's interest
rate hedges on its agency investment portfolio was $3,050 million comprised of Eurodollar futures,
10-year interest rate swap futures and 10-year U.S. Treasury
futures. The total weighted average hedge
notional amount as a percentage of the Company's outstanding
repurchase agreement and FHLB advance financing on its agency MBS
and net long TBA position was 79% as of September 30, 2015. As of
September 30, 2015, the Company's
Eurodollar futures run consecutively for five quarters from
June 2016 through June 2017 with a weighted average notional amount
of $1,000 million and a
weighted average contract rate of 2.40% and a current market rate
of 0.93%. As of September 30, 2015, the Company had $985 million in notional 10-year interest rate
swap futures with a weighted average implied contract rate of
2.28% and a current market rate of 2.06%. The
Company also had $1,065 million in
notional 10-year U.S. Treasury futures that were purchased when the
10-year U.S. Treasury rate was 2.20% on a weighted average basis
and had a market rate of 2.06% as of period
end.
Interest income less interest expense on short-term
financing on the Company's agency MBS portfolio for the third
quarter of 2015 was $33.5
million. The amortization of net
premiums on the Company's agency MBS is reflected in the Company's
GAAP net income and changes in book value through net investment
gains and losses rather than through net interest income and core
operating income. For the quarter ended
September 30, 2015, the amortization
of the Company's net premium on its agency MBS based on actual
total principal payments was approximately $8.1 million, or $0.35 per diluted
share. During the third
quarter of 2015, the Company recorded net investment gains on its
agency investment portfolio of $34.2
million and net investment losses on its related derivative
hedging instruments of $104.2 million
for a net investment loss on its hedged agency portfolio of
$70.0
million. In
recent quarters, the Company's increased allocation of capital to
agency MBS has resulted in growth in the Company's net interest
income and core operating income. With this
growth in the agency MBS portfolio, the economic costs of the
Company's hedge instruments have grown proportionately, which are
reflected in the Company's GAAP net income and changes in book
value through net investment gains and losses rather than through
net interest income and core operating
income.
As of September 30, 2015, the
Company's private-label MBS portfolio consisted of $179.2 million in face value with an amortized
cost basis of $120.8 million and a
fair value of $134.8 million.
During the third quarter of 2015, the Company
sold private-label MBS for sale proceeds of $14.2 million, realizing a GAAP gain of
$1.0 million. Net
sale proceeds from these private-label MBS after deducting
associated repurchase financing was $7.6
million. Interest income less interest
expense on short-term financing on the Company's private-label MBS
portfolio for the third quarter of 2015 was $3.0 million, including non-cash accretion of
$1.8 million required under
GAAP.
As of September 30, 2015,
the Company had $3,121 million of
repurchase agreements outstanding with a weighted average rate of
48 basis points and $308.5 million of
FHLB advances outstanding with a weighted average rate of 19 basis
points secured by an aggregate of $3,613
million of agency MBS at fair value. As
of September 30, 2015, the Company
also had $32.4 million of repurchase
agreements outstanding with a weighted average rate of 214 basis
points secured by $59.0 million of
private-label MBS at fair value.
Stock Repurchase Program
The Company also announced today that its board of
directors has authorized an increase in the Company's share
repurchase program pursuant to which the Company may repurchase up
to 2.0 million shares of its Class A common stock, which includes
the 205,485 shares previously available to be repurchased under the
prior share repurchase program established in July 2010.
Dividend
The Company's Board of
Directors approved a $0.625 dividend for the
third quarter of 2015. The dividend
will be paid on October
30, 2015 to shareholders of record
as of September
30, 2015.
The tax characterization of the Company's distributions to
shareholders is determined annually and reported to shareholders on
Form 1099-DIV after the end of the calendar
year. As a C-corporation, distributions to
shareholders of current or accumulated earnings and profits are
qualified dividends eligible for the 23.8% federal income tax
rate whereas similar distributions to
shareholders by a REIT of current or accumulated earnings and
profits are nonqualified dividends subject to the higher 43.4% tax
rate on ordinary income. Any distributions
in excess of current or accumulated earnings and
profits would be reported as returns of capital instead of
qualified dividends. Distributions that are classified as
returns of capital are nontaxable to the extent they do not exceed
a shareholder's adjusted tax basis in the Company's stock, or as a
capital gain to the extent that the amount of the distribution
exceeds a shareholder's adjusted tax basis in the Company's
stock.
Conference Call
The Company will hold a conference call for investors
at 9:00 A.M. Eastern Time on Tuesday, October 27,
2015 to discuss the results. Investors
wishing to listen to the earnings call may do so via the Internet
at:
http://www.arlingtonasset.com/index.php?s=19.
Replays of the earnings call will be available for 60 days
via webcast at the Internet address provided above, beginning two
hours after the call ends.
About the Company
Arlington Asset Investment Corp. (NYSE: AI) is a principal
investment firm that currently invests primarily in
mortgage-related and other assets. The Company
is headquartered in the Washington,
D.C. metropolitan area. For more
information, please visit
www.arlingtonasset.com.
Statements concerning interest rates, portfolio
allocation, financing costs, portfolio hedging, prepayments,
dividends, book value, FHLB advances, direct repo, and any other
guidance on present or future periods constitute forward-looking
statements that are subject to a number of factors, risks and
uncertainties that might cause actual results to differ materially
from stated expectations or current
circumstances. These factors include, but are
not limited to, changes in interest rates, increased costs of
borrowing, decreased interest spreads, changes in political and
monetary policies, changes in default rates, changes in prepayment
rates, changes in the Company's returns, changes in the use of the
Company's tax benefits, changes in the agency MBS asset yield,
changes in the Company's monetization of net operating loss
carry-forwards, changes in the Company's ability to generate cash
earnings and dividends, preservation and utilization of our net
operating loss and net capital loss carry-forwards, impacts of
changes to and changes by Fannie Mae and Freddie Mac, actions taken
by the U.S. Federal Reserve, the Federal Housing Finance Agency and
the U.S. Treasury, availability of opportunities that meet or
exceed the Company's risk adjusted return expectations, ability and
willingness to make future dividends, ability to generate
sufficient cash through retained earnings to satisfy capital needs,
ability to realize book value growth through reflation of
private-label MBS, and general economic, political, regulatory and
market conditions. These and other material
risks are described in the Company's Annual Report on Form 10-K for
the year ended December 31,
2014 and any other documents filed by the
Company with the SEC from time to time, which
are available from the Company and from the SEC,
and you should read and understand these risks when evaluating any
forward-looking statement.
Financial data follow
ARLINGTON ASSET
INVESTMENT CORP.
|
|
|
|
|
|
|
|
CONSOLIDATED
STATEMENTS OF OPERATIONS
|
|
|
|
|
|
|
|
(Dollars in
thousands, except per share data)
|
Three Months
Ended
|
|
Nine Months
Ended
|
(Unaudited)
|
September
30,
|
|
September
30,
|
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
INTEREST
INCOME
|
|
|
|
|
|
|
|
|
Interest on agency
securities
|
$
37,325
|
|
$
26,711
|
|
$
103,769
|
|
$ 66,603
|
|
Interest on
private-label securities
|
3,244
|
|
6,583
|
|
12,442
|
|
20,585
|
|
Other
|
6
|
|
7
|
|
18
|
|
43
|
|
Total interest
income
|
40,575
|
|
33,301
|
|
116,229
|
|
87,231
|
|
|
|
|
|
|
|
|
|
INTEREST
EXPENSE
|
|
|
|
|
|
|
|
|
Interest on
short-term debt
|
3,989
|
|
2,422
|
|
10,464
|
|
6,280
|
|
Interest on long-term
debt
|
1,176
|
|
554
|
|
3,004
|
|
1,657
|
|
Total interest
expense
|
5,165
|
|
2,976
|
|
13,468
|
|
7,937
|
|
|
|
|
|
|
|
|
|
|
Net interest
income
|
35,410
|
|
30,325
|
|
102,761
|
|
79,294
|
|
|
|
|
|
|
|
|
|
INVESTMENT (LOSS)
GAIN, NET
|
|
|
|
|
|
|
|
|
Realized gain on sale
of available-for-sale investments, net
|
969
|
|
3,467
|
|
17,434
|
|
12,826
|
|
Other-than-temporary
impairment charges
|
-
|
|
(71)
|
|
-
|
|
(151)
|
|
Gain (loss) on
trading investments, net
|
27,553
|
|
(18,025)
|
|
(21,005)
|
|
44,429
|
|
(Loss) gain from
derivative instruments, net
|
(97,828)
|
|
7,556
|
|
(143,556)
|
|
(62,509)
|
|
Other, net
|
8
|
|
91
|
|
422
|
|
415
|
|
Total
investment (loss) gain, net
|
(69,298)
|
|
(6,982)
|
|
(146,705)
|
|
(4,990)
|
|
|
|
|
|
|
|
|
|
OTHER
EXPENSES
|
|
|
|
|
|
|
|
|
Compensation and
benefits
|
2,071
|
|
3,995
|
|
7,152
|
|
10,141
|
|
Other operating
expenses
|
1,174
|
|
1,059
|
|
3,232
|
|
3,448
|
|
Total other
expenses
|
3,245
|
|
5,054
|
|
10,384
|
|
13,589
|
|
|
|
|
|
|
|
|
|
Income (loss)
before income taxes
|
(37,133)
|
|
18,289
|
|
(54,328)
|
|
60,715
|
|
|
|
|
|
|
|
|
|
Income tax
provision
|
15,497
|
|
5,442
|
|
33,886
|
|
21,996
|
|
|
|
|
|
|
|
|
|
Net income
(loss)
|
$
(52,630)
|
|
$
12,847
|
|
$
(88,214)
|
|
$ 38,719
|
|
|
|
|
|
|
|
|
|
Basic earnings
(loss) per share
|
$
(2.29)
|
|
$
0.62
|
|
$
(3.84)
|
|
$
2.03
|
|
|
|
|
|
|
|
|
|
Diluted earnings
(loss) per share
|
$
(2.29)
|
|
$
0.61
|
|
$
(3.84)
|
|
$
1.99
|
|
|
|
|
|
|
|
|
|
Weighted average
shares outstanding - basic (in thousands)
|
23,021
|
|
20,577
|
|
22,991
|
|
19,056
|
Weighted average
shares outstanding - diluted (in thousands)
|
23,021
|
|
21,055
|
|
22,991
|
|
19,413
|
|
|
|
|
|
|
|
|
|
OTHER
COMPREHENSIVE INCOME (LOSS), NET OF TAXES
|
|
|
|
|
|
|
|
|
Unrealized gains
(losses) on available-for-sale securities (net of taxes
of $(1,562), $139, $(4,117), and $1,717, respectively)
|
$ ( 2,451
)
|
|
$
219
|
|
$ ( 6,775
)
|
|
$
2,697
|
|
Reclassification in
investment (loss) gain, net, related to sales and
other-than-temporary impairment charges on available-for-sale
securities (net of tax of $(287), $(766), $(4,979) and $(3,866),
respectively)
|
( 1,122 )
|
|
( 2,456 )
|
|
( 17,763 )
|
|
( 8,276 )
|
Comprehensive
(loss) income
|
$ ( 56,203 )
|
|
$
10,610
|
|
$ ( 112,752 )
|
|
$ 33,140
|
ARLINGTON ASSET
INVESTMENT CORP.
|
|
|
|
|
|
|
CONSOLIDATED
BALANCE SHEETS
|
|
|
|
|
|
|
(Dollars in
thousands, except per share amounts)
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSETS
|
|
September 30,
2015
|
|
June 30,
2015
|
|
December 31,
2014
|
|
|
|
|
|
|
|
|
Cash and cash
equivalents
|
|
$
13,529
|
|
$
20,840
|
|
$
33,832
|
Interest
receivable
|
|
11,459
|
|
12,273
|
|
10,701
|
Sold securities
receivable
|
|
28,035
|
|
51,690
|
|
-
|
Mortgage-backed
securities, at fair value
|
|
|
|
|
|
|
Private-label securities
|
|
134,789
|
|
152,162
|
|
267,437
|
Agency
securities
|
|
3,790,044
|
|
4,154,387
|
|
3,414,340
|
Derivative
assets, at fair value
|
|
3,863
|
|
2,144
|
|
1,267
|
Deferred tax
assets, net
|
|
103,319
|
|
113,121
|
|
125,607
|
Deposits
|
|
87,258
|
|
183,806
|
|
160,427
|
Other
assets
|
|
9,938
|
|
4,247
|
|
4,120
|
Total
assets
|
|
$
4,182,234
|
|
$
4,694,670
|
|
$
4,017,731
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
AND EQUITY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities:
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$
3,153,756
|
|
$
3,631,772
|
|
$
3,179,775
|
FHLB
advances
|
|
308,500
|
|
-
|
|
-
|
Interest
payable
|
|
1,200
|
|
1,267
|
|
1,106
|
Accrued
compensation and benefits
|
|
4,293
|
|
2,989
|
|
6,067
|
Dividend
payable
|
|
14,553
|
|
21,089
|
|
20,195
|
Derivative
liabilities, at fair value
|
|
53,514
|
|
144,936
|
|
124,308
|
Purchased
securities payable
|
|
92,107
|
|
271,035
|
|
-
|
Accounts
payable, accrued expenses and other liabilities
|
|
1,003
|
|
894
|
|
1,006
|
Long-term
debt
|
|
75,300
|
|
75,300
|
|
40,000
|
Total
liabilities
|
|
3,704,226
|
|
4,149,282
|
|
3,372,457
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity:
|
|
|
|
|
|
|
|
Common
stock
|
|
230
|
|
230
|
|
230
|
Additional
paid-in capital
|
|
1,897,472
|
|
1,898,217
|
|
1,897,027
|
Accumulated
other comprehensive income, net of taxes
|
|
11,334
|
|
14,907
|
|
35,872
|
Accumulated
deficit
|
|
(1,431,028)
|
|
(1,367,966)
|
|
(1,287,855)
|
Total
equity
|
|
478,008
|
|
545,388
|
|
645,274
|
|
|
|
|
|
|
|
|
Total
liabilities and equity
|
|
$
4,182,234
|
|
$
4,694,670
|
|
$
4,017,731
|
|
|
|
|
|
|
|
|
Book Value
per Share
|
|
$
20.75
|
|
$
23.71
|
|
$
28.09
|
|
|
|
|
|
|
|
|
Shares
Outstanding (in thousands) (1)
|
|
23,042
|
|
23,005
|
|
22,973
|
|
|
|
|
|
|
|
|
(1) Represents shares
of Class A common stock and Class B common stock outstanding plus
vested restricted stock units
|
convertible into
Class A common stock less unvested restricted Class A common
stock.
|
|
|
|
(2) During the third
quarter of 2015, the Company determined that the previously
reported deferred tax asset and accumulated deficit
|
were incorrect as of
December 31, 2014. The Company has revised the previously
reported amounts by increasing the deferred tax asset
|
and decreasing the
accumulated deficit by $3,242 for this correction.
|
|
|
|
|
In addition to the financial results reported in accordance with
generally accepted accounting principles as consistently applied in
the United States ("GAAP"), the
Company calculated non-GAAP core operating income for the three and
nine months ended September 30, 2015
and 2014. In determining core operating income,
the Company excludes certain legacy litigation expenses and adjusts
net income determined in accordance with GAAP for the following
non-cash and other items: (i) compensation costs associated with
stock-based awards, (ii) non-cash accretion of private-label MBS
purchase discounts, (iii) private-label MBS
purchase discount accretion realized upon sale or repayment, (iv)
other-than-temporary impairment charges, (v) other-than-temporary
impairment charges realized upon sale, (vi) both realized and
unrealized gains and losses on the agency MBS and all related hedge
instruments, and (vii) non-cash income tax
provisions.
The Company's portfolio strategy on the Company's agency MBS
portfolio is to generate a net interest margin on the leveraged
assets and hedge the market value of the assets, expecting that the
fluctuations in the market value of the agency MBS and related
hedges should largely offset each other over time. As a result, the
Company excludes both the realized and unrealized fluctuations in
the gains and losses in the assets and hedges on its hedged agency
MBS portfolio when assessing the underlying core operating income
of the Company. However, the Company's portfolio strategy on the
Company's private-label MBS portfolio is to generate a total cash
return comprised of both interest income collected and the cash
return realized when the private-label MBS are sold that equals the
difference between the sale price and the discount to par paid at
acquisition. Therefore, the Company excludes non-cash accretion of
private-label MBS purchase discounts from non-GAAP core operating
income, but includes realized cash gains or losses on its
private-label MBS portfolio in core operating income to reflect the
total cash return on those securities over their holding period.
Since the timing of realized cash gains or
losses on private-label MBS may vary significantly between periods,
the Company also reports core operating income excluding gains on
private-label MBS.
These non-GAAP core operating income measurements are used by
management to analyze and assess the Company's operating results on
its portfolio and assist with the determination of the appropriate
level of dividends. The Company believes that
these non-GAAP measurements assist investors in understanding the
impact of these non-core items and non-cash expenses on our
performance and provides additional clarity around our earnings
capacity and trends. A limitation of utilizing this non-GAAP
measure is that the GAAP accounting effects of these events do in
fact reflect the underlying financial results of our business and
these effects should not be ignored in evaluating and analyzing our
financial results. Additional limitations of
core operating income are that it does not include economic
financing costs on the Company's hedging instruments or
amortization of premiums or discounts on the Company's agency MBS
whereas those amounts are both reflected in net income determined
in accordance with GAAP and changes in book
value. Therefore, the Company believes net
income on a GAAP basis and these core operating income measures on
a non-GAAP basis should be considered together.
The following is a reconciliation of GAAP net income to non-GAAP
core operating income measures for the three and nine months ended
September 30, 2015 and 2014 (dollars
in thousands):
ARLINGTON ASSET
INVESTMENT CORP.
|
|
|
|
|
|
|
|
NON-GAAP CORE
OPERATING INCOME
|
|
|
|
|
|
|
|
(Dollars in
thousands, except per share data)
|
Three Months
Ended
|
|
Nine Months
Ended
|
(Unaudited)
|
September
30,
|
|
September
30,
|
|
|
2015
|
|
2014
|
|
2015
|
|
2014
|
GAAP net income
(loss)
|
$
(52,630)
|
|
$
12,847
|
|
$
(88,214)
|
|
$ 38,719
|
Adjustments:
|
|
|
|
|
|
|
|
|
Legacy litigation
expenses
|
-
|
|
-
|
|
-
|
|
54
|
|
Non-cash income tax
provision
|
14,729
|
|
5,114
|
|
32,035
|
|
21,100
|
|
Stock
compensation
|
(189)
|
|
1,524
|
|
292
|
|
2,980
|
|
Net realized and
unrealized loss on trading MBS and hedge instruments
|
70,275
|
|
10,374
|
|
164,460
|
|
17,808
|
|
Net Realized gain on
private-label MBS
|
(969)
|
|
(3,467)
|
|
(17,434)
|
|
(12,826)
|
|
Other-than-temporary
impairment charges
|
-
|
|
71
|
|
-
|
|
151
|
|
|
|
|
|
|
|
|
|
Non-GAAP core
operating income excluding gain on private-label MBS
|
31,216
|
|
26,463
|
|
91,139
|
|
67,986
|
|
|
|
|
|
|
|
|
|
|
Net Realized gain on
private-label MBS
|
969
|
|
3,467
|
|
17,434
|
|
12,826
|
|
Other-than-temporary
impairment charges realized upon sale or repayment
|
( 1,222 )
|
|
-
|
|
( 7,303 )
|
|
( 4,026 )
|
|
Purchase discount
accretion of private-label MBS realized upon sale or
repayment
|
1,912
|
|
2,275
|
|
11,714
|
|
2,622
|
|
Non-cash interest
income related to purchase discount accretion of private-label
MBS
|
( 1,797 )
|
|
( 3,531 )
|
|
( 6,820 )
|
|
( 10,256 )
|
|
|
|
|
|
|
|
|
|
Non-GAAP core
operating income
|
$
31,078
|
|
$
28,674
|
|
$
106,164
|
|
$ 69,152
|
|
|
|
|
|
|
|
|
|
Non-GAAP core
operating income excluding gain on private-label MBS per diluted
share
|
$
1.35
|
|
$
1.26
|
|
$
3.96
|
|
$
3.50
|
|
|
|
|
|
|
|
|
|
Non-GAAP core
operating income per diluted share
|
$
1.35
|
|
$
1.36
|
|
$
4.61
|
|
$
3.56
|
|
|
|
|
|
|
|
|
|
Weighted average
diluted shares outstanding
|
23,065
|
|
21,055
|
|
23,041
|
|
19,413
|
The following tables present information on the Company's
investment portfolio as of September 30,
2015:
ARLINGTON ASSET
INVESTMENT CORP.
|
|
|
|
|
|
|
|
|
AGENCY INVESTMENT
PORTFOLIO
|
|
|
|
|
|
|
|
|
As of September 30,
2015
|
|
|
|
|
|
|
|
|
|
(Dollars in
thousands)
|
|
|
|
|
|
|
|
|
|
(Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
MBS:
|
|
|
|
|
|
|
|
|
|
|
|
Face
Amount
|
|
Fair
Value
|
|
Market
Price
|
|
Coupon
|
|
Weighted
Average Life
|
30-year fixed
rate:
|
|
|
|
|
|
|
|
|
|
|
3.5%
|
$
513,911
|
|
$
537,352
|
|
$
104.56
|
|
3.50%
|
|
9.8
|
|
4.0%
|
2,895,740
|
|
3,107,689
|
|
107.32
|
|
4.00%
|
|
7.9
|
|
4.5%
|
132,709
|
|
144,977
|
|
109.24
|
|
4.50%
|
|
6.7
|
|
5.5%
|
23
|
|
26
|
|
112.01
|
|
5.50%
|
|
4.5
|
|
Total/weighted
average
|
$
3,542,383
|
|
$
3,790,044
|
|
106.99
|
|
3.95%
|
|
8.1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net TBA
Securities:
|
|
|
|
|
|
|
|
|
|
|
|
Net
Notional Amount
|
|
Net Cost
Basis
|
|
Net Market
Value
|
|
Net Carrying
Value
|
|
|
30-year fixed
rate:
|
|
|
|
|
|
|
|
|
|
|
3.5%
|
$
255,000
|
|
$
263,438
|
|
$
265,824
|
|
$
2,386
|
|
|
|
4.0%
|
85,000
|
|
89,789
|
|
90,511
|
|
722
|
|
|
15-year fixed
rate:
|
|
|
|
|
|
|
|
|
|
|
3.0%
|
50,000
|
|
51,656
|
|
52,039
|
|
383
|
|
|
|
Total
|
$
390,000
|
|
$
404,883
|
|
$
408,374
|
|
$
3,491
|
|
|
ARLINGTON ASSET
INVESTMENT CORP.
|
|
PRIVATE-LABEL MBS
PORTFOLIO
|
|
As of September 30,
2015
|
|
(Dollars in
thousands)
|
|
(Unaudited)
|
|
|
|
Face value
|
$ 179,156
|
Unamortized
discount
|
$ ( 58,331)
|
Amortized
cost
|
$ 120,825
|
Net unrealized
gain
|
$ 13,963
|
Fair market
value
|
$ 134,788
|
Fair market value (as
a % of face value)
|
75.2%
|
Quarterly GAAP yield
(annualized)
|
9.77%
|
Weighted average
coupon
|
3.03%
|
|
|
60+ days
delinquent
|
12.1%
|
Credit
enhancement
|
0.1%
|
Constant default rate
(3-month)
|
3.0%
|
Loss severity
(3-month)
|
29.2%
|
Voluntary prepayment
rate (3-month)
|
10.9%
|
To view the original version on PR Newswire,
visit:http://www.prnewswire.com/news-releases/arlington-asset-investment-corp-reports-third-quarter-2015-financial-results-300166399.html
SOURCE Arlington Asset Investment Corp.