Arlington Asset Investment Corp. Reports Second Quarter 2017 Financial Results

As of June 30, 2017, the Company had $3,914 million of repurchase agreements outstanding with a weighted average rate of 1.33% and remaining weighted average maturity of 13 days secured by an aggregate of $4,102 million of agency MBS at fair value. 

Interest income less interest expense on short-term financing on the Company's agency MBS portfolio was $20.1 million for the second quarter of 2017 compared to $21.4 million for the first quarter of 2017, including the amortization of the Company's net premium on its agency MBS of $8.5 million for the second quarter of 2017 compared to $7.4 million for the first quarter of 2017.  The Company's weighted average yield on its agency MBS was 2.85% for the second quarter of 2017, unchanged from the first quarter of 2017, and the actual weighted-average constant prepayment rate ("CPR") for the Company's agency MBS was 9.03% for the second quarter of 2017 compared to 8.17% for the first quarter of 2017. 

The Company reported TBA dollar roll income of $4.3 million for the second quarter of 2017 compared to $3.4 million for the first quarter of 2017.  The implied weighted-average net interest spread of the Company's TBA dollar rolls was 2.42% for the second quarter of 2017 compared to 2.45% for the first quarter of 2017.  TBA dollar roll income is considered the economic equivalent of investing in agency MBS financed with a repurchase agreement and is calculated as the price discount of a forward-settling purchase of a TBA agency MBS relative to the "spot" sale of the same security.   Under GAAP, the Company accounts for its TBA commitments as derivative instruments and recognizes income from TBA dollar rolls as a component of net investment gains and losses in the Company's financial statements. 

The Company enters into various hedging transactions to mitigate the interest rate sensitivity of its cost of borrowing and the value of its agency MBS portfolio including interest rate swap agreements, U.S. Treasury note futures, and put and call options on 10-year U.S. Treasury note futures. 

Under the terms of the Company's interest rate swap agreements, the Company pays semiannual interest payments based on a fixed rate and receives quarterly variable interest payments based upon the prevailing three-month London Interbank Offered Rate ("LIBOR") on the date of reset. As of June 30, 2017, the Company had $975 million in notional amount of interest rate swap agreements maturing in less than 3 years with a weighted average pay fixed rate of 1.18% and a remaining weighted average maturity of 1.7 years, $500 million in notional amount of interest rate swap agreements maturing between 3 to 7 years with a weighted average pay fixed rate of 1.91% and weighted average maturity of 4.0 years, and $2,000 million in notional amount of interest rate swap agreements maturing between 7 to 10 years with a weighted average pay fixed rate of 2.01% and a remaining weighted average maturity of 8.9 years.  In addition, the Company had $375 million in notional amount of forward starting two-year interest rate swap agreements that become effective in September and October of 2017 with a weighted average pay fixed rate of 1.13%.  

In addition to interest rate swap agreements, the Company held $350 million in equivalent notional amount of short positions in 10-year U.S. Treasury note futures that were purchased during the second quarter of 2017 when the 10-year U.S. Treasury rate was 2.26%.  To limit exposure of its overall interest rate hedge portfolio in a significantly falling interest rate environment, the Company also purchased contracts that provide it with the option to call 10-year U.S. Treasury note futures from a counterparty with an equivalent notional amount of $700 million that were struck at a weighted average strike price per contract that equates to a 10-year U.S. Treasury rate of approximately 1.81%.

Excluding TBA dollar roll income and interest rate swap net interest expense included in non-GAAP core operating income, the Company had net investment gains on its investment portfolio of $15.9 million and net investment losses on its related interest rate derivative hedging instruments of $30.8 million for a net investment loss on its hedged investment portfolio of $14.9 million, or $0.58 per common share.

Income Taxes

The Company is subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended.  As of June 30, 2017, the Company estimated its net operating loss ("NOL") carry-forward at $75.4 million that begins to expire in 2027, its net capital loss ("NCL") carry-forward at $324.4 million that begins to expire in 2019, and its alternative minimum tax ("AMT") credit carry-forward at $8.8 million that do not expire.  The Company's estimated loss and tax credit carry-forwards as of June 30, 2017 are subject to potential adjustments up to the time of filing the Company's income tax returns.  For GAAP purposes, the Company had a net deferred tax asset of $24.2 million, or $0.93 per common share, as of June 30, 2017.

Capital Issuances

During the second quarter of 2017, the Company issued 2,331,489 shares of Class A common stock at a weighted average public offering price of $14.51 per common share for proceeds of $33.4 million, net of underwriting discounts and commissions, under its equity distribution agreements.  On May 12, 2017, the Company completed a public offering in which it issued 135,000 shares of 7.00% Series B Cumulative Perpetual Redeemable Preferred Stock ("Series B Preferred Stock") at a public offering price of $24.00 per share for proceeds of $3.1 million, net of underwriting discounts and commissions.  During the second quarter of 2017, the Company issued an additional 21,310 shares of Series B Preferred Stock at a weighted average public offering price of $24.41 per share for proceeds of $0.5 million, net of underwriting and commissions, under its equity distribution agreement.

Distributions to Shareholders

The Company's Board of Directors approved a distribution to common shareholders of $0.55 per share for the second quarter of 2017.  The distribution will be paid on July 31, 2017 to shareholders of record as of June 30, 2017.  The Company's Board of Directors also approved an initial distribution to its Series B preferred shareholders of $0.238 per share for the second quarter of 2017.  The distribution was paid to shareholders on June 30, 2017 to shareholders of record as of June 19, 2017.

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 common and preferred shareholders of current or accumulated earnings and profits are qualified dividends eligible for the 23.8% maximum 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% maximum federal tax rate, inclusive of the 3.8% Medicare 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, July 25, 2017 to discuss the Company's second quarter 2017 results.

Investors may listen to the earnings call 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.

Additional Information

The Company will make available additional quarterly information for the benefit of its shareholders through a supplemental presentation that will be available at the Company's website, www.arlingtonasset.com.  The presentation will be available on the Webcasts and Presentations section located under the Updates & Events tab of the Company's website.

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, utilization of loss carry-forwards 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 the Company's 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, 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, 2016 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 to follow

ARLINGTON ASSET INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(Dollars in thousands, except per share amounts)
(Unaudited)
		June 30, 2017				March 31, 2017 (4)
ASSETS
Cash and cash equivalents		$	73,308			$	15,775
Interest receivable			12,785				13,723
Sold securities receivable			—				160,431
Mortgage-backed securities, at fair value
Agency			4,182,529				4,391,274
Private-label			74				1,292
Derivative assets, at fair value			7,965				5,546
Deferred tax assets, net			24,162				40,546
Deposits, net			65,339				63,782
Other assets			2,729				3,520
Total assets		$	4,368,891			$	4,695,889
LIABILITIES AND EQUITY
Liabilities:
Repurchase agreements		$	3,913,699			$	4,241,855
Interest payable			3,020				2,415
Accrued compensation and benefits			2,958				1,589
Dividend payable			15,548				15,964
Derivative liabilities, at fair value			4,038				6,096
Other liabilities			1,233				4,380
Long-term unsecured debt			73,768				73,712 Werbung Mehr Nachrichten zur Arlington Asset Investment Aktie kostenlos abonnieren E-Mail-Adresse Bitte überprüfe deine die E-Mail-Adresse. Benachrichtigungen von ARIVA.DE (Mit der Bestellung akzeptierst du die Datenschutzhinweise) -1 Vielen Dank, dass du dich für unseren Newsletter angemeldet hast. Du erhältst in Kürze eine E-Mail mit einem Aktivierungslink. Hinweis: ARIVA.DE veröffentlicht in dieser Rubrik Analysen, Kolumnen und Nachrichten aus verschiedenen Quellen. Die ARIVA.DE AG ist nicht verantwortlich für Inhalte, die erkennbar von Dritten in den „News“-Bereich dieser Webseite eingestellt worden sind, und macht sich diese nicht zu Eigen. Diese Inhalte sind insbesondere durch eine entsprechende „von“-Kennzeichnung unterhalb der Artikelüberschrift und/oder durch den Link „Um den vollständigen Artikel zu lesen, klicken Sie bitte hier.“ erkennbar; verantwortlich für diese Inhalte ist allein der genannte Dritte. Andere Nutzer interessierten sich auch für folgende News 18.04.24 - PR Newswire BH Macro Limited - Transaction in Own Shares 18.04.24 - PR Newswire Samson Rock Capital LLP - Form 8.3 - Shanta Gold Ltd 18.04.24 - PR Newswire Samson Rock Capital LLP - Form 8.3 - Accrol Group Holdings plc Auf zur INVEST am 26.+ 27.04.2024    Foto: Landesmesse Stuttgart GmbH - Jetzt kostenloses Ticket sichern! weiterlesen» Anzeige wo-site-teaser-box-16688_site-teaser-box_2024-04-17_09%253A00%253A00_2024-04-22_09%253A00%253A59