Western Asset Mortgage Capital Corporation Announces Fourth Quarter and Full Year 2022 Results
Western Asset Mortgage Capital Corporation (WMC) reported its fourth-quarter and full-year 2022 results, demonstrating a commitment to strengthening liquidity and balancing its investments amid challenging market conditions.
The company completed securitizations of $834.2 million in Residential Whole Loans, securing $750.8 million in long-term fixed-rate financing. However, it faced a GAAP net loss of $828,000 for Q4 2022 and an annual loss of $89.1 million. The GAAP book value per share declined by 3.2% in Q4 and 46% for the year. Despite these challenges, WMC declared a total annual dividend of $1.60 per share, yielding approximately 17.6% based on its stock price.
- Completed securitizations of $834.2 million in Residential Whole Loans, securing $750.8 million in long-term fixed-rate financing.
- Declared an annual common dividend of $1.60 per share, yielding approximately 17.6%.
- GAAP net loss of $828,000 in Q4 2022, leading to an annual loss of $89.1 million.
- GAAP book value per share decreased by 3.2% in Q4 and 46% for the entire year.
Conference Call and Webcast Scheduled for Tomorrow,
FULL YEAR HIGHLIGHTS
-
The Company continues to execute on its business strategy to focus on residential real estate investments, completing securitizations of
$834.2 million $750.8 million -
The Company's core assets have performed well in 2022, with
$216.1 million -
In addition, the Company took a series of actions in 2022 to deleverage, build liquidity and strengthen its balance sheet, including the sale of
$56.4 million $26.0 million -
Furthermore, on
February 3, 2023 , the CRE 3 loan was sold to an unaffiliated third party for$8.8 million December 31, 2022 .
FOURTH QUARTER FINANCIAL 2022 RESULTS
-
GAAP book value per share was
$15.70 December 31, 2022 . -
Economic book value1 per share was
$17.23 December 31, 2022 . -
GAAP Net loss attributable to common shareholders and participating securities of
$828 thousand $0.14 -
Distributable Earnings1 of
$2.0 million $0.33 -
Economic return1,2 on book value was a negative
1.0% for the quarter. -
Economic return1,2 on economic book value was negative
8.4% for the quarter. -
1.24% annualized net interest margin1,3,4 on our investment portfolio. -
2.9x recourse leverage as of
December 31, 2022 . -
On
December 21, 2022 , the Company declared a fourth quarter common dividend of$0.40
FULL YEAR 2022 FINANCIAL RESULTS
-
GAAP Net loss attributable to common shareholders and participating securities of
$89.1 million $14.77 -
Distributable earnings1 of
$7.3 million $1.20 -
Economic return on book value1,2 was negative
46% for the year. -
1.16% annualized net interest margin1,3,4 on our investment portfolio. -
Declared quarterly common dividends for a total annual common dividend of
$1.60 July 2022 1-for-10 reverse stock split.
(1) |
|
Non-GAAP measure. Refer to pages 16 through 21 for reconciliations. |
(2) |
|
Economic return is calculated by taking the sum of: (i) the total dividends declared; and (ii) the change in book value during the period and dividing by the beginning book value. |
(3) |
|
Includes interest-only securities accounted for as derivatives and the cost of interest rate swaps. |
(4) |
|
Excludes the consolidation of VIE trusts required under GAAP. |
MANAGEMENT COMMENTARY
“In light of challenging market conditions, we continued to focus during the fourth quarter on strengthening our balance sheet and increasing our liquidity,” said
“Our fourth quarter and full-year financial results reflect the volatility in interest rates and asset prices as well as higher funding costs. For the fourth quarter, our GAAP book value per share declined
“We continue to move forward with our strategic review process, and to analyze alternatives that may involve a sale, merger, or other transaction involving the Company. The current market environment for mortgage REITs remains challenging, given the rapid rise in interest rates and the increased potential for an economic retrenchment, which has added complexity to our exploration of strategic partners.”
2022 QUARTERLY OPERATING RESULTS
The below table reflects a summary of our operating results:
|
For the Three Months Ended |
||||||||||||||
GAAP Results ($'s in thousands) |
|
|
|
|
|
|
|
||||||||
Net interest income |
$ |
4,771 |
|
|
$ |
5,699 |
|
|
$ |
6,235 |
|
|
$ |
4,283 |
|
Other income (loss): |
|
|
|
|
|
|
|
||||||||
Realized gain (loss), net |
|
(3,118 |
) |
|
|
(35 |
) |
|
|
(45,661 |
) |
|
|
12,145 |
|
Unrealized gain (loss), net |
|
2,427 |
|
|
|
(43,582 |
) |
|
|
16,185 |
|
|
|
(38,903 |
) |
Gain (loss) on derivative instruments, net |
|
(381 |
) |
|
|
4,882 |
|
|
|
4,781 |
|
|
|
6,936 |
|
Other, net |
|
105 |
|
|
|
(61 |
) |
|
|
(46 |
) |
|
|
(145 |
) |
Other Income (loss) |
|
(967 |
) |
|
|
(38,796 |
) |
|
|
(24,741 |
) |
|
|
(19,967 |
) |
Total expenses |
|
4,743 |
|
|
|
6,645 |
|
|
|
3,927 |
|
|
|
6,497 |
|
Income (loss) before income taxes |
|
(938 |
) |
|
|
(39,742 |
) |
|
|
(22,433 |
) |
|
|
(22,181 |
) |
Income tax provision (benefit) |
|
(105 |
) |
|
|
266 |
|
|
|
(46 |
) |
|
|
56 |
|
Net income (loss) |
|
(833 |
) |
|
|
(40,008 |
) |
|
|
(22,387 |
) |
|
|
(22,237 |
) |
Net income attributable to non-controlling interest |
|
(5 |
) |
|
|
2 |
|
|
|
— |
|
|
|
3,616 |
|
Net income (loss) attributable to common stockholders and participating securities |
$ |
(828 |
) |
|
$ |
(40,010 |
) |
|
$ |
(22,387 |
) |
|
$ |
(25,853 |
) |
Net income (loss) per common share – basic/diluted |
$ |
(0.14 |
) |
|
$ |
(6.63 |
) |
|
$ |
(3.71 |
) |
|
$ |
(4.30 |
) |
Non-GAAP Results |
|
|
|
|
|
|
|
||||||||
Distributable earnings(1) |
$ |
2,018 |
|
|
$ |
2,250 |
|
|
$ |
2,650 |
|
|
$ |
379 |
|
Distributable earnings per Common Share – Basic/Diluted(2) |
$ |
0.33 |
|
|
$ |
0.37 |
|
|
$ |
0.44 |
|
|
$ |
0.06 |
|
Weighted average yield(3)(4) |
|
5.02 |
% |
|
|
4.70 |
% |
|
|
4.30 |
% |
|
|
3.74 |
% |
Effective cost of funds(4) |
|
4.46 |
% |
|
|
3.90 |
% |
|
|
3.60 |
% |
|
|
3.41 |
% |
Annualized net interest margin(3)(4) |
|
1.24 |
% |
|
|
1.26 |
% |
|
|
1.25 |
% |
|
|
0.85 |
% |
(1) |
|
For a reconciliation of GAAP Income to Distributable Earnings, refer to page 16 of this press release. |
(2) |
|
Presentation adjusted for effect of 1-for-10 reverse stock split subsequent to 6/30/2022. |
(3) |
|
Includes interest-only securities accounted for as derivatives. |
(4) |
|
Excludes the consolidation of VIE trusts required under GAAP. |
INVESTMENT PORTFOLIO
Investment Activity
As of
Investment
|
|
Balance at
|
|
Purchases |
|
Loan
|
|
Principal Payments
|
|
Proceeds from
|
|
Transfers
|
|
Realized
|
|
Unrealized
|
|
Premium
|
|
Balance at
|
||||||||||||||||
Agency RMBS and Agency RMBS IOs |
|
$ |
1,172 |
|
$ |
— |
|
|
N/A |
|
$ |
(103 |
) |
|
$ |
— |
|
|
|
N/A |
|
|
$ |
— |
|
|
$ |
(302 |
) |
|
$ |
— |
|
|
$ |
767 |
Non-Agency RMBS |
|
|
27,769 |
|
|
39,952 |
|
|
N/A |
|
|
(1,011 |
) |
|
|
(31,790 |
) |
|
|
N/A |
|
|
|
(2,396 |
) |
|
|
(9,197 |
) |
|
|
359 |
|
|
|
23,686 |
Non-Agency CMBS |
|
|
105,358 |
|
|
— |
|
|
N/A |
|
|
(6,554 |
) |
|
|
(10,152 |
) |
|
|
N/A |
|
|
|
(43,935 |
) |
|
|
40,104 |
|
|
|
615 |
|
|
|
85,436 |
Other securities(1) |
|
|
51,648 |
|
|
— |
|
|
N/A |
|
|
— |
|
|
|
(14,485 |
) |
|
|
N/A |
|
|
|
(2,252 |
) |
|
|
(7,923 |
) |
|
|
274 |
|
|
|
27,262 |
Total MBS and other securities |
|
|
185,947 |
|
|
39,952 |
|
|
N/A |
|
|
(7,668 |
) |
|
|
(56,427 |
) |
|
|
N/A |
|
|
|
(48,583 |
) |
|
|
22,682 |
|
|
|
1,248 |
|
|
|
137,151 |
Residential Whole Loans |
|
|
1,023,502 |
|
|
411,919 |
|
|
96 |
|
|
(216,135 |
) |
|
|
(11,736 |
) |
|
|
(2,256 |
) |
|
|
(101 |
) |
|
|
(108,207 |
) |
|
|
(5,937 |
) |
|
|
1,091,145 |
Residential Bridge Loans |
|
|
5,428 |
|
|
— |
|
|
— |
|
|
(2,670 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
91 |
|
|
|
— |
|
|
|
2,849 |
Commercial Loans |
|
|
130,572 |
|
|
— |
|
|
— |
|
|
(20,593 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(19,977 |
) |
|
|
— |
|
|
|
90,002 |
Securitized commercial loans |
|
|
1,355,808 |
|
|
— |
|
|
— |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(297,343 |
) |
|
|
26,638 |
|
|
|
1,085,103 |
REO |
|
$ |
43,607 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
|
$ |
(55,573 |
) |
|
$ |
2,255 |
|
|
$ |
11,966 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,255 |
Total Investments |
|
$ |
2,744,864 |
|
$ |
451,871 |
|
$ |
96 |
|
$ |
(247,066 |
) |
|
$ |
(123,736 |
) |
|
$ |
(1 |
) |
|
$ |
(36,718 |
) |
|
$ |
(402,754 |
) |
|
$ |
21,949 |
|
|
$ |
2,408,505 |
(1) |
|
At |
Portfolio Characteristics
Residential Real Estate Investments
The Company's focus on residential real estate related investments includes but is not limited to non-qualified residential whole loans ("Non-QM Loans"), non-agency RMBS, and other related assets. The Company believes this focus allows it to address attractive market opportunities.
Residential Whole Loans
The Company's Residential Whole Loans generally have low loan-to-value ratios ("LTV's") and are comprised of 2,938 Non-QM adjustable rate mortgages and five investor fixed rate mortgages. The following table presents certain information about our Residential Whole-Loans investment portfolio as of
|
|
|
|
|
|
Weighted Average |
|||||||||||
Current Coupon Rate |
|
Number of Loans |
|
Principal
|
|
Original LTV |
|
Original
|
|
Expected
|
|
Contractual
|
|
Coupon
|
|||
|
|
39 |
|
$ |
22,277 |
|
66.3 |
% |
|
758 |
|
8.9 |
|
28.3 |
|
2.9 |
% |
|
|
402 |
|
|
214,402 |
|
66.3 |
% |
|
759 |
|
7.3 |
|
28.5 |
|
3.7 |
% |
|
|
1,337 |
|
|
453,811 |
|
64.1 |
% |
|
749 |
|
5.5 |
|
26.0 |
|
4.6 |
% |
|
|
901 |
|
|
363,197 |
|
65.6 |
% |
|
742 |
|
4.7 |
|
26.7 |
|
5.4 |
% |
|
|
249 |
|
|
105,933 |
|
69.9 |
% |
|
742 |
|
3.6 |
|
28.4 |
|
6.4 |
% |
|
|
15 |
|
|
5,681 |
|
75.2 |
% |
|
730 |
|
3.0 |
|
29.2 |
|
7.4 |
% |
Total |
|
2,943 |
|
$ |
1,165,301 |
|
65.6 |
% |
|
748 |
|
5.5 |
|
27.0 |
|
4.8 |
% |
(1) |
|
The original FICO score is not available for 231 loans with a principal balance of approximately |
The following table presents the aging of the Residential Whole Loans as of
|
|
Residential Whole Loans |
||||||
|
|
No of Loans |
|
Principal |
|
Fair Value |
||
Current |
|
2,910 |
|
$ |
1,147,412 |
|
$ |
1,074,409 |
1-30 days |
|
14 |
|
|
6,983 |
|
|
6,678 |
31-60 days |
|
— |
|
|
— |
|
|
— |
61-90 days |
|
6 |
|
|
2,165 |
|
|
2,032 |
90+ days |
|
13 |
|
|
8,741 |
|
|
8,026 |
Total |
|
2,943 |
|
$ |
1,165,301 |
|
$ |
1,091,145 |
Non-Agency RMBS
The following table presents the fair value and weighted average purchase price for each of our Non-agency RMBS categories, including IOs accounted for as derivatives, together with certain of their respective underlying loan collateral attributes and current performance metrics as of
|
|
|
|
Weighted Average |
|||||||||||||||
Category |
|
Fair Value |
|
Purchase
|
|
Life (Years) |
|
Original LTV |
|
Original
|
|
60+ Day
|
|
6-Month
|
|||||
Prime |
|
$ |
12,000 |
|
$ |
79.78 |
|
11.9 |
|
67.8 |
% |
|
748 |
|
1.2 |
% |
|
17.9 |
% |
Alt-A |
|
|
11,687 |
|
|
50.30 |
|
17.3 |
|
81.3 |
% |
|
661 |
|
17.5 |
% |
|
8.0 |
% |
Total |
|
$ |
23,687 |
|
$ |
65.24 |
|
14.5 |
|
74.5 |
% |
|
705 |
|
9.2 |
% |
|
13.0 |
% |
Commercial Real Estate Investments
Non-Agency CMBS
The following table presents certain characteristics of our Non-Agency CMBS portfolio as of
|
|
|
|
Principal |
|
|
|
Weighted Average |
|||||
Type |
|
Vintage |
|
Balance |
|
Fair Value |
|
Life (Years) |
|
Original LTV |
|||
Conduit: |
|
|
|
|
|
|
|
|
|
|
|||
|
|
2006-2009 |
|
$ |
69 |
|
$ |
67 |
|
0.6 |
|
88.7 |
% |
|
|
2010-2020 |
|
|
14,982 |
|
|
10,414 |
|
6.0 |
|
62.3 |
% |
|
|
|
|
|
15,051 |
|
|
10,481 |
|
6.0 |
|
62.5 |
% |
Single Asset: |
|
|
|
|
|
|
|
|
|
|
|||
|
|
2010-2020 |
|
|
94,215 |
|
|
74,954 |
|
1.1 |
|
65.3 |
% |
Total |
|
|
|
$ |
109,266 |
|
$ |
85,435 |
|
1.7 |
|
65.0 |
% |
Commercial Loans
The following table presents our commercial loan investments as of
Loan |
Loan Type |
Principal
|
Fair Value |
Original
|
Interest Rate |
Maturity
|
Extension
|
Collateral |
Geographic
|
|||
CRE 3 |
Interest-Only Mezzanine loan |
$ |
90,000 |
$ |
8,777 |
58 |
% |
1-Month LIBOR plus |
|
None(1) |
Entertainment and Retail |
NJ |
CRE 4(2) |
Interest-Only First Mortgage |
|
22,204 |
|
22,050 |
63 |
% |
1-Month LIBOR plus |
|
None |
Retail |
CT |
CRE 5 |
Interest-Only First Mortgage |
|
24,535 |
|
24,433 |
62 |
% |
1-Month LIBOR plus |
|
None |
Hotel |
NY |
CRE 6 |
Interest-Only First Mortgage |
|
13,207 |
|
13,151 |
62 |
% |
1-Month LIBOR plus |
|
None |
Hotel |
CA |
CRE 7 |
Interest-Only First Mortgage |
|
7,259 |
|
7,229 |
62 |
% |
1-Month LIBOR plus |
|
None |
Hotel |
IL, FL |
SBC 3(4) |
Interest-Only First Mortgage |
|
14,362 |
|
14,362 |
49 |
% |
One-Month LIBOR plus |
|
None |
Nursing Facilities |
CT |
|
|
$ |
171,567 |
$ |
90,002 |
|
|
|
|
|
|
|
(1) |
|
At |
(2) |
|
CRE 4 was granted a 3 year extension through |
(3) |
|
CRE 5, 6, and 7 were each granted a one-year extension through |
(4) |
|
During |
Commercial Loan Payoffs
On
CRE 3 Loan
As of
As a result of the foreclosure noted above, the Company marked down the value of its investment in the CRE 3 junior mezzanine loan from
Commercial Real Estate Owned
In
PORTFOLIO FINANCING AND HEDGING
Financing
The following table sets forth additional information regarding the Company's portfolio financing arrangements as of
Securities Pledged |
|
Repurchase
|
|
Weighted Average
|
|
Weighted Average
|
||
Short Term Borrowings: |
|
|
|
|
|
|
||
Agency RMBS |
|
$ |
293 |
|
4.78 |
% |
|
32 |
Non-Agency RMBS(1) |
|
|
48,237 |
|
7.50 |
% |
|
26 |
Residential Whole Loans(2) |
|
|
— |
|
— |
% |
|
0 |
Residential Bridge Loans(2) |
|
|
— |
|
— |
% |
|
0 |
Commercial Loans(2) |
|
|
— |
|
— |
% |
|
0 |
Other securities |
|
|
1,776 |
|
7.09 |
% |
|
17 |
Total short-term borrowings |
|
|
50,306 |
|
7.47 |
% |
|
26 |
Long Term Borrowings: |
|
|
|
|
|
|
||
Non-Agency CMBS and Non-Agency RMBS Facility |
|
|
|
|
|
|
||
Non-Agency CMBS(1) |
|
|
55,154 |
|
6.30 |
% |
|
122 |
Non-Agency RMBS |
|
|
19,129 |
|
6.30 |
% |
|
122 |
Other Securities |
|
|
16,863 |
|
6.30 |
% |
|
122 |
Subtotal |
|
|
91,146 |
|
6.30 |
% |
|
122 |
Residential Whole Loan Facility |
|
|
|
|
|
|
||
Residential Whole Loans(2) |
|
|
3,633 |
|
6.66 |
% |
|
298 |
Commercial Whole Loan Facility |
|
|
|
|
|
|
||
Commercial Loans |
|
|
48,032 |
|
6.13 |
% |
|
307 |
Total long-term borrowings |
|
|
142,811 |
|
6.25 |
% |
|
189 |
Repurchase agreements borrowings |
|
$ |
193,117 |
|
6.57 |
% |
|
146 |
(1) |
|
Includes repurchase agreement borrowings on securities eliminated upon VIE consolidation. |
(2) |
|
Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated in consolidation. |
Residential Whole Loan Facility
The facility was recently extended on
Commercial Whole Loan Facility
The facility was recently extended on
Non-Agency CMBS and Non-Agency RMBS Facility
The facility was extended on
Convertible Senior Unsecured Notes
2022 Notes
As of
2024 Notes
As of
Residential Mortgage-Backed Notes
As of
Arroyo 2019-2
The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2019-2 securitization trust at
Classes |
Principal Balance |
Coupon |
Carrying Value |
Contractual
|
|||
Offered Notes: |
|
|
|
|
|||
Class A-1 |
$ |
168,131 |
3.3 |
% |
$ |
168,131 |
|
Class A-2 |
|
9,017 |
3.5 |
% |
|
9,017 |
|
Class A-3 |
|
14,286 |
3.8 |
% |
|
14,286 |
|
Class M-1 |
|
25,055 |
4.8 |
% |
|
25,055 |
|
Subtotal |
$ |
216,489 |
|
$ |
216,489 |
|
|
Less: Unamortized Deferred Financing Costs |
|
N/A |
|
|
2,604 |
|
|
Total |
$ |
216,489 |
|
$ |
213,885 |
|
|
The Company retained the subordinate bonds, and these bonds had a fair market value of
Arroyo 2020-1
The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2020-1 securitization trust at
Classes |
Principal Balance |
Coupon |
Carrying Value |
Contractual
|
|||
Offered Notes: |
|
|
|
|
|||
Class A-1A |
$ |
74,425 |
1.7 |
% |
$ |
74,425 |
|
Class A-1B |
|
8,831 |
2.1 |
% |
|
8,831 |
|
Class A-2 |
|
13,518 |
2.9 |
% |
|
13,518 |
|
Class A-3 |
|
17,963 |
3.3 |
% |
|
17,963 |
|
Class M-1 |
|
11,739 |
4.3 |
% |
|
11,739 |
|
Subtotal |
|
126,476 |
|
|
126,476 |
|
|
Less: Unamortized Deferred Financing Costs |
|
N/A |
|
|
1,542 |
|
|
Total |
$ |
126,476 |
|
$ |
124,934 |
|
|
The Company retained the subordinate bonds and these bonds had a fair market value of
Arroyo 2022-1
The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2022-1 securitization trust at
Classes |
Principal Balance |
Coupon |
Carrying Value |
Contractual
|
|||
Offered Notes: |
|
|
|
|
|||
Class A-1A |
$ |
212,307 |
2.5 |
% |
$ |
194,438 |
|
Class A-1B |
|
82,942 |
3.3 |
% |
|
73,259 |
|
Class A-2 |
|
21,168 |
3.6 |
% |
|
17,054 |
|
Class A-3 |
|
28,079 |
3.7 |
% |
|
21,308 |
|
Class M-1 |
|
17,928 |
3.7 |
% |
|
12,160 |
|
Subtotal |
|
362,424 |
|
|
318,219 |
|
|
Less: Unamortized Deferred Financing Costs |
|
N/A |
|
|
— |
|
|
Total |
$ |
362,424 |
|
$ |
318,219 |
|
|
The Company retained the subordinate bonds and these bonds had a fair market value of
Arroyo 2022-2
The following table summarizes the residential mortgage-backed notes issued by the Company's Arroyo 2022-2 securitization trust at
Classes |
Principal Balance |
Coupon |
Carrying Value |
Contractual
|
|||
Offered Notes: |
|
|
|
|
|||
Class A-1 |
$ |
267,533 |
5.0 |
% |
$ |
260,217 |
|
Class A-2 |
|
22,773 |
5.0 |
% |
|
21,983 |
|
Class A-3 |
|
27,749 |
5.0 |
% |
|
26,619 |
|
Class M-1 |
|
17,694 |
5.0 |
% |
|
15,216 |
|
Subtotal |
|
335,749 |
|
|
324,035 |
|
|
Less: Unamortized Deferred Financing Costs |
|
N/A |
|
|
— |
|
|
Total |
$ |
335,749 |
|
$ |
324,035 |
|
|
The Company retained the subordinate bonds and these bonds had a fair market value of
Commercial Mortgage-Backed Notes
The following table summarizes
Classes |
Principal Balance |
Coupon |
Fair Value |
Contractual Maturity |
|||
Class A-1 |
$ |
120,391 |
3.3 |
% |
$ |
108,591 |
|
Class A-2 |
|
531,700 |
4.0 |
% |
|
477,678 |
|
Class B |
|
136,400 |
4.2 |
% |
|
115,782 |
|
Class C |
|
94,500 |
4.3 |
% |
|
76,304 |
|
Class D |
|
153,950 |
4.4 |
% |
|
113,229 |
|
Class E |
|
180,150 |
4.4 |
% |
|
99,858 |
|
Class F |
|
153,600 |
4.4 |
% |
|
77,242 |
|
Class X-1(1) |
|
n/a |
0.7 |
% |
|
7,430 |
|
Class X-2(1) |
|
n/a |
0.2 |
% |
|
1,497 |
|
|
$ |
1,370,691 |
|
$ |
1,077,611 |
|
|
(1) |
|
Class X-1 and X-2 are interest-only classes with notional balances of |
The above table does not reflect the portion of the class F bond held by the Company because the bond is eliminated in consolidation. The Company's ownership interest in the F bonds represents a controlling financial interest, which resulted in the consolidation of the trust during the quarter. The bond had a fair market value of
Derivatives Activity
The following table summarizes the Company’s other derivative instruments at
Other Derivative Instruments |
|
Notional Amount |
|
Fair Value |
|||
Interest rate swaps, asset |
|
$ |
60,000 |
|
$ |
1 |
|
Other derivative instruments, assets |
|
|
|
|
1 |
|
|
|
|
|
|
|
|||
Interest rate swaps, liability |
|
|
98,000 |
|
|
(61 |
) |
Total other derivative instruments, liabilities |
|
|
|
|
(61 |
) |
|
Total other derivative instruments, net |
|
|
|
$ |
(60 |
) |
|
DIVIDEND
For the year ended
CONFERENCE CALL
The Company will host a conference call with a live webcast tomorrow,
Individuals interested in participating in the conference call may do so by dialing (866) 235-9914 from
The Company is enabling investors to pre-register for the earnings conference call so that they can expedite their entry into the call and avoid the need to wait for a live operator. In order to pre-register for the call, investors can visit https://dpregister.com/sreg/10175707/f5ed520283 and enter in their contact information. Investors will then be issued a personalized phone number and pin to dial into the live conference call. Individuals can pre-register any time prior to the start of the conference call tomorrow.
A telephone replay will be available through
ABOUT
FORWARD-LOOKING STATEMENTS
This press release contains statements that constitute “forward-looking statements.” For these statements, the Company claims the protections of the safe harbor for forward-looking statements contained in such sections. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond the Company’s control.
Operating results are subject to numerous conditions, many of which are beyond the control of the Company, including, without limitation, changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; general economic conditions; market conditions; conditions in the market for mortgage related investments; and legislative and regulatory changes that could adversely affect the business of the Company.
Other factors are described in Risk Factors section of the Company’s annual report on Form 10-K for the period ended
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 Distributable Earnings, Distributable Earnings per share, Economic return on book/economic value, and certain financial metrics derived from non-GAAP information, such as weighted average yield, including IO securities; weighted average effective cost of financing, including swaps; weighted average net interest margin, including IO securities and swaps, which constitute non-GAAP financial measures within the meaning of Regulation G promulgated by the
-Financial Tables to Follow-
|
||||||||
|
|
|
|
|
||||
Assets: |
|
|
|
|
||||
Cash and cash equivalents |
|
$ |
18,011 |
|
|
$ |
40,193 |
|
Restricted cash |
|
|
248 |
|
|
|
260 |
|
Agency mortgage-backed securities, at fair value ( |
|
|
767 |
|
|
|
1,172 |
|
Non-Agency mortgage-backed securities, at fair value ( |
|
|
109,122 |
|
|
|
133,127 |
|
Other securities, at fair value ( |
|
|
27,262 |
|
|
|
51,648 |
|
Residential Whole Loans, at fair value ( |
|
|
1,091,145 |
|
|
|
1,023,502 |
|
Residential Bridge Loans (None and |
|
|
2,849 |
|
|
|
5,428 |
|
Securitized commercial loan, at fair value |
|
|
1,085,103 |
|
|
|
1,355,808 |
|
Commercial Loans, at fair value ( |
|
|
90,002 |
|
|
|
130,572 |
|
Investment related receivable |
|
|
5,960 |
|
|
|
22,133 |
|
Interest receivable |
|
|
11,330 |
|
|
|
11,823 |
|
Due from counterparties |
|
|
6,574 |
|
|
|
4,565 |
|
Derivative assets, at fair value |
|
|
1 |
|
|
|
105 |
|
Other assets |
|
|
4,860 |
|
|
|
45,364 |
|
Total Assets (1) |
|
$ |
2,453,234 |
|
|
$ |
2,825,700 |
|
Liabilities and Stockholders’ Equity: |
|
|
|
|
||||
Liabilities: |
|
|
|
|
||||
Repurchase agreements, net |
|
$ |
193,117 |
|
|
$ |
617,189 |
|
Convertible senior unsecured notes, net |
|
|
83,522 |
|
|
|
119,168 |
|
Securitized debt, net ( |
|
|
2,058,684 |
|
|
|
1,863,488 |
|
Interest payable (includes |
|
|
12,794 |
|
|
|
10,272 |
|
Due to counterparties |
|
|
300 |
|
|
|
— |
|
Derivative liability, at fair value |
|
|
61 |
|
|
|
602 |
|
Accounts payable and accrued expenses |
|
|
3,201 |
|
|
|
4,842 |
|
Payable to affiliate |
|
|
4,028 |
|
|
|
1,925 |
|
Dividend payable |
|
|
2,415 |
|
|
|
3,623 |
|
Other liabilities |
|
|
300 |
|
|
|
262 |
|
Total Liabilities (2) |
|
|
2,358,422 |
|
|
|
2,621,371 |
|
Commitments and contingencies |
|
|
|
|
||||
Stockholders’ Equity: |
|
|
|
|
||||
Common stock, |
|
|
60 |
|
|
|
60 |
|
Preferred stock, |
|
|
— |
|
|
|
— |
|
|
|
|
(1,665 |
) |
|
|
(1,665 |
) |
Additional paid-in capital |
|
|
919,238 |
|
|
|
918,695 |
|
Retained earnings (accumulated deficit) |
|
|
(822,829 |
) |
|
|
(723,981 |
) |
Total Stockholders’ Equity |
|
|
94,804 |
|
|
|
193,109 |
|
Non-controlling interest |
|
|
8 |
|
|
|
11,220 |
|
Total Equity |
|
|
94,812 |
|
|
|
204,329 |
|
Total Liabilities and Stockholders’ Equity |
|
$ |
2,453,234 |
|
|
$ |
2,825,700 |
|
|
||||||
|
|
|
|
|
||
(1) Assets of consolidated VIEs included in the total assets above: |
|
|
|
|
||
Cash and cash equivalents |
|
$ |
— |
|
$ |
266 |
Restricted cash |
|
|
248 |
|
|
260 |
Residential Whole Loans, at fair value ( |
|
|
1,091,145 |
|
|
1,023,502 |
Residential Bridge Loans (None and |
|
|
2,849 |
|
|
5,207 |
Securitized commercial loan, at fair value |
|
|
1,085,103 |
|
|
1,355,808 |
Commercial Loans, at fair value (None and |
|
|
14,362 |
|
|
14,362 |
Investment related receivable |
|
|
5,914 |
|
|
22,087 |
Interest receivable |
|
|
10,182 |
|
|
10,572 |
Other assets |
|
|
509 |
|
|
— |
Total assets of consolidated VIEs |
|
$ |
2,210,312 |
|
$ |
2,432,064 |
(2) Liabilities of consolidated VIEs included in the total liabilities above: |
|
|
|
|
||
Securitized debt, net ( |
|
$ |
2,058,684 |
|
$ |
1,863,488 |
Interest payable (includes |
|
|
8,303 |
|
|
6,480 |
Accounts payable and accrued expenses |
|
|
43 |
|
|
78 |
Other liabilities |
|
|
248 |
|
$ |
260 |
Total liabilities of consolidated VIEs |
|
$ |
2,067,278 |
|
$ |
1,870,306 |
|
||||||||||||||||||||
|
|
Three Months Ended(1) |
|
The Year
|
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net Interest Income |
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest income |
|
$ |
42,094 |
|
|
$ |
41,406 |
|
|
$ |
39,577 |
|
|
$ |
35,642 |
|
|
$ |
158,719 |
|
Interest expense |
|
|
37,323 |
|
|
|
35,707 |
|
|
|
33,342 |
|
|
|
31,359 |
|
|
|
137,732 |
|
Net Interest Income |
|
|
4,771 |
|
|
|
5,699 |
|
|
|
6,235 |
|
|
|
4,283 |
|
|
|
20,987 |
|
Other Income (Loss) |
|
|
|
|
|
|
|
|
|
|
||||||||||
Realized gain (loss) on sale of investments, net |
|
|
(3,118 |
) |
|
|
(35 |
) |
|
|
(45,661 |
) |
|
|
12,145 |
|
|
|
(36,669 |
) |
Unrealized gain (loss), net |
|
|
2,427 |
|
|
|
(43,582 |
) |
|
|
16,185 |
|
|
|
(38,903 |
) |
|
|
(63,874 |
) |
Gain (loss) on derivative instruments, net |
|
|
(381 |
) |
|
|
4,882 |
|
|
|
4,781 |
|
|
|
6,936 |
|
|
|
16,218 |
|
Other, net |
|
|
105 |
|
|
|
(61 |
) |
|
|
(46 |
) |
|
|
(145 |
) |
|
|
(147 |
) |
Other Income (Loss) |
|
|
(967 |
) |
|
|
(38,796 |
) |
|
|
(24,741 |
) |
|
|
(19,967 |
) |
|
|
(84,472 |
) |
Expenses |
|
|
|
|
|
|
|
|
|
|
||||||||||
Management fee to affiliate |
|
|
991 |
|
|
|
850 |
|
|
|
1,002 |
|
|
|
1,100 |
|
|
|
3,942 |
|
Other operating expenses |
|
|
452 |
|
|
|
343 |
|
|
|
262 |
|
|
|
296 |
|
|
|
1,353 |
|
Transaction costs |
|
|
721 |
|
|
|
2,635 |
|
|
|
344 |
|
|
|
2,611 |
|
|
|
6,311 |
|
General and administrative expenses: |
|
|
|
|
|
|
|
|
|
|
||||||||||
Compensation expense |
|
|
507 |
|
|
|
515 |
|
|
|
130 |
|
|
|
498 |
|
|
|
1,650 |
|
Professional fees |
|
|
1,597 |
|
|
|
1,626 |
|
|
|
1,552 |
|
|
|
1,256 |
|
|
|
6,031 |
|
Other general and administrative expenses |
|
|
475 |
|
|
|
676 |
|
|
|
637 |
|
|
|
736 |
|
|
|
2,523 |
|
Total general and administrative expenses |
|
|
2,579 |
|
|
|
2,817 |
|
|
|
2,319 |
|
|
|
2,490 |
|
|
|
10,204 |
|
Total Expenses |
|
|
4,743 |
|
|
|
6,645 |
|
|
|
3,927 |
|
|
|
6,497 |
|
|
|
21,810 |
|
Income (loss) before income taxes |
|
|
(938 |
) |
|
|
(39,742 |
) |
|
|
(22,433 |
) |
|
|
(22,181 |
) |
|
|
(85,295 |
) |
Income tax provision (benefit) |
|
|
(105 |
) |
|
|
266 |
|
|
|
(46 |
) |
|
|
56 |
|
|
|
171 |
|
Net income (loss) |
|
|
(833 |
) |
|
$ |
(40,008 |
) |
|
$ |
(22,387 |
) |
|
$ |
(22,237 |
) |
|
$ |
(85,466 |
) |
Net income attributable to non-controlling interest |
|
|
(5 |
) |
|
|
2 |
|
|
|
— |
|
|
|
3,616 |
|
|
|
3,613 |
|
Net income (loss) attributable to common stockholders and participating securities |
|
$ |
(828 |
) |
|
$ |
(40,010 |
) |
|
$ |
(22,387 |
) |
|
$ |
(25,853 |
) |
|
$ |
(89,079 |
) |
Net income (loss) per Common Share – Basic |
|
$ |
(0.14 |
) |
|
$ |
(6.63 |
) |
|
$ |
(3.71 |
) |
|
$ |
(4.30 |
) |
|
$ |
(14.77 |
) |
Net income (loss) per Common Share – Diluted |
|
$ |
(0.14 |
) |
|
$ |
(6.63 |
) |
|
$ |
(3.71 |
) |
|
$ |
(4.30 |
) |
|
$ |
(14.77 |
) |
Dividends Declared per Share of Common Stock |
|
$ |
0.40 |
|
|
$ |
0.40 |
|
|
$ |
0.40 |
|
|
$ |
0.40 |
|
|
$ |
1.60 |
|
(1) |
|
Consolidated Statements of Operations for each of the three months ended |
Reconciliation of GAAP Net Income to Non-GAAP Distributable Earnings
(Unaudited)
(dollars in thousands—except share and per share data)
The table below reconciles Net Income (Loss) to Distributable Earnings for each of the three months ended
|
|
Three Months Ended |
|
The Year Ended |
||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Net Income (loss) attributable to common stock holders and participating securities |
|
$ |
(828 |
) |
|
$ |
(40,010 |
) |
|
$ |
(22,387 |
) |
|
$ |
(25,853 |
) |
|
$ |
(89,079 |
) |
Income tax provision (benefit) |
|
|
(105 |
) |
|
|
266 |
|
|
|
(46 |
) |
|
|
56 |
|
|
|
171 |
|
Net income (loss) before income tax |
(933 |
) |
(39,744 |
) |
(22,433 |
) |
(25,797 |
) |
(88,908 |
) |
||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Adjustments: |
|
|
|
|
|
|
|
|
|
|
||||||||||
Investments: |
|
|
|
|
|
|
|
|
|
|
||||||||||
Unrealized (gain) loss on investments, securitized debt and other liabilities |
|
|
(2,427 |
) |
|
|
43,582 |
|
|
|
(16,185 |
) |
|
|
38,903 |
|
|
|
63,874 |
|
Realized (gain) loss on sale of investments |
|
|
4,096 |
|
|
|
33 |
|
|
|
45,582 |
|
|
|
(8,713 |
) |
|
|
40,204 |
|
One-time transaction costs |
|
|
716 |
|
|
|
2,632 |
|
|
|
336 |
|
|
|
2,740 |
|
|
|
6,424 |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Derivative Instruments: |
|
|
|
|
|
|
|
|
|
|
||||||||||
Net realized (gain) loss on derivatives |
|
|
— |
|
|
|
(929 |
) |
|
|
(6,513 |
) |
|
|
(5,540 |
) |
|
|
(12,003 |
) |
Unrealized (gain) loss on derivatives |
|
|
294 |
|
|
|
(3,636 |
) |
|
|
1,498 |
|
|
|
(1,655 |
) |
|
|
(3,499 |
) |
|
|
|
|
|
|
|
|
|
|
|||||||||||
Other: |
|
|
|
|
|
|
|
|
|
|
||||||||||
Realized (gain) loss on extinguishment of convertible senior unsecured notes |
|
|
— |
|
|
|
2 |
|
|
|
79 |
|
|
|
53 |
|
|
|
(50 |
) |
Amortization of discount on convertible senior note |
|
|
172 |
|
|
|
209 |
|
|
|
216 |
|
|
|
223 |
|
|
|
820 |
|
Other non-cash adjustments |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Non-cash stock-based compensation expense |
|
|
100 |
|
|
|
100 |
|
|
|
70 |
|
|
|
165 |
|
|
|
435 |
|
Total adjustments |
|
|
2,951 |
|
|
|
41,994 |
|
|
|
25,083 |
|
|
|
26,176 |
|
|
|
96,205 |
|
Distributable Earnings – Non-GAAP |
|
2,018 |
|
|
2,250 |
|
|
2,650 |
|
|
379 |
|
|
7,297 |
|
|||||
Basic and Diluted Distributable Earnings per |
|
$ |
0.33 |
|
|
$ |
0.37 |
|
|
$ |
0.44 |
|
|
$ |
0.06 |
|
|
$ |
1.20 |
|
Basic weighted average common shares and participating securities |
|
|
6,038,012 |
|
|
|
6,038,010 |
|
|
|
6,038,010 |
|
|
|
6,038,010 |
|
|
|
6,038,012 |
|
Diluted weighted average common shares and participating securities |
|
|
6,038,012 |
|
|
|
6,038,010 |
|
|
|
6,038,010 |
|
|
|
6,038,010 |
|
|
|
6,038,012 |
|
Alternatively, our Distributable Earnings can also be derived as presented in the table below by starting net interest income adding interest income on Interest-Only Strips accounted for as derivatives and other derivatives, and net interest expense incurred on interest rate swaps and foreign currency swaps and forwards to arrive at adjusted net interest income (a Non-GAAP financial measure). Then subtracting total expenses, adding non-cash stock-based compensation, adding one-time transaction costs, adding amortization of discount on convertible senior unsecured notes, and adding interest income on cash balances and other income (loss), net:
|
|
Three months ended |
|
The Year Ended |
||||||||||||||||
(dollars in thousands) |
|
|
|
|
|
|
|
|
|
|
||||||||||
Net interest income |
|
$ |
4,771 |
|
|
$ |
5,699 |
|
|
$ |
6,235 |
|
|
$ |
4,283 |
|
|
$ |
20,987 |
|
Interest income from IOs and IIOs accounted for as derivatives |
|
|
9 |
|
|
|
11 |
|
|
|
12 |
|
|
|
17 |
|
|
|
49 |
|
Net interest income from interest rate swaps |
|
|
882 |
|
|
|
298 |
|
|
|
(262 |
) |
|
|
(291 |
) |
|
|
628 |
|
Adjusted net interest income |
|
|
5,662 |
|
|
|
6,008 |
|
|
|
5,985 |
|
|
|
4,009 |
|
|
|
21,664 |
|
Total expenses |
|
|
(4,742 |
) |
|
|
(6,645 |
) |
|
|
(3,927 |
) |
|
|
(6,497 |
) |
|
|
(21,810 |
) |
Non-cash stock-based compensation |
|
|
100 |
|
|
|
100 |
|
|
|
70 |
|
|
|
165 |
|
|
|
435 |
|
Non-cash adjustments |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
One-time transaction costs |
|
|
716 |
|
|
|
2,632 |
|
|
|
336 |
|
|
|
2,740 |
|
|
|
6,424 |
|
Amortization of discount on convertible unsecured senior notes |
|
|
172 |
|
|
|
209 |
|
|
|
216 |
|
|
|
223 |
|
|
|
820 |
|
Interest income on cash balances and other income (loss), net |
|
|
105 |
|
|
|
(52 |
) |
|
|
(30 |
) |
|
|
(130 |
) |
|
|
(108 |
) |
Income attributable to non-controlling interest |
|
|
5 |
|
|
|
(2 |
) |
|
|
— |
|
|
|
(131 |
) |
|
|
(128 |
) |
Distributable Earnings |
|
$ |
2,018 |
|
|
$ |
2,250 |
|
|
$ |
2,650 |
|
|
$ |
379 |
|
|
$ |
7,297 |
|
Reconciliation of GAAP Book Value to Non-GAAP Economic Book Value
|
|||||||
|
|
||||||
|
Amount |
|
Per Share |
||||
GAAP Book Value at |
$ |
97,948 |
|
|
$ |
16.22 |
|
Equity portion of the convertible senior unsecured notes |
|
— |
|
|
|
— |
|
Repurchase of common stock |
|
— |
|
|
|
N/A |
|
Common dividend |
|
(2,415 |
) |
|
|
(0.40 |
) |
|
|
95,533 |
|
|
|
15.82 |
|
Portfolio Income |
|
|
|
||||
Net Interest Margin |
|
5,769 |
|
|
|
0.96 |
|
Realized gain (loss), net |
|
(4,096 |
) |
|
|
(0.68 |
) |
Unrealized gain (loss), net |
|
2,133 |
|
|
|
0.35 |
|
Net portfolio income |
|
3,806 |
|
|
|
0.63 |
|
|
|
|
|
||||
Operating expenses |
|
(2,162 |
) |
|
|
(0.36 |
) |
General and administrative expenses, excluding equity based compensation |
|
(2,478 |
) |
|
|
(0.41 |
) |
Provision for taxes |
|
105 |
|
|
|
0.02 |
|
GAAP Book Value at |
$ |
94,804 |
|
|
$ |
15.70 |
|
|
|
|
|
||||
Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned |
|||||||
Arroyo 2019-2 |
$ |
906 |
|
|
$ |
0.15 |
|
Arroyo 2020-1 |
|
8,496 |
|
|
|
1.41 |
|
Arroyo 2022-1 |
|
(117 |
) |
|
|
(0.02 |
) |
Arroyo 2022-2 |
|
(82 |
) |
|
|
(0.01 |
) |
Economic Book Value at |
$ |
104,007 |
|
|
$ |
17.23 |
|
|
|
|
|
||||
Adjustments to deconsolidate VIEs and reflect the Company's interest in the securities owned |
|||||||
Deconsolidation of VIEs assets |
$ |
(2,184,881 |
) |
|
$ |
(361.85 |
) |
Deconsolidation VIEs liabilities |
|
2,067,003 |
|
|
|
342.33 |
|
Interest in securities of VIEs owned, at fair value |
|
127,081 |
|
|
|
21.05 |
|
Economic Book Value at |
$ |
104,007 |
|
|
$ |
17.23 |
|
"Economic Book value" is a non-GAAP financial measure of our financial position on an unconsolidated basis. The Company owns certain securities that represent a controlling variable interest, which under GAAP requires consolidation; however, the Company's economic exposure to these variable interests is limited to the fair value of the individual investments. Economic book value is calculated by adjusting the GAAP book value by 1) adding the fair value of the retained interest or acquired security of the VIEs (
Reconciliation of Effective Cost of Funds
(dollars in thousands)
(Unaudited)
The following table reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for each of the three months ended
|
|
Three Months Ended |
||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||||||
|
|
Interest |
|
Effective Borrowing Costs |
|
Interest |
|
Effective Borrowing Costs |
|
Interest |
|
Effective Borrowing Costs |
|
Interest |
|
Effective Borrowing Costs |
||||||||||||
Interest expense |
|
$ |
37,324 |
|
|
5.64 |
% |
|
$ |
35,707 |
|
|
5.20 |
% |
|
$ |
33,342 |
|
|
5.01 |
% |
|
$ |
31,359 |
|
|
4.99 |
% |
Adjustments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest expense on Securitized debt from consolidated VIEs |
|
|
(21,279 |
) |
|
(6.61 |
) % |
|
|
(21,132 |
) |
|
(6.60 |
) % |
|
|
(20,979 |
) |
|
(6.65 |
) % |
|
|
(20,829 |
) |
|
(6.71 |
) % |
Net interest (received) paid - interest rate swaps |
|
|
(883 |
) |
|
(0.13 |
) % |
|
|
(298 |
) |
|
(0.04 |
) % |
|
|
262 |
|
|
0.04 |
% |
|
|
291 |
|
|
5.00 |
% |
Effective Borrowing Costs |
|
$ |
15,162 |
|
|
4.46 |
% |
|
$ |
14,277 |
|
|
3.90 |
% |
|
$ |
12,625 |
|
|
3.60 |
% |
|
$ |
10,821 |
|
|
3.41 |
% |
Weighted average borrowings |
|
$ |
1,347,321 |
|
|
|
|
$ |
1,452,090 |
|
|
|
|
$ |
1,405,317 |
|
|
|
|
$ |
1,288,592 |
|
|
|
||||
The following table reconciles the Effective Cost of Funds (Non-GAAP financial measure) with interest expense for the years ended
|
|
The Year Ended |
||||||||||||
|
|
|
|
|
||||||||||
|
|
Interest |
|
Effective Borrowing Costs |
|
Interest |
|
Effective Borrowing Costs |
||||||
Interest expense |
|
$ |
137,732 |
|
|
5.22 |
% |
|
$ |
136,910 |
|
|
5.17 |
% |
Adjustments: |
|
|
|
|
|
|
|
|
||||||
Interest expense on Securitized debt from consolidated VIEs |
|
|
(84,219 |
) |
|
(6.64 |
) % |
|
|
(87,635 |
) |
|
(6.31 |
) % |
Net interest (received) paid - interest rate swaps |
|
|
(628 |
) |
|
(0.02 |
) % |
|
|
(109 |
) |
|
— |
% |
Effective Borrowing Costs |
|
$ |
52,885 |
|
|
3.85 |
% |
|
$ |
49,166 |
|
|
3.90 |
% |
Weighted average borrowings |
|
$ |
1,372,019 |
|
|
|
|
$ |
1,259,264 |
|
|
|
||
Reconciliation of Net Interest Margin
(dollars in thousands)
(Unaudited)
The following table reconciles annualized Net Interest Margin (Non-GAAP financial measure) for the three months ended
Three Months Ended |
|
Average Amortized
|
|
Total Interest Income(2) |
|
Yield on Average Assets |
|||||
Investments |
|
|
|
|
|
|
|||||
Agency RMBS |
|
$ |
900 |
|
|
$ |
12 |
|
|
5.29 |
% |
Non-Agency CMBS |
|
|
106,640 |
|
|
|
2,308 |
|
|
8.59 |
% |
Non-Agency RMBS |
|
|
35,734 |
|
|
|
445 |
|
|
4.94 |
% |
Residential whole loans |
|
|
1,208,686 |
|
|
|
13,557 |
|
|
4.45 |
% |
Residential bridge loans |
|
|
4,403 |
|
|
|
1,159 |
|
|
104.43 |
% |
Commercial loans |
|
|
175,783 |
|
|
|
1,489 |
|
|
3.36 |
% |
Securitized commercial loans |
|
|
1,294,829 |
|
|
|
22,214 |
|
|
6.81 |
% |
Other securities |
|
|
42,935 |
|
|
|
919 |
|
|
8.49 |
% |
Total investments |
|
|
2,869,910 |
|
|
|
42,103 |
|
|
5.82 |
% |
Adjustments: |
|
|
|
|
|
|
|||||
Securitized commercial loans from consolidated VIEs |
|
|
(1,294,829 |
) |
|
|
(22,214 |
) |
|
6.81 |
% |
Investments in consolidated VIEs eliminated in consolidation |
|
|
14,137 |
|
|
|
222 |
|
|
6.23 |
% |
Adjusted total investments |
|
$ |
1,589,218 |
|
|
$ |
20,111 |
|
|
5.02 |
% |
|
|
|
|
|
|
|
|||||
|
|
Average Carrying Value |
|
Total Interest Expense |
|
Average Effective Cost
|
|||||
Borrowings |
|
|
|
|
|
|
|||||
Repurchase agreements |
|
$ |
223,008 |
|
|
$ |
3,888 |
|
|
6.92 |
% |
Convertible senior unsecured notes, net |
|
|
83,386 |
|
|
|
1,865 |
|
|
8.87 |
% |
Securitized debt |
|
|
2,317,644 |
|
|
|
31,571 |
|
|
5.40 |
% |
Interest rate swaps |
|
|
n/a |
|
|
|
(883 |
) |
|
(0.13 |
) % |
Total borrowings |
|
|
2,624,038 |
|
|
|
36,441 |
|
|
5.52 |
% |
Adjustments: |
|
|
|
|
|
|
|||||
Securitized debt from consolidated VIEs(3) |
|
|
(1,276,717 |
) |
|
|
(21,279 |
) |
|
6.61 |
% |
Adjusted total borrowings |
|
$ |
1,347,321 |
|
|
$ |
15,162 |
|
|
4.46 |
% |
|
|
|
|
|
|
|
|||||
Adjusted net investment income and net interest margin |
|
|
|
$ |
4,949 |
|
|
1.24 |
% |
||
(1) |
|
|
(2) |
|
Refer to the table in the Non-GAAP Financial Measures section of the Company's Form 10-K for components of interest income. |
(3) |
|
Includes only the third-party sponsored securitized debt from |
View source version on businesswire.com: https://www.businesswire.com/news/home/20230301006012/en/
Investor Relations Contact:
(310) 622-8223
lclark@finprofiles.com
Media Contact:
(310) 622-8226
tross@finprofiles.com
Source:
FAQ
What were the financial results for WMC in Q4 2022?
What is the annual dividend declared by WMC for 2022?
What challenges did WMC face in 2022?
How much in Residential Whole Loans did WMC securitize in 2022?
What was the economic return on book value for WMC in 2022?
