Delaware | 001-34569 | 26-0489289 | ||
(State or other jurisdiction of incorporation) | (Commission File Number) | (IRS Employer Identification No.) |
¨ | Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |
¨ | Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |
¨ | Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |
¨ | Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) |
Item 2.02. | Results of Operations and Financial Condition. |
Item 7.01. | Regulation FD Disclosure. |
Item 9.01. | Financial Statements and Exhibits. |
99.1 | Earnings Press Release dated August 3, 2017 |
ELLINGTON FINANCIAL LLC | ||||||
Date: | August 3, 2017 | By: | /s/ Lisa Mumford | |||
Lisa Mumford | ||||||
Chief Financial Officer |
Exhibit | Description | |||
99.1 | Earnings Press Release dated | August 3, 2017 |
• | Net income1 of $5.1 million, or $0.16 per basic and diluted share. |
• | Book value per share as of June 30, 2017 of $19.21 on a diluted basis, after payment of a quarterly dividend in the second quarter of $0.45 per share, as compared to book value per share of $19.50 on a diluted basis as of March 31, 2017. |
• | Credit strategy gross income of $9.4 million for the quarter ended June 30, 2017. |
• | Agency strategy gross income of $0.4 million for the quarter ended June 30, 2017. |
• | Announced a dividend of $0.45 per share for the second quarter of 2017, equating to an annualized dividend yield of 11.1% based on the August 2, 2017 closing price of $16.26 per share; dividends are paid quarterly in arrears. |
• | Debt-to-equity ratio, excluding repo borrowings on U.S. Treasury securities, of 1.85:1 as of June 30, 2017. |
• | For the third consecutive quarter, the Federal Reserve raised the target range for the federal funds rate by 0.25%, to 1.00%–1.25%. At the June FOMC meeting, the Federal Reserve outlined the mechanics of the eventual tapering of its asset purchases. While the Federal Reserve did not signal exact timing, the market's expectation for the initial taper is the fourth quarter of this year. |
• | For another quarter, yields on U.S. Treasury securities traded in a tight range while the yield curve continued to flatten. The 2-year U.S. Treasury yield rose 13 basis points to end the quarter at 1.38%, whereas the 10-year U.S. Treasury yield fell 9 basis points to 2.30% and traded in an extraordinarily tight 29 basis point range during the quarter. |
• | Mortgage rates continued to decline during the second quarter, with the Freddie Mac survey 30-year mortgage rate falling 26 basis points to end the quarter at 3.88%. Mortgage rates remain at something of a "sweet spot" between prepayment risk and extension risk—namely, the market has low exposure to either risk unless rates move more than about 25 basis points in either direction. |
• | Quarter over quarter, overall Agency RMBS prepayment rates were slightly higher. The small increase reflects lower mortgage rates and the fact that the second quarter of each year typically includes a portion of the peak activity season, when home sales increase significantly. |
Quarter Ended June 30, 2017 | Per Share | % of Average Equity | Quarter Ended March 31, 2017 | Per Share | % of Average Equity | Six Month Period Ended June 30, 2017 | Per Share | % of Average Equity | |||||||||||||||||||||||||
(In thousands, except per share amounts) | |||||||||||||||||||||||||||||||||
Credit: | |||||||||||||||||||||||||||||||||
Interest income and other income | $ | 14,098 | $ | 0.43 | 2.19 | % | $ | 13,133 | $ | 0.40 | 2.02 | % | $ | 27,231 | $ | 0.83 | 4.22 | % | |||||||||||||||
Net realized gain (loss) | 3,858 | 0.12 | 0.60 | % | 2,259 | 0.07 | 0.35 | % | 6,117 | 0.19 | 0.95 | % | |||||||||||||||||||||
Change in net unrealized gain (loss) | 6,784 | 0.21 | 1.05 | % | 10,277 | 0.31 | 1.58 | % | 17,061 | 0.52 | 2.64 | % | |||||||||||||||||||||
Net interest rate hedges(1) | (438 | ) | (0.02 | ) | (0.07 | )% | 146 | — | 0.02 | % | (292 | ) | (0.01 | ) | (0.05 | )% | |||||||||||||||||
Net credit hedges and other activities(2) | (9,591 | ) | (0.30 | ) | (1.49 | )% | (3,920 | ) | (0.12 | ) | (0.60 | )% | (13,511 | ) | (0.41 | ) | (2.09 | )% | |||||||||||||||
Interest expense | (3,253 | ) | (0.10 | ) | (0.51 | )% | (2,199 | ) | (0.07 | ) | (0.34 | )% | (5,452 | ) | (0.17 | ) | (0.85 | )% | |||||||||||||||
Other investment related expenses | (2,013 | ) | (0.06 | ) | (0.31 | )% | (1,496 | ) | (0.04 | ) | (0.23 | )% | (3,509 | ) | (0.12 | ) | (0.54 | )% | |||||||||||||||
Total Credit profit (loss) | 9,445 | 0.28 | 1.46 | % | 18,200 | 0.55 | 2.80 | % | 27,645 | 0.83 | 4.28 | % | |||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||||||
Interest income | 6,397 | 0.19 | 0.99 | % | 8,630 | 0.26 | 1.33 | % | 15,027 | 0.45 | 2.33 | % | |||||||||||||||||||||
Net realized gain (loss) | (663 | ) | (0.02 | ) | (0.10 | )% | (711 | ) | (0.01 | ) | (0.11 | )% | (1,374 | ) | (0.04 | ) | (0.21 | )% | |||||||||||||||
Change in net unrealized gain (loss) | 1,522 | 0.05 | 0.24 | % | (2,570 | ) | (0.08 | ) | (0.40 | )% | (1,048 | ) | (0.03 | ) | (0.16 | )% | |||||||||||||||||
Net interest rate hedges and other activities(1) | (4,659 | ) | (0.14 | ) | (0.72 | )% | (1,572 | ) | (0.05 | ) | (0.24 | )% | (6,231 | ) | (0.19 | ) | (0.97 | )% | |||||||||||||||
Interest expense | (2,226 | ) | (0.07 | ) | (0.35 | )% | (1,857 | ) | (0.06 | ) | (0.29 | )% | (4,083 | ) | (0.13 | ) | (0.63 | )% | |||||||||||||||
Total Agency RMBS profit (loss) | 371 | 0.01 | 0.06 | % | 1,920 | 0.06 | 0.29 | % | 2,291 | 0.06 | 0.36 | % | |||||||||||||||||||||
Total Credit and Agency RMBS profit (loss) | 9,816 | 0.29 | 1.52 | % | 20,120 | 0.61 | 3.09 | % | 29,936 | 0.89 | 4.64 | % | |||||||||||||||||||||
Other interest income (expense), net | 215 | 0.01 | 0.03 | % | 136 | — | 0.02 | % | 351 | 0.01 | 0.05 | % | |||||||||||||||||||||
Other expenses | (4,590 | ) | (0.14 | ) | (0.71 | )% | (4,526 | ) | (0.14 | ) | (0.70 | )% | (9,116 | ) | (0.28 | ) | (1.41 | )% | |||||||||||||||
Net increase in equity resulting from operations | $ | 5,441 | $ | 0.16 | 0.84 | % | $ | 15,730 | $ | 0.47 | 2.41 | % | $ | 21,171 | $ | 0.62 | 3.28 | % | |||||||||||||||
Less: Net increase in equity resulting from operations attributable to non-controlling interests | 377 | 452 | 829 | ||||||||||||||||||||||||||||||
Net increase in shareholders' equity resulting from operations(6) | $ | 5,064 | $ | 0.16 | 0.80 | % | $ | 15,278 | $ | 0.47 | 2.40 | % | $ | 20,342 | $ | 0.62 | 3.21 | % | |||||||||||||||
Weighted average shares and convertible units(3) outstanding | 32,799 | 32,930 | 32,864 | ||||||||||||||||||||||||||||||
Average equity (includes non-controlling interests)(4) | $ | 644,868 | $ | 649,113 | $ | 645,924 | |||||||||||||||||||||||||||
Weighted average shares and LTIP units outstanding(5) | 32,587 | 32,718 | 32,652 | ||||||||||||||||||||||||||||||
Average shareholders' equity (excludes non-controlling interests)(4) | $ | 630,182 | $ | 637,712 | $ | 633,618 |
(1) | Includes TBAs and U.S. Treasuries, if applicable. |
(2) | Includes equity and other relative value trading strategies and related hedges. |
(3) | Convertible units include Operating Partnership units attributable to non-controlling interests and LTIP units. |
(4) | Average equity and average shareholders' equity are calculated using month end values. |
(5) | Excludes Operating Partnership units attributable to non-controlling interests. |
(6) | Per share information is calculated using weighted average shares and LTIP units outstanding. Percentage of average equity is calculated using average shareholders' equity, which excludes non-controlling interests. |
June 30, 2017 | March 31, 2017 | ||||||||||||||||||||||||||||||||||||||
(In thousands) | Current Principal | Fair Value | Average Price(1) | Cost | Average Cost(1) | Current Principal | Fair Value | Average Price(1) | Cost | Average Cost(1) | |||||||||||||||||||||||||||||
Non-Agency RMBS and Residential Mortgage Loans | $ | 331,501 | $ | 262,767 | $ | 79.27 | $ | 252,519 | $ | 76.17 | $ | 304,065 | $ | 228,124 | $ | 75.02 | $ | 220,325 | $ | 72.46 | |||||||||||||||||||
Non-Agency CMBS and Commercial Mortgage Loans | 178,252 | 95,483 | 53.57 | 99,808 | 55.99 | 184,790 | 99,496 | 53.84 | 108,882 | 58.92 | |||||||||||||||||||||||||||||
ABS and Consumer Loans | 223,277 | 219,830 | 98.46 | 223,785 | 100.23 | 164,375 | 161,889 | 98.49 | 166,711 | 101.42 | |||||||||||||||||||||||||||||
Total Non-Agency MBS, Mortgage loans, and ABS and Consumer Loans(2) | 733,030 | 578,080 | 78.86 | 576,112 | 78.59 | 653,230 | 489,509 | 74.94 | 495,918 | 75.92 | |||||||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||||||||||||||
Floating | 9,610 | 9,991 | 103.97 | 10,108 | 105.19 | 10,579 | 10,999 | 103.97 | 11,093 | 104.86 | |||||||||||||||||||||||||||||
Fixed | 698,299 | 739,908 | 105.96 | 742,175 | 106.28 | 702,323 | 742,563 | 105.73 | 746,273 | 106.26 | |||||||||||||||||||||||||||||
Reverse Mortgages | 50,986 | 55,315 | 108.49 | 55,941 | 109.72 | 54,138 | 58,301 | 107.69 | 59,185 | 109.32 | |||||||||||||||||||||||||||||
Total Agency RMBS(3) | 758,895 | 805,214 | 106.10 | 808,224 | 106.50 | 767,040 | 811,863 | 105.84 | 816,551 | 106.45 | |||||||||||||||||||||||||||||
Total Non-Agency and Agency MBS, Mortgage loans, and ABS and Consumer Loans(2)(3) | 1,491,925 | 1,383,294 | 92.72 | 1,384,336 | 92.79 | 1,420,270 | 1,301,372 | 91.63 | 1,312,469 | 92.41 | |||||||||||||||||||||||||||||
Agency Interest Only RMBS | n/a | 28,783 | n/a | 29,184 | n/a | n/a | 29,425 | n/a | 29,671 | n/a | |||||||||||||||||||||||||||||
Non-Agency Interest Only and Principal Only MBS and Other(4)(5) | n/a | 23,129 | n/a | 20,018 | n/a | n/a | 26,819 | n/a | 24,788 | n/a | |||||||||||||||||||||||||||||
TBAs: | |||||||||||||||||||||||||||||||||||||||
Long | 172,950 | 179,874 | 104.00 | 180,243 | 104.22 | 243,982 | 253,146 | 103.76 | 252,101 | 103.33 | |||||||||||||||||||||||||||||
Short | (428,424 | ) | (450,055 | ) | 105.05 | (451,073 | ) | 105.29 | (502,617 | ) | (523,620 | ) | 104.18 | (521,631 | ) | 103.78 | |||||||||||||||||||||||
Net Short TBAs | (255,474 | ) | (270,181 | ) | 105.76 | (270,830 | ) | 106.01 | (258,635 | ) | (270,474 | ) | 104.58 | (269,530 | ) | 104.21 | |||||||||||||||||||||||
Long U.S. Treasury Securities | 22,122 | 22,165 | 100.20 | 22,060 | 99.72 | 36,529 | 36,488 | 99.89 | 36,455 | 99.80 | |||||||||||||||||||||||||||||
Short U.S. Treasury Securities | (106,045 | ) | (104,924 | ) | 98.94 | (104,922 | ) | 98.94 | (104,609 | ) | (101,820 | ) | 97.33 | (102,205 | ) | 97.70 | |||||||||||||||||||||||
Short European Sovereign Bonds | (65,980 | ) | (67,556 | ) | 102.39 | (66,666 | ) | 101.04 | (61,873 | ) | (63,260 | ) | 102.24 | (66,738 | ) | 107.86 | |||||||||||||||||||||||
Repurchase Agreements | 266,659 | 266,659 | 100.00 | 265,403 | 99.53 | 293,802 | 293,802 | 100.00 | 294,468 | 100.23 | |||||||||||||||||||||||||||||
Long Corporate Debt | 111,293 | 94,584 | 84.99 | 95,816 | 86.09 | 173,688 | 154,819 | 89.14 | 155,130 | 89.31 | |||||||||||||||||||||||||||||
Short Corporate Debt | (63,142 | ) | (61,267 | ) | 97.03 | (61,755 | ) | 97.80 | (91,367 | ) | (89,466 | ) | 97.92 | (89,598 | ) | 98.06 | |||||||||||||||||||||||
Non-Exchange Traded Preferred and Common Equity Investment in Mortgage-Related Entities | n/a | 20,000 | n/a | 20,000 | n/a | n/a | 23,099 | n/a | 22,185 | n/a | |||||||||||||||||||||||||||||
Non-controlling equity interest in limited liability companies(5) | n/a | 11,557 | n/a | 15,937 | n/a | n/a | 6,436 | n/a | 10,734 | n/a | |||||||||||||||||||||||||||||
Non-Exchange Traded Corporate Equity | n/a | 4,141 | n/a | 4,069 | n/a | n/a | 4,382 | n/a | 4,313 | n/a | |||||||||||||||||||||||||||||
Long Common Stock | n/a | 1,625 | n/a | 2,339 | n/a | n/a | 2,837 | n/a | 2,784 | n/a | |||||||||||||||||||||||||||||
Short Common Stock | n/a | (3,432 | ) | n/a | (3,563 | ) | n/a | n/a | (2,154 | ) | n/a | (2,223 | ) | n/a | |||||||||||||||||||||||||
Real Estate Owned | n/a | 24,977 | n/a | 25,462 | n/a | n/a | 25,390 | n/a | 25,475 | n/a | |||||||||||||||||||||||||||||
Total | $ | 1,373,554 | $ | 1,376,888 | $ | 1,377,695 | $ | 1,388,178 |
(1) | Represents the dollar amount, per $100 of current principal, of the price or cost for the security. |
(2) | Excludes non-Agency Interest Only and Principal Only MBS and Other (see footnote 4 below). |
(3) | Excludes Agency Interest Only RMBS. |
(4) | Other includes equity tranches of CLOs, non-Agency residual MBS, and similar positions. |
(5) | Conformed to current period presentation. |
June 30, 2017 | March 31, 2017 | |||||||||||||||
(In thousands) | Notional Value | Fair Value | Notional Value | Fair Value | ||||||||||||
Mortgage-Related Derivatives: | ||||||||||||||||
Long CDS on RMBS and CMBS Indices | $ | 11,198 | $ | (1,760 | ) | $ | 14,971 | $ | (2,244 | ) | ||||||
Short CDS on RMBS and CMBS Indices | (48,350 | ) | 7,416 | (79,502 | ) | 10,642 | ||||||||||
Short CDS on Individual RMBS | (9,641 | ) | 4,900 | (10,005 | ) | 5,610 | ||||||||||
Net Mortgage-Related Derivatives | (46,793 | ) | 10,556 | (74,536 | ) | 14,008 | ||||||||||
Long CDS referencing Corporate Bond Indices | 13,973 | 880 | 11,909 | 832 | ||||||||||||
Short CDS referencing Corporate Bond Indices | (223,178 | ) | (7,361 | ) | (62,821 | ) | (2,911 | ) | ||||||||
Long CDS on Corporate Bonds | 94,620 | (5,119 | ) | 108,028 | 269 | |||||||||||
Short CDS on Corporate Bonds | (154,232 | ) | (259 | ) | (146,391 | ) | (6,330 | ) | ||||||||
Short Total Return Swaps on Corporate Equities(2) | (24,986 | ) | (1 | ) | (21,683 | ) | (11 | ) | ||||||||
Interest Rate Derivatives: | ||||||||||||||||
Long Interest Rate Swaps | 364,843 | (1,206 | ) | 365,806 | (2,378 | ) | ||||||||||
Short Interest Rate Swaps | (839,288 | ) | 3,404 | (879,314 | ) | 5,605 | ||||||||||
Long Eurodollar Futures(4) | — | — | 11,000 | (11 | ) | |||||||||||
Short Eurodollar Futures(4) | (42,000 | ) | (47 | ) | (42,000 | ) | (39 | ) | ||||||||
Short U.S. Treasury Note Futures(3) | (6,800 | ) | 44 | (6,800 | ) | (7 | ) | |||||||||
Interest Rate Caps | 113,453 | 2 | 61,908 | 1 | ||||||||||||
Purchased Equity Call Options(5) | 16 | 23 | 23 | 28 | ||||||||||||
Purchased Equity Put Options(5) | 5 | 2 | 5 | 38 | ||||||||||||
Total Net Interest Rate Derivatives | 2,222 | 3,237 | ||||||||||||||
Other Derivatives: | ||||||||||||||||
Short Foreign Currency Forwards(6) | (73,747 | ) | (1,319 | ) | (63,223 | ) | (125 | ) | ||||||||
Total Net Derivatives | $ | (401 | ) | $ | 8,969 |
(1) | In the table above, fair value of certain derivative transactions are shown on a net basis. The accompanying financial statements separate derivative transactions as either assets or liabilities. As of June 30, 2017, derivative assets and derivative liabilities were $26.6 million and $27.0 million, respectively, for a net fair value of $(0.4) million, as reflected in "Total Net Derivatives" above. As of March 31, 2017, derivative assets and derivative liabilities were $29.9 million and $20.9 million, respectively, for a net fair value of $9.0 million, as reflected in "Total Net Derivatives" above. |
(2) | Notional value represents number of underlying shares times the closing price of the underlying security. |
(3) | Notional value represents the total face amount of U.S. Treasury securities underlying all contracts held. As of both June 30, 2017 and March 31, 2017 a total of 68 short U.S. Treasury note futures contracts were held. |
(4) | Every $1,000,000 in notional value represents one Eurodollar future contract. |
(5) | Notional value represents the number of common shares we have the option to purchase multiplied by the strike price. |
(6) | Notional value represents U.S. Dollars to be received by us at the maturity of the forward contract. |
Estimated Change in Value (1) | ||||||||||||||
(In thousands) | 50 Basis Point Decline in Interest Rates | 50 Basis Point Increase in Interest Rates | ||||||||||||
Market Value | % of Total Equity | Market Value | % of Total Equity | |||||||||||
Agency RMBS - ARM Pools | $ | 63 | 0.01 | % | $ | (74 | ) | (0.01 | )% | |||||
Agency RMBS - Fixed Pools and IOs | 11,745 | 1.84 | % | (16,064 | ) | (2.53 | )% | |||||||
TBAs | (3,653 | ) | (0.57 | )% | 5,627 | 0.88 | % | |||||||
Non-Agency RMBS, CMBS, Other ABS, and Mortgage Loans | 3,405 | 0.53 | % | (3,171 | ) | (0.50 | )% | |||||||
Interest Rate Swaps | (6,731 | ) | (1.06 | )% | 6,476 | 1.02 | % | |||||||
U.S. Treasury Securities | (3,377 | ) | (0.53 | )% | 3,225 | 0.51 | % | |||||||
Eurodollar and U.S. Treasury Futures | (316 | ) | (0.05 | )% | 307 | 0.05 | % | |||||||
Mortgage-Related Derivatives | 52 | 0.01 | % | (52 | ) | (0.01 | )% | |||||||
Corporate Securities and Derivatives on Corporate Securities | 4 | — | % | 38 | 0.01 | % | ||||||||
Repurchase Agreements and Reverse Repurchase Agreements | (668 | ) | (0.10 | )% | 652 | 0.10 | % | |||||||
$ | 524 | 0.08 | % | $ | (3,036 | ) | (0.48 | )% |
(1) | Based on the market environment as of June 30, 2017. The preceding analysis does not include sensitivities to changes in interest rates for instruments for which we believe that the effect of a change in interest rates is not material to the value of the overall portfolio and/or cannot be accurately estimated. In particular, this analysis excludes certain corporate securities and derivatives on corporate securities, and reflects only sensitivity to U.S. interest rates. Results are based on forward-looking models, which are inherently imperfect, and incorporate various simplifying assumptions. Therefore, the table above is for illustrative purposes only and actual changes in interest rates would likely cause changes in the actual value of our overall portfolio that would differ from those presented above and such differences might be significant and adverse. |
As of June 30, 2017 | For the Quarter Ended June 30, 2017 | As of March 31, 2017 | For the Quarter Ended March 31, 2017 | |||||||||||||||||||
Collateral for Borrowing | Outstanding Borrowings | Average Borrowings | Average Cost of Funds | Outstanding Borrowings | Average Borrowings | Average Cost of Funds | ||||||||||||||||
(In thousands) | ||||||||||||||||||||||
Credit(2) | $ | 301,362 | $ | 274,958 | 3.87 | % | $ | 213,191 | $ | 237,942 | 3.44 | % | ||||||||||
Agency RMBS | 791,083 | 807,615 | 1.11 | % | 793,020 | 792,810 | 0.95 | % | ||||||||||||||
Subtotal(2) | 1,092,445 | 1,082,573 | 1.81 | % | 1,006,211 | 1,030,752 | 1.53 | % | ||||||||||||||
Corporate Credit Relative Value Trading Strategy | 87,799 | 66,829 | 1.56 | % | 105,370 | 54,427 | 1.32 | % | ||||||||||||||
U.S. Treasury Securities | 27,094 | 48,923 | 0.92 | % | 36,492 | 37,848 | 0.58 | % | ||||||||||||||
Total | $ | 1,207,338 | $ | 1,198,325 | 1.76 | % | $ | 1,148,073 | $ | 1,123,027 | 1.48 | % | ||||||||||
Leverage Ratio (1) | 1.90:1 | 1.75:1 | ||||||||||||||||||||
Modified Leverage Ratio (1)(2) | 1.72:1 | 1.54:1 |
(1) | The leverage ratio does not account for liabilities other than reverse repurchase agreements ("reverse repos") and other secured borrowings. |
(2) | Excludes U.S. Treasury Securities and investments in our corporate credit relative value trading strategy. |
(In thousands) | As of June 30, 2017 | As of March 31, 2017 | ||||||||||||
Remaining Maturity (2) | Outstanding Borrowings | % of Borrowings | Outstanding Borrowings | % of Borrowings | ||||||||||
30 Days or Less | $ | 311,846 | 27.9 | % | $ | 503,493 | 46.3 | % | ||||||
31-60 Days | 332,008 | 29.7 | % | 187,720 | 17.3 | % | ||||||||
61-90 Days | 232,897 | 20.8 | % | 196,116 | 18.0 | % | ||||||||
91-120 Days | 122,071 | 10.9 | % | 2,987 | 0.3 | % | ||||||||
121-150 Days | 6,709 | 0.6 | % | 83,680 | 7.7 | % | ||||||||
151-180 Days | 10,365 | 0.9 | % | 34,536 | 3.2 | % | ||||||||
181-360 Days | 103,342 | 9.2 | % | 77,739 | 7.2 | % | ||||||||
$ | 1,119,238 | 100.0 | % | $ | 1,086,271 | 100.0 | % |
(1) | Reverse repos involving underlying investments that we had sold prior to the applicable period end for settlement following the applicable period end, are shown using their original maturity dates even though such reverse repos may be expected to be terminated early upon settlement of the sale of the underlying investment. Not included are any reverse repos that we may have entered into prior to the applicable period end for which delivery of the borrowed funds is not scheduled until after the applicable period end. |
(2) | Remaining maturity for a reverse repo is based on the contractual maturity date in effect as of the applicable period end. Some reverse repos have floating interest rates, which may reset before maturity. |
Three Month Period Ended | Six Month Period Ended | |||||||||||
(In thousands, except per share amounts) | June 30, 2017 | March 31, 2017 | June 30, 2017 | |||||||||
Investment income | ||||||||||||
Interest income | $ | 21,788 | $ | 22,886 | $ | 44,674 | ||||||
Other income | 872 | 939 | 1,811 | |||||||||
Total investment income | 22,660 | 23,825 | 46,485 | |||||||||
Expenses | ||||||||||||
Base management fee | 2,372 | 2,410 | 4,782 | |||||||||
Interest expense | 7,625 | 6,003 | 13,628 | |||||||||
Other investment related expenses | 2,058 | 1,521 | 3,579 | |||||||||
Other operating expenses | 2,173 | 2,116 | 4,289 | |||||||||
Total expenses | 14,228 | 12,050 | 26,278 | |||||||||
Net investment income | 8,432 | 11,775 | 20,207 | |||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 691 | 594 | 1,285 | |||||||||
Financial derivatives, excluding currency forwards | (4,046 | ) | (1,581 | ) | (5,627 | ) | ||||||
Financial derivatives—currency forwards | (2,523 | ) | (822 | ) | (3,345 | ) | ||||||
Foreign currency transactions | 531 | 978 | 1,509 | |||||||||
(5,347 | ) | (831 | ) | (6,178 | ) | |||||||
Change in net unrealized gain (loss) on: | ||||||||||||
Investments | 2,829 | 5,758 | 8,587 | |||||||||
Financial derivatives, excluding currency forwards | (2,619 | ) | (1,157 | ) | (3,776 | ) | ||||||
Financial derivatives—currency forwards | (1,194 | ) | 330 | (864 | ) | |||||||
Foreign currency translation | 3,340 | (145 | ) | 3,195 | ||||||||
2,356 | 4,786 | 7,142 | ||||||||||
Net realized and change in net unrealized gain (loss) on investments and financial derivatives | (2,991 | ) | 3,955 | 964 | ||||||||
Net increase in equity resulting from operations | 5,441 | 15,730 | 21,171 | |||||||||
Less: Increase in equity resulting from operations attributable to non-controlling interests | 377 | 452 | 829 | |||||||||
Net increase in shareholders' equity resulting from operations | $ | 5,064 | $ | 15,278 | $ | 20,342 | ||||||
Net increase in shareholders' equity resulting from operations per share: | ||||||||||||
Basic and diluted | $ | 0.16 | $ | 0.47 | $ | 0.62 | ||||||
Weighted average shares and LTIP units outstanding | 32,587 | 32,718 | 32,652 | |||||||||
Weighted average shares and convertible units outstanding | 32,799 | 32,930 | 32,864 |
As of | ||||||||||||
(In thousands, except share amounts) | June 30, 2017 | March 31, 2017 | December 31, 2016(1) | |||||||||
ASSETS | ||||||||||||
Cash and cash equivalents | $ | 134,515 | $ | 104,219 | $ | 123,274 | ||||||
Restricted cash | 425 | 655 | 655 | |||||||||
Investments, financial derivatives, and repurchase agreements: | ||||||||||||
Investments, at fair value (Cost – $1,799,464, $1,876,105, and $1,525,710) | 1,794,129 | 1,864,213 | 1,505,026 | |||||||||
Financial derivatives–assets, at fair value (Net cost – $36,162, $37,658, and $40,724) | 26,602 | 29,907 | 35,595 | |||||||||
Repurchase agreements (Cost – $265,403, $294,468, and $185,205) | 266,659 | 293,802 | 184,819 | |||||||||
Total Investments, financial derivatives, and repurchase agreements | 2,087,390 | 2,187,922 | 1,725,440 | |||||||||
Due from brokers | 62,934 | 57,873 | 93,651 | |||||||||
Receivable for securities sold and financial derivatives | 484,124 | 550,241 | 445,112 | |||||||||
Interest and principal receivable | 21,157 | 25,071 | 21,704 | |||||||||
Other assets | 6,881 | 5,264 | 3,359 | |||||||||
Total assets | $ | 2,797,426 | $ | 2,931,245 | $ | 2,413,195 | ||||||
LIABILITIES | ||||||||||||
Investments and financial derivatives: | ||||||||||||
Investments sold short, at fair value (Proceeds – $687,979, $782,395, and $589,429) | $ | 687,234 | $ | 780,320 | $ | 584,896 | ||||||
Financial derivatives–liabilities, at fair value (Net proceeds – $19,994, $16,024, and $12,012) | 27,003 | 20,938 | 18,687 | |||||||||
Total investments and financial derivatives | 714,237 | 801,258 | 603,583 | |||||||||
Reverse repurchase agreements | 1,119,238 | 1,086,271 | 1,033,581 | |||||||||
Due to brokers | 3,898 | 5,512 | 12,780 | |||||||||
Payable for securities purchased and financial derivatives | 224,529 | 310,535 | 85,168 | |||||||||
Other secured borrowings (Proceeds – $88,100, $61,802, and $24,086) | 88,100 | 61,802 | 24,086 | |||||||||
Accounts payable and accrued expenses | 3,996 | 3,729 | 3,327 | |||||||||
Base management fee payable | 2,371 | 2,410 | 2,416 | |||||||||
Interest and dividends payable | 3,977 | 4,137 | 3,460 | |||||||||
Other liabilities | 119 | 1,136 | 17 | |||||||||
Total liabilities | 2,160,465 | 2,276,790 | 1,768,418 | |||||||||
EQUITY | 636,961 | 654,455 | 644,777 | |||||||||
TOTAL LIABILITIES AND EQUITY | $ | 2,797,426 | $ | 2,931,245 | $ | 2,413,195 | ||||||
ANALYSIS OF EQUITY: | ||||||||||||
Common shares, no par value, 100,000,000 shares authorized; | ||||||||||||
(32,112,697, 32,164,215, and 32,294,703, shares issued and outstanding) | $ | 615,702 | $ | 626,116 | $ | 627,620 | ||||||
Additional paid-in capital–LTIP units | 10,229 | 10,135 | 10,041 | |||||||||
Total Shareholders' Equity | 625,931 | 636,251 | 637,661 | |||||||||
Non-controlling interests | 11,030 | 18,204 | 7,116 | |||||||||
Total Equity | $ | 636,961 | $ | 654,455 | $ | 644,777 | ||||||
PER SHARE INFORMATION: | ||||||||||||
Common shares, no par value | $ | 19.49 | $ | 19.78 | $ | 19.75 | ||||||
DILUTED PER SHARE INFORMATION: | ||||||||||||
Common shares and convertible units, no par value (2) | $ | 19.21 | $ | 19.50 | $ | 19.46 |
(1) | Derived from audited financial statements as of December 31, 2016. |
(2) | Based on total equity excluding non-controlling interests not represented by instruments convertible into common shares. |