OLD GREENWICH, Conn.,
Feb. 10, 2016 /PRNewswire/
-- Ellington Residential Mortgage REIT (NYSE: EARN) today
reported financial results for the quarter ended December 31,
2015.
Summary of Financial Results
- Net income for the quarter was $1.0
million, or $0.11 per share,
as compared to net loss of $(4.8)
million, or $(0.53) per share,
in the third quarter of 2015.
- Core Earnings1 for the quarter was $4.5 million, or $0.49 per share, as compared to $6.3 million, or $0.69 per share, in the third quarter of 2015.
Excluding "Catch-up Premium Amortization Adjustments," Core
Earnings for the fourth quarter was $5.6
million or $0.61 per share, as
compared to $5.4 million or
$0.59 per share in the third
quarter.
- Book value decreased to $15.86
per share as of December 31, 2015 from $16.20 per share as of September 30, 2015,
after giving effect to a fourth quarter dividend of $0.45 per share.
- Net interest margin was 1.67%, as compared to 2.19% for the
third quarter of 2015. Excluding Catch-up Premium Amortization
Adjustments, net interest margin was 2.01% for the fourth quarter
of 2015 as compared to 1.93% for the third quarter of 2015.
- Weighted average prepayment speed for the Agency RMBS portfolio
was 7.5% CPR for the quarter, as compared to 7.1% in the third
quarter of 2015.
- Dividend yield of 16.5% based on February 9, 2016 closing stock price of
$10.89.
- Debt-to-equity ratio was 8.4:1 as of December 31, 2015, as
compared to 8.3:1 as of September 30, 2015. Adjusted for
unsettled purchases and sales, the debt-to-equity ratio was 8.1:1
as of December 31, 2015 and
September 30, 2015.
Fourth Quarter 2015 Results
"In the fourth quarter,
despite a weak Agency RMBS market and a flattening yield curve,
EARN generated positive net income of $1.0
million or $0.11 per share.
Our hedges partially offset the impact of the decline in asset
prices, but their impact was muted somewhat as interest rate swap
spreads relative to U.S. Treasury securities became even more
negative during the fourth quarter. Excluding the impact of
Catch-up Premium Amortization Adjustments, our Core Earnings
increased to $0.61 per share in the
fourth quarter from $0.59 per share
in the third quarter," said Laurence
Penn, Chief Executive Officer and President.
"We believe that given recent significant weakness in the credit
markets, it may soon be appropriate to increase our allocation to
non-Agency RMBS. Meanwhile, we believe that Agency RMBS are
currently trading at highly attractive levels, and that our
specified pool portfolio is positioned to perform well whether
interest rates rise or fall. While 2015 was a difficult year, given
the highly liquid nature of our portfolio with only a very modest
current allocation to credit-sensitive securities, we believe that
we are entering an extremely favorable investment environment for
the Company. As always, we expect to continue to actively trade the
portfolio to enhance its composition. During the fourth quarter, we
turned over 40% of our Agency RMBS portfolio. Notwithstanding the
increase in the cost of repo funding as a result of higher
short-term interest rates, and the recent developments impacting
the ability of certain mortgage REITs to access Federal Home Loan
Bank financing for their Agency RMBS, we continue to see ample
appetite from lenders to provide repo financing. We have
repurchased shares in light of the discount in our stock price
relative to our book value, although we are doing so on a measured
basis."
As of December 31, 2015, our mortgage-backed securities
portfolio consisted of $1.091 billion
of fixed rate Agency "specified pools," $38.5 million of Agency RMBS backed by adjustable
rate mortgages, or "Agency ARMs," $73.7
million of Agency reverse mortgage pools, $7.8 million of Agency interest only securities,
or "Agency IOs," and $31.4 million of
non-Agency RMBS. Specified pools are fixed rate Agency pools with
special characteristics, such as pools comprised of low loan
balance mortgages, pools comprised of mortgages backed by investor
properties, pools containing mortgages originated through the
government-sponsored "Making Homes Affordable" refinancing
programs, and pools containing mortgages with various other
characteristics. During the quarter, we modestly decreased our
holdings of fixed rate pass throughs and we slightly increased our
holdings of reverse mortgage pools. Overall, the size of our RMBS
portfolio declined to $1.242 billion
as of December 31, 2015 from
$1.281 billion as of September 30, 2015. In addition, separate and
apart from the short TBA portfolio that we hold for hedging
purposes, we held $83.7 million in
notional amount of long TBA positions for investment purposes at
December 31, 2015, as compared to
$81.5 million at September 30, 2015. For financial reporting
purposes, TBAs are considered derivative instruments.
1 Core Earnings is a non-GAAP financial measure. See
"Reconciliation of Core Earnings to Net Income (Loss)" below for an
explanation regarding the calculation of Core Earnings.
During the fourth quarter, fixed-income markets continued to be
impacted by concerns over the health of the Chinese economy and the
decline in commodity prices. In December, for the first time since
June 2006, the Federal Reserve raised
its target interest rate by 0.25%. While this increase was both
modest in size and widely expected, the actual implementation was
significant in that it made official the Federal Reserve's view
that the U.S. economy was on solid footing, and represented a
reversal in course from previous monetary easing policy actions.
The increase in the target interest rate put upward pressure on
interest rates, especially shorter term rates, during the fourth
quarter. While there was also upward pressure on longer term
interest rates, this upward pressure was somewhat muted by global
market concerns and the increase in demand for safe haven
securities. The 10-year U.S. Treasury yield ended the fourth
quarter at 2.27% as compared to 2.04% at the end of the third
quarter, an increase of 23 basis points, and the 2-year U.S.
Treasury yield increased 42 basis points, from 0.63% to 1.05% over
the course of the quarter. During the fourth quarter the 2-year
swap rate increased 43 basis points while the 10-year swap rate
increased only 18 basis points. The average rate for a fixed rate
30-year conventional mortgage also increased over the course of the
fourth quarter, rising to 4.01% as of December 31, 2015 from 3.86% as of September 30, 2015.
During the fourth quarter, yield spreads on Agency RMBS
continued to widen relative to interest rate swaps. In addition,
the 10-year interest rate swap spread to U.S. Treasury securities
became even more negative during the fourth quarter than it had
been in the third quarter, when this spread had become negative for
the first time since 2010. These swap spread movements exacerbated
the widening in yield spreads between Agency RMBS and interest rate
swaps, and negatively impacted our results for the quarter.
Specifically, for the quarter ended December
31, 2015, we had total net realized and unrealized losses of
$(11.0) million, or $(1.21) per share, on our aggregate Agency RMBS
portfolio, while we had total net realized and unrealized gains of
$5.1 million, or $0.56 per share, on our interest rate hedging
portfolio. Pay-ups on specified pools also declined during the
quarter as interest rates rose and prepayments declined, and as the
dealer community became increasingly reluctant to hold inventory
into the end of the year. Over the course of the quarter, pay-ups
on our specified pools decreased to 0.73% as of December 31, 2015 from 0.99% as of September 30, 2015. Pay-ups are price premiums
for specified pools relative to their TBA counterparts.
During the fourth quarter, we continued to use short positions
in TBAs to hedge interest rate risk, and these positions generated
net gains. However, TBAs generally outperformed specified pools
during the quarter, and as a result, the net gains from our short
TBAs were outweighed by the net unrealized losses on our specified
pools. We actively traded our Agency RMBS portfolio during the
fourth quarter in order to take advantage of volatility and to
harvest modest gains. Our portfolio turnover for the quarter was
40% (as measured by sales and excluding paydowns), and we captured
net realized gains of $1.2 million,
excluding hedges and U.S. Treasury securities.
During the fourth quarter, we continued to focus our Agency RMBS
purchasing activity primarily on specified pools, especially those
with higher coupons. As of December 31,
2015, the weighted average coupon on our fixed rate
specified pools was 4.00%, up slightly from 3.97% as of
September 30, 2015. During the fourth
quarter, yield spreads on reverse mortgage pools continued to
widen, both in sympathy with the broader RMBS markets and as a
result of recent increases in reverse mortgage pool prepayment
speeds. In response to this yield spread widening, we added to our
reverse mortgage pool holdings. Our Agency RMBS portfolio also
continues to include a small allocation to Agency ARMs and Agency
IOs. We believe that there remains a heightened risk of substantial
interest rate and prepayment volatility in the near term, thus
reinforcing the importance of our ability to hedge our Agency RMBS
portfolio using a variety of tools, including TBAs.
We expect to continue to target specified pools that, taking
into account their particular composition and based on our
prepayment projections: (1) should generate attractive yields
relative to other Agency RMBS and U.S. Treasury securities,
(2) should have less prepayment sensitivity to government
policy shocks, and/or (3) should create opportunities for
trading gains once the market recognizes their value, which for
newer pools may come only after several months, when actual
prepayment experience can be observed. We believe that our research
team, proprietary prepayment models, and extensive databases remain
essential tools in our implementation of this strategy.
Our net Agency premium as a percentage of our long Agency RMBS
holdings is one metric that we use to measure our overall
prepayment risk. Net Agency premium represents the total premium
(excess of market value over outstanding principal balance) on long
Agency RMBS holdings less the total premium on related net short
TBA positions. The lower our net Agency premium, the less we
believe we are exposed to market-wide increases in Agency RMBS
prepayments. As of December 31, 2015, our net Agency premium
as a percentage of fair value on long Agency RMBS holdings was
approximately 4.1% as compared to 4.8%, as of September 30,
2015. Excluding TBA positions used to hedge our long Agency RMBS
portfolio, our Agency premium as a percentage of fair value was
approximately 6.2% and 7.0% as of December 31, 2015 and
September 30, 2015, respectively. These percentages may
fluctuate from period to period based on market factors, including
interest rates and mortgage rates, as well as with respect to the
net percentages, the degree to which we hedge prepayment risk with
short TBAs. We believe that our focus on purchasing pools with
specific prepayment characteristics provides a measure of
protection against prepayments.
In the aftermath of the significant fourth quarter yield spread
widening, and with prepayments remaining relatively muted despite
continued low levels of mortgage rates, we believe that Agency RMBS
currently offer very attractive net interest margins and overall
relative value.
Yield spreads on non-Agency RMBS were generally not immune to
the fourth quarter broad market widening, although as in the third
quarter this sector was somewhat less impacted than other credit
sectors. A stable housing market continues to support the
non-Agency RMBS sector. During the quarter, our non-Agency RMBS
generated a positive return and in light of more attractive
opportunities in the market, we slightly increased our portfolio.
As of December 31, 2015, our
investment in non-Agency RMBS was $31.4
million as compared to $28.9
million as of September 30,
2015.
For the quarter ended December 31, 2015, the weighted
average yield of our portfolio of Agency and non-Agency RMBS was
2.84%, while our average cost of funds including interest rate
swaps and U.S. Treasuries was 1.17%, resulting in a net interest
margin for the quarter of 1.67%. In comparison, for the quarter
ended September 30, 2015, the annualized weighted average
yield of our Agency and non-Agency RMBS was 3.40%, while the
average cost of funds including interest rate swaps and U.S.
Treasuries was 1.21%, resulting in a net interest margin of 2.19%.
Our interest income is subject to fluctuations based on adjustments
to premium amortization as a result of changes in prepayments of
our Agency RMBS (accompanied by a corresponding offsetting
adjustment to realized and unrealized gains and losses). We refer
to this adjustment as a "Catch-up Premium Amortization Adjustment."
The amount of this adjustment can vary significantly from quarter
to quarter. During the fourth quarter, we had a negative Catch-up
Premium Amortization Adjustment in the amount of $1.1 million, which decreased our net interest
income. Excluding the Catch-up Premium Amortization Adjustment, our
weighted average yield on our portfolio was 3.18% and our net
interest margin was 2.01%. During the quarter ended September 30, 2015, the Catch-up Premium
Amortization Adjustment increased interest income by approximately
$0.9 million. Excluding this Catch-up
Premium Amortization Adjustment, the weighted average yield on our
portfolio for the quarter ended September
30, 2015 would have been 3.14% and our net interest margin
would have been 1.93%.
While on a quarter-over-quarter basis our annualized cost of
funds decreased to 1.17% from 1.21%, our cost of repo funding
increased and our cost of hedging with interest rate swaps and
short positions in U.S. Treasury securities decreased. As mentioned
above, market participants had widely anticipated that the Federal
Reserve would raise its target interest rate at the December
meeting, which, in fact, did occur. This put upward pressure on
repo funding costs. Leading up to year end, we shortened the
average term of our repo borrowings, but following year end we have
generally sought to lengthen the term of our repo borrowings. In
light of the FHFA's decision to proceed with its ban of captive
insurance company memberships in the Federal Home Loan Bank System,
or "FHLB," the need for current member companies to find
alternative financing could put additional upward pressure on repo
rates for Agency RMBS over the next several months. However, we
believe the impact of this development should be mitigated by the
abundance of Agency RMBS repo lenders currently active in the
market. Over the course of the fourth quarter, our interest rate
swaps decreased in notional size as well as in weighted average
years remaining to maturity, thereby leading to a decline in this
component of our cost of funds. This was generally consistent with
the fact that we held a slightly smaller portfolio of Agency RMBS
in the fourth quarter as compared to that of the third quarter.
After giving effect to a fourth quarter dividend of $0.45 per share, our book value per share was
$15.86 as of December 31, 2015,
a 2.1% decrease from our book value per share as of
September 30, 2015 of $16.20.
Our economic return on book value for the fourth quarter was 0.7%.
Economic return on book value is computed by adding back dividends
to ending book value per share, and comparing that amount to book
value per share as of the beginning of the quarter.
For the quarter ended December 31, 2015, Core Earnings was
$4.5 million, or $0.49 per share, and for the quarter ended
September 30, 2015, Core Earnings was
$6.3 million, or $0.69 per share. Core Earnings is a non-GAAP
financial measure. The decrease in our Core Earnings quarter over
quarter was primarily related to a decrease in our net interest
income, which was principally related to a Catch-up Premium
Amortization Adjustment related to an increase in prepayments in
our Agency pools. See "Reconciliation of Core Earnings to Net
Income (Loss)" below for an explanation regarding the calculation
of Core Earnings, and Core Earnings excluding Catch-up Premium
Amortization Adjustments.
Securities Portfolio
The following table summarizes
our portfolio of securities as of December 31, 2015 and
September 30, 2015:
|
December 31,
2015
|
|
September 30,
2015
|
(In
thousands)
|
Current
Principal
|
|
Fair
Value
|
|
Average
Price(1)
|
|
Cost
|
|
Average
Cost(1)
|
|
Current
Principal
|
|
Fair
Value
|
|
Average
Price(1)
|
|
Cost
|
|
Average
Cost(1)
|
Agency
RMBS(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15-year fixed rate
mortgages
|
$
|
162,546
|
|
|
$
|
170,261
|
|
|
$
|
104.75
|
|
|
$
|
170,385
|
|
|
$
|
104.82
|
|
|
$
|
162,453
|
|
|
$
|
171,824
|
|
|
$
|
105.77
|
|
|
$
|
170,327
|
|
|
$
|
104.85
|
|
20-year fixed rate
mortgages
|
18,477
|
|
|
19,830
|
|
|
107.32
|
|
|
19,754
|
|
|
106.91
|
|
|
9,094
|
|
|
9,837
|
|
|
108.17
|
|
|
9,602
|
|
|
105.59
|
|
30-year fixed rate
mortgages
|
842,524
|
|
|
900,794
|
|
|
106.92
|
|
|
896,356
|
|
|
106.39
|
|
|
894,774
|
|
|
964,391
|
|
|
107.78
|
|
|
950,696
|
|
|
106.25
|
|
ARMs
|
36,433
|
|
|
38,530
|
|
|
105.76
|
|
|
38,629
|
|
|
106.03
|
|
|
36,782
|
|
|
39,130
|
|
|
106.38
|
|
|
39,197
|
|
|
106.57
|
|
Reverse
mortgages
|
68,690
|
|
|
73,692
|
|
|
107.28
|
|
|
75,205
|
|
|
109.48
|
|
|
53,986
|
|
|
59,541
|
|
|
110.29
|
|
|
59,683
|
|
|
110.55
|
|
Total Agency
RMBS
|
1,128,670
|
|
|
1,203,107
|
|
|
106.60
|
|
|
1,200,329
|
|
|
106.35
|
|
|
1,157,089
|
|
|
1,244,723
|
|
|
107.57
|
|
|
1,229,505
|
|
|
106.26
|
|
Non-Agency
RMBS
|
48,408
|
|
|
31,401
|
|
|
64.87
|
|
|
30,395
|
|
|
62.79
|
|
|
42,978
|
|
|
28,895
|
|
|
67.23
|
|
|
27,791
|
|
|
64.66
|
|
Total
RMBS(2)
|
1,177,078
|
|
|
1,234,508
|
|
|
104.88
|
|
|
1,230,724
|
|
|
104.56
|
|
|
1,200,067
|
|
|
1,273,618
|
|
|
106.13
|
|
|
1,257,296
|
|
|
104.77
|
|
Agency IOs
|
n/a
|
|
|
7,758
|
|
|
n/a
|
|
|
8,491
|
|
|
n/a
|
|
n/a
|
|
7,274
|
|
|
n/a
|
|
|
8,229
|
|
|
n/a
|
|
Total mortgage-backed
securities
|
|
|
1,242,266
|
|
|
|
|
1,239,215
|
|
|
|
|
|
|
1,280,892
|
|
|
|
|
1,265,525
|
|
|
|
U.S. Treasury
securities sold short
|
(79,550)
|
|
|
(78,447)
|
|
|
98.61
|
|
|
(79,003)
|
|
|
99.31
|
|
|
(70,020)
|
|
|
(70,671)
|
|
|
100.93
|
|
|
(70,142)
|
|
|
100.17
|
|
Reverse repurchase
agreements
|
78,632
|
|
|
78,632
|
|
|
100.00
|
|
|
78,632
|
|
|
100.00
|
|
|
76,610
|
|
|
76,610
|
|
|
100.00
|
|
|
76,610
|
|
|
100.00
|
|
Total
|
|
|
$
|
1,242,451
|
|
|
|
|
$
|
1,238,844
|
|
|
|
|
|
|
$
|
1,286,831
|
|
|
|
|
$
|
1,271,993
|
|
|
|
(1)
|
Represents the dollar
amount (not shown in thousands) per $100 of current principal of
the price or cost for the security.
|
(2)
|
Excludes Agency
IOs.
|
Our weighted average holdings of RMBS based on amortized cost
was $1.307 billion and $1.330 billion for the three month periods ended
December 31, 2015 and September 30, 2015,
respectively.
Financial Derivatives Portfolio
The following table
summarizes fair value of our financial derivatives as of
December 31, 2015 and September 30, 2015:
|
|
December 31,
2015
|
|
September 30,
2015
|
Financial
derivativesāassets, at fair value:
|
|
(In
thousands)
|
TBA securities
purchase contracts
|
|
$
|
115
|
|
|
$
|
558
|
|
TBA securities sale
contracts
|
|
302
|
|
|
17
|
|
Fixed payer interest
rate swaps
|
|
891
|
|
|
5
|
|
Fixed receiver
interest rate swaps
|
|
857
|
|
|
947
|
|
Futures
|
|
18
|
|
|
ā
|
|
Total financial
derivativesāassets, at fair value:
|
|
2,183
|
|
|
1,527
|
|
Financial
derivativesāliabilities, at fair value:
|
|
|
|
|
TBA securities
purchase contracts
|
|
(49)
|
|
|
(1)
|
|
TBA securities sale
contracts
|
|
(315)
|
|
|
(1,158)
|
|
Fixed payer interest
rate swaps
|
|
(4,361)
|
|
|
(15,255)
|
|
Total financial
derivativesāliabilities, at fair value:
|
|
(4,725)
|
|
|
(16,414)
|
|
Total
|
|
$
|
(2,542)
|
|
|
$
|
(14,887)
|
|
Interest Rate Swaps
The following tables provide
details about our fixed payer interest rate swaps as of
December 31, 2015 and September 30, 2015:
|
|
December 31,
2015
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay
Rate
|
|
Weighted
Average
Receive Rate
|
|
Weighted
Average
Remaining Years
to Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
48,000
|
|
|
$
|
(83)
|
|
|
0.80
|
%
|
|
0.39
|
%
|
|
0.77
|
2017
|
|
74,750
|
|
|
(445)
|
|
|
1.21
|
|
|
0.41
|
|
|
1.59
|
2018
|
|
71,529
|
|
|
80
|
|
|
1.11
|
|
|
0.34
|
|
|
2.28
|
2020
|
|
119,893
|
|
|
220
|
|
|
1.51
|
|
|
0.33
|
|
|
4.36
|
2022
|
|
19,444
|
|
|
86
|
|
|
1.76
|
|
|
0.34
|
|
|
6.51
|
2023
|
|
131,400
|
|
|
(1,367)
|
|
|
2.10
|
|
|
0.38
|
|
|
7.39
|
2024
|
|
9,200
|
|
|
11
|
|
|
1.99
|
|
|
0.32
|
|
|
8.26
|
2025
|
|
58,560
|
|
|
(5)
|
|
|
2.06
|
|
|
0.33
|
|
|
9.32
|
2043
|
|
21,067
|
|
|
(1,967)
|
|
|
3.03
|
|
|
0.36
|
|
|
27.39
|
Total
|
|
$
|
553,843
|
|
|
$
|
(3,470)
|
|
|
1.63
|
%
|
|
0.36
|
%
|
|
5.67
|
|
|
September 30,
2015
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay
Rate
|
|
Weighted
Average
Receive Rate
|
|
Weighted
Average
Remaining Years
to Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
48,000
|
|
|
$
|
(214)
|
|
|
0.80
|
%
|
|
0.31
|
%
|
|
1.02
|
2017
|
|
74,750
|
|
|
(815)
|
|
|
1.21
|
|
|
0.32
|
|
|
1.84
|
2018
|
|
71,529
|
|
|
(620)
|
|
|
1.11
|
|
|
0.30
|
|
|
2.54
|
2020
|
|
134,620
|
|
|
(2,402)
|
|
|
1.65
|
|
|
0.31
|
|
|
4.64
|
2022
|
|
27,700
|
|
|
(828)
|
|
|
2.04
|
|
|
0.33
|
|
|
6.57
|
2023
|
|
131,164
|
|
|
(4,222)
|
|
|
2.13
|
|
|
0.32
|
|
|
7.64
|
2024
|
|
12,900
|
|
|
(977)
|
|
|
2.73
|
|
|
0.31
|
|
|
8.70
|
2025
|
|
83,740
|
|
|
(2,021)
|
|
|
2.17
|
|
|
0.31
|
|
|
9.54
|
2043
|
|
26,000
|
|
|
(3,151)
|
|
|
3.04
|
|
|
0.32
|
|
|
27.65
|
Total
|
|
$
|
610,403
|
|
|
$
|
(15,250)
|
|
|
1.74
|
%
|
|
0.31
|
%
|
|
6.24
|
The following tables provide details about our fixed receiver
interest rate swaps as of December 31,
2015 and September 30,
2015:
|
|
December 31,
2015
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay Rate
|
|
Weighted
Average
Receive Rate
|
|
Weighted
Average
Remaining Years
to Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2025
|
|
$
|
9,700
|
|
|
$
|
857
|
|
|
0.32
|
%
|
|
3.00
|
%
|
|
9.55
|
Total
|
|
$
|
9,700
|
|
|
$
|
857
|
|
|
0.32
|
%
|
|
3.00
|
%
|
|
9.55
|
|
|
September 30,
2015
|
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Weighted
Average
Pay Rate
|
|
Weighted
Average
Receive Rate
|
|
Weighted
Average
Remaining Years
to Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
|
2025
|
|
$
|
9,700
|
|
|
$
|
947
|
|
|
0.29
|
%
|
|
3.00
|
%
|
|
9.80
|
Total
|
|
$
|
9,700
|
|
|
$
|
947
|
|
|
0.29
|
%
|
|
3.00
|
%
|
|
9.80
|
Eurodollar Futures
The following table provides
information about our Eurodollar futures as of December 31,
2015. We had no Eurodollar futures outstanding as of September 30, 2015:
Remaining
Maturity
|
|
Notional
Amount
|
|
Fair
Value
|
|
Remaining Months
to
Expiration
|
($ in
thousands)
|
|
|
|
|
|
|
2016
|
|
$
|
(12,000)
|
|
|
$
|
10
|
|
|
7.13
|
2017
|
|
(9,000)
|
|
|
8
|
|
|
17.79
|
Total
|
|
$
|
(21,000)
|
|
|
$
|
18
|
|
|
11.70
|
TBAs
The following table provides information about
our TBAs as of December 31, 2015 and September 30,
2015:
|
|
December 31,
2015
|
|
September 30,
2015
|
TBA
Securities
|
|
Notional
Amount (1)
|
|
Cost
Basis (2)
|
|
Market
Value (3)
|
|
Net
Carrying
Value (4)
|
|
Notional
Amount (1)
|
|
Cost
Basis (2)
|
|
Market
Value (3)
|
|
Net
Carrying
Value (4)
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchase
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
$
|
60,291
|
|
|
$
|
61,638
|
|
|
$
|
61,753
|
|
|
$
|
115
|
|
|
$
|
78,601
|
|
|
$
|
80,367
|
|
|
$
|
80,925
|
|
|
$
|
558
|
|
Liabilities
|
|
23,418
|
|
|
24,208
|
|
|
24,159
|
|
|
(49)
|
|
|
2,908
|
|
|
3,046
|
|
|
3,045
|
|
|
(1)
|
|
|
|
83,709
|
|
|
85,846
|
|
|
85,912
|
|
|
66
|
|
|
81,509
|
|
|
83,413
|
|
|
83,970
|
|
|
557
|
|
Sale
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets
|
|
(170,800)
|
|
|
(181,476)
|
|
|
(181,174)
|
|
|
302
|
|
|
(33,420)
|
|
|
(36,220)
|
|
|
(36,203)
|
|
|
17
|
|
Liabilities
|
|
(252,746)
|
|
|
(268,973)
|
|
|
(269,288)
|
|
|
(315)
|
|
|
(402,026)
|
|
|
(429,041)
|
|
|
(430,199)
|
|
|
(1,158)
|
|
|
|
(423,546)
|
|
|
(450,449)
|
|
|
(450,462)
|
|
|
(13)
|
|
|
(435,446)
|
|
|
(465,261)
|
|
|
(466,402)
|
|
|
(1,141)
|
|
Total TBA securities,
net
|
|
$
|
(339,837)
|
|
|
$
|
(364,603)
|
|
|
$
|
(364,550)
|
|
|
$
|
53
|
|
|
$
|
(353,937)
|
|
|
$
|
(381,848)
|
|
|
$
|
(382,432)
|
|
|
$
|
(584)
|
|
(1)
|
Notional amount
represents the principal balance of the underlying Agency
RMBS.
|
(2)
|
Cost basis represents
the forward price to be paid for the underlying Agency
RMBS.
|
(3)
|
Market value
represents the current market value of the underlying Agency RMBS
(on a forward delivery basis) as of the respective period
end.
|
(4)
|
Net carrying value
represents the difference between the market value of the TBA
contract as of the respective period end and the cost basis, and is
reported in Financial derivatives-assets, at fair value and
Financial derivatives-liabilities, at fair value on the
Consolidated Balance Sheet, for each respective period
end.
|
We primarily use TBAs to hedge interest rate risk, typically in
the form of short positions. However, from time to time we also
invest in TBAs as a means of acquiring exposure to Agency RMBS, or
for speculative purposes, including holding long positions.
Overall, we typically hold a net short position.
The following tables detail gains and losses on our financial
derivatives for the three month periods ended December 31,
2015 and September 30, 2015:
|
|
Three Month Period
Ended December 31, 2015
|
Derivative
Type
|
|
Net Realized
Gains (Losses) on
Periodic
Settlements of
Interest Rate
Swaps
|
|
Net Realized
Gains (Losses)
Other Than
Periodic
Settlements of
Interest Rate
Swaps
|
|
Net Realized
Gains (Losses)
on Financial
Derivatives
|
|
Change in Net
Unrealized
Gains (Losses)
on Accrued
Periodic
Settlements of
Interest Rate
Swaps
|
|
Change in Net
Unrealized Gains
(Losses) Other
Than on Accrued
Periodic
Settlements of
Interest Rate
Swaps
|
|
Change in Net
Unrealized
Gains (Losses)
on Financial
Derivatives
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
swaps
|
|
$
|
(3,128)
|
|
|
$
|
(4,023)
|
|
|
$
|
(7,151)
|
|
|
$
|
1,298
|
|
|
$
|
10,725
|
|
|
$
|
12,023
|
|
TBAs
|
|
|
|
(430)
|
|
|
(430)
|
|
|
|
|
637
|
|
|
637
|
|
Futures
|
|
|
|
(14)
|
|
|
(14)
|
|
|
|
|
18
|
|
|
18
|
|
Total
|
|
$
|
(3,128)
|
|
|
$
|
(4,467)
|
|
|
$
|
(7,595)
|
|
|
$
|
1,298
|
|
|
$
|
11,380
|
|
|
$
|
12,678
|
|
|
|
Three Month Period
Ended September 30, 2015
|
Derivative
Type
|
|
Net Realized
Gains (Losses) on
Periodic
Settlements of
Interest Rate
Swaps
|
|
Net Realized
Gains (Losses)
Other Than
Periodic
Settlements of
Interest Rate
Swaps
|
|
Net Realized
Gains (Losses)
on Financial
Derivatives
|
|
Change in Net
Unrealized
Gains (Losses)
on Accrued
Periodic
Settlements of
Interest Rate
Swaps
|
|
Change in Net
Unrealized Gains
(Losses) Other
Than on Accrued
Periodic
Settlements of
Interest Rate
Swaps
|
|
Change in Net
Unrealized
Gains (Losses)
on Financial
Derivatives
|
(In
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
swaps
|
|
$
|
(1,044)
|
|
|
$
|
(19)
|
|
|
$
|
(1,063)
|
|
|
$
|
(1,066)
|
|
|
$
|
(13,559)
|
|
|
$
|
(14,625)
|
|
Swaptions
|
|
|
|
(500)
|
|
|
(500)
|
|
|
|
|
17
|
|
|
17
|
|
TBAs
|
|
|
|
(1,689)
|
|
|
(1,689)
|
|
|
|
|
(813)
|
|
|
(813)
|
|
Total
|
|
$
|
(1,044)
|
|
|
$
|
(2,208)
|
|
|
$
|
(3,252)
|
|
|
$
|
(1,066)
|
|
|
$
|
(14,355)
|
|
|
$
|
(15,421)
|
|
Interest Rate Sensitivity
The following table
summarizes, as of December 31, 2015, the estimated effects on
the value of our portfolio, both overall and by category, of
immediate downward and upward parallel shifts of 50 basis points in
interest rates.
|
|
Estimated Change
in Fair Value(1)
|
(In
thousands)
|
|
50 Basis Point
Decline
in Interest
Rates
|
|
50 Basis Point
Increase
in Interest
Rates
|
Agency RMBS - ARM
Pools
|
|
$
|
307
|
|
|
$
|
(385)
|
|
Agency RMBS - Fixed
Pools and IOs
|
|
18,194
|
|
|
(23,830)
|
|
TBAs
|
|
(3,488)
|
|
|
5,949
|
|
Non-Agency
RMBS
|
|
282
|
|
|
(271)
|
|
Interest Rate
Swaps
|
|
(14,016)
|
|
|
13,383
|
|
U.S. Treasury
Securities
|
|
(2,184)
|
|
|
2,106
|
|
Eurodollar
Futures
|
|
(26)
|
|
|
26
|
|
Repurchase and
Reverse Repurchase Agreements
|
|
(624)
|
|
|
634
|
|
Total
|
|
$
|
(1,555)
|
|
|
$
|
(2,388)
|
|
(1)
|
Based on the market
environment as of December 31, 2015. 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
the overall portfolio that would differ from those presented above
and such differences might be significant and adverse.
|
Repo Borrowings
The following table details our
outstanding borrowings under repo agreements as of
December 31, 2015 and September 30, 2015:
|
|
December 31,
2015
|
|
September 30,
2015
|
|
|
|
|
Weighted
Average
|
|
|
|
Weighted
Average
|
Remaining Days to
Maturity
|
|
Borrowings
Outstanding
|
|
Interest
Rate
|
|
Remaining
Days to
Maturity
|
|
Borrowings
Outstanding
|
|
Interest
Rate
|
|
Remaining
Days to
Maturity
|
|
|
(In
thousands)
|
|
|
|
|
|
(In
thousands)
|
|
|
|
|
30 days or
less
|
|
$
|
666,124
|
|
|
0.52
|
%
|
|
14
|
|
$
|
472,278
|
|
|
0.43
|
%
|
|
15
|
31-60 days
|
|
336,350
|
|
|
0.53
|
|
|
45
|
|
371,885
|
|
|
0.46
|
|
|
44
|
61-90 days
|
|
89,142
|
|
|
0.70
|
|
|
74
|
|
169,786
|
|
|
0.47
|
|
|
74
|
91-120
days
|
|
131,103
|
|
|
0.53
|
|
|
106
|
|
211,956
|
|
|
0.57
|
|
|
107
|
Total
|
|
$
|
1,222,719
|
|
|
0.54
|
%
|
|
37
|
|
$
|
1,225,905
|
|
|
0.47
|
%
|
|
48
|
As of December 31, 2015, we had no outstanding borrowings
other than under repo agreements. Our repo borrowings were with
thirteen counterparties as of December 31, 2015. The above
figures are as of the respective quarter ends; over the course of
the quarters ended December 31, 2015
and September 30, 2015 our average
cost of repo was 0.50% and 0.43%, respectively.
Other
We incur an annual base management fee, payable
quarterly in arrears, in an amount equal to 1.50% of shareholders'
equity (as defined in our management agreement). For the quarter
ended December 31, 2015, our expense ratio, defined as
management fees and operating expenses as a percentage of
shareholders' equity, was 3.2% on an annualized basis.
Dividends
On December 15,
2015, our Board of Trustees declared a fourth quarter
dividend of $0.45 per share, or
$4.1 million, which was paid on
January 25, 2016 to shareholders of
record on December 31, 2015.
Share Repurchase Program
On August 13, 2013, our Board of Trustees approved
the adoption of a $10 million share
repurchase program. The program, which is open-ended in duration,
allows us to make repurchases from time to time on the open market
or in negotiated transactions. Repurchases are at our discretion,
subject to applicable law, share availability, price and our
financial performance, among other considerations. During the
quarter ended December 31, 2015, we
repurchased 6,080 common shares at an average price per share of
$11.72 for an aggregate cost of
approximately $0.07 million. Since
August 2015 and to date, we have
repurchased 47,481 total shares at an average price per share of
$12.03 for an aggregate cost of
$0.6 million.
Reconciliation of Core Earnings to Net Income
(Loss)
Core Earnings consists of net income (loss),
excluding realized and change in net unrealized gains and losses on
securities and financial derivatives, and, if applicable, items of
income or loss that are of a non-recurring nature. Core Earnings
includes net realized and change in net unrealized gains (losses)
associated with payments and accruals of periodic payments on
interest rate swaps. Core Earnings excluding Catch-up Premium
Amortization Adjustments consists of Core Earnings but excludes the
effect of Catch-up Premium Amortization Adjustments on interest
income. Core Earnings and Core Earnings excluding Catch-up Premium
Amortization Adjustments are supplemental non-GAAP financial
measures. We believe that Core Earnings and Core Earnings excluding
Catch-up Premium Amortization Adjustments provide information
useful to investors because they are metrics that we use to assess
our performance and to evaluate the effective net yield provided by
the portfolio. Moreover, one of our objectives is to generate
income from the net interest margin on the portfolio, and Core
Earnings and Core Earnings excluding Catch-up Premium Amortization
Adjustments are used to help measure the extent to which this
objective is being achieved. However, because Core Earnings and
Core Earnings excluding Catch-up Premium Amortization Adjustments
are incomplete measures of our financial results and differ from
net income (loss) computed in accordance with GAAP, they should be
considered as supplementary to, and not as substitutes for, net
income (loss) computed in accordance with GAAP.
The following table reconciles, for the three month periods
ended December 31, 2015 and September 30, 2015, our Core
Earnings and Core Earnings excluding Catch-up Premium Amortization
Adjustments on a consolidated basis to the line on our Consolidated
Statement of Operations entitled Net Income (Loss), which we
believe is the most directly comparable GAAP measure on our
Consolidated Statement of Operations to Core Earnings:
(In thousands
except share amounts)
|
|
Three Month
Period Ended December
31, 2015
|
|
Three Month
Period Ended
September 30, 2015
|
Net Income
(Loss)
|
|
$
|
980
|
|
|
$
|
(4,817)
|
|
Less:
|
|
|
|
|
Net realized gains
(losses) on securities
|
|
817
|
|
|
596
|
|
Net realized gains
(losses) on financial derivatives, excluding periodic
payments(1)
|
|
(4,467)
|
|
|
(2,208)
|
|
Change in net
unrealized gains (losses) on securities
|
|
(11,230)
|
|
|
4,862
|
|
Change in net
unrealized gains (losses) on financial derivatives, excluding
accrued periodic payments(2)
|
|
11,380
|
|
|
(14,355)
|
|
Subtotal
|
|
(3,500)
|
|
|
(11,105)
|
|
Core
Earnings
|
|
$
|
4,480
|
|
|
$
|
6,288
|
|
Catch-up Premium
Amortization Adjustments
|
|
(1,087)
|
|
|
895
|
|
Core Earnings
excluding Catch-up Premium Amortization Adjustments
|
|
$
|
5,567
|
|
|
$
|
5,393
|
|
Weighted Average
Shares Outstanding
|
|
9,135,219
|
|
|
9,140,452
|
|
Core Earnings Per
Share
|
|
$
|
0.49
|
|
|
$
|
0.69
|
|
Core Earnings Per
Share excluding Catch-up Premium Amortization
Adjustments
|
|
$
|
0.61
|
|
|
$
|
0.59
|
|
(1)
|
For the three month
period ended December 31, 2015, represents Net realized gains
(losses) on financial derivatives of $(7,595) less Net realized
gains (losses) on periodic settlements of interest rate swaps of
$(3,128). For the three month period ended September 30, 2015,
represents Net realized gains (losses) on financial derivatives of
$(3,252) less Net realized gains (losses) on periodic settlements
of interest rate swaps of $(1,044).
|
(2)
|
For the three month
period ended December 31, 2015, represents Change in net
unrealized gains (losses) on financial derivatives of $12,678 less
Change in net unrealized gains (losses) on accrued periodic
settlements of interest rate swaps of $1,298. For the three month
period ended September 30, 2015, represents Change in net
unrealized gains (losses) on financial derivatives of $(15,421)
less Change in net unrealized gains (losses) on accrued periodic
settlements of interest rate swaps of $(1,066).
|
About Ellington Residential Mortgage REIT
Ellington
Residential Mortgage REIT is a mortgage real estate investment
trust that specializes in acquiring, investing in and managing
residential mortgage- and real estate-related assets, with a
primary focus on residential mortgage-backed securities, for which
the principal and interest payments are guaranteed by a U.S.
government agency or a U.S. government-sponsored enterprise.
Ellington Residential Mortgage REIT is externally managed and
advised by Ellington Residential Mortgage Management LLC, an
affiliate of Ellington Management Group, L.L.C.
Conference Call
We will host a conference call at
11:00 a.m. Eastern Time on Thursday,
February 11, 2016, to discuss our financial results for the
quarter ended December 31, 2015. To
participate in the event by telephone, please dial (877) 437-3698
at least 10 minutes prior to the start time and reference the
conference ID number 34347178. International callers should dial
(810) 740-4679 and reference the same conference ID number. The
conference call will also be webcast live over the Internet and can
be accessed via the "For Our Shareholders" section of our web site
at www.earnreit.com. To listen to the live webcast, please visit
www.earnreit.com at least 15 minutes prior to the start of the call
to register, download, and install necessary audio software. In
connection with the release of these financial results, we also
posted an investor presentation, that will accompany the conference
call, on our website at www.earnreit.com under "For Our
ShareholdersāPresentations."
A dial-in replay of the conference call will be available on
Thursday, February 11, 2016, at approximately 2:00 p.m. Eastern Time through Thursday,
February 18, 2016 at approximately 11:59 p.m. Eastern Time. To access this replay,
please dial (800) 585-8367 and enter the conference ID number
34347178. International callers should dial (404) 537-3406 and
enter the same conference ID number. A replay of the conference
call will also be archived on our web site at www.earnreit.com.
Cautionary Statement Regarding Forward-Looking
Statements
This press release contains forward-looking statements within
the meaning of the safe harbor provisions of the Private Securities
Litigation Reform Act of 1995. Forward-looking statements involve
numerous risks and uncertainties. Actual results may differ from
our beliefs, expectations, estimates, and projections and,
consequently, you should not rely on these forward-looking
statements as predictions of future events. Forward-looking
statements are not historical in nature and can be identified by
words such as "believe," "expect," "anticipate," "estimate,"
"project," "plan," "continue," "intend," "should," "would,"
"could," "goal," "objective," "will," "may," "seek," or similar
expressions or their negative forms, or by references to strategy,
plans, or intentions. Examples of forward-looking statements in
this press release include, without limitation, our beliefs
regarding the current economic and investment environment, our
ability to implement our investment and hedging strategies, our
future prospects and the protection of our net interest margin from
prepayments, volatility and its impact on us, the performance of
our investment and hedging strategies, our exposure to prepayment
risk in our Agency portfolio, estimated effects on the fair value
of our RMBS and interest rate derivative holdings of a hypothetical
change in interest rates, statements regarding our share repurchase
program, and statements regarding the drivers of our returns. Our
results can fluctuate from month to month and from quarter to
quarter depending on a variety of factors, some of which are beyond
our control and/or are difficult to predict, including, without
limitation, changes in interest rates and the market value of our
securities, changes in mortgage default rates and prepayment rates,
our ability to borrow to finance our assets, changes in government
regulations affecting our business, our ability to maintain our
exclusion from registration under the Investment Company Act of
1940 and other changes in market conditions and economic trends.
Furthermore, forward-looking statements are subject to risks and
uncertainties, including, among other things, those described in
Item 1A of our Annual Report on Form 10-K for the fiscal year ended
December 31, 2014 filed on
March 12, 2015 which can be accessed
through the link to our SEC filings under "For Our Shareholders" on
our website (www.earnreit.com) or at the SEC's website
(www.sec.gov). Other risks, uncertainties, and factors that could
cause actual results to differ materially from those projected may
be described from time to time in reports we file with the SEC,
including reports on Forms 10-Q, 10-K and 8-K. We undertake no
obligation to update or revise any forward-looking statements,
whether as a result of new information, future events, or
otherwise.
ELLINGTON RESIDENTIAL
MORTGAGE REIT
CONSOLIDATED
STATEMENT OF OPERATIONS
(UNAUDITED)
|
|
|
|
Three Month Period
Ended
|
|
Year
Ended
|
|
|
December 31,
2015
|
|
September 30,
2015
|
|
December 31,
2015
|
(In thousands
except share amounts)
|
|
|
|
|
|
|
INTEREST INCOME
(EXPENSE)
|
|
|
|
|
|
|
Interest
income
|
|
$
|
9,315
|
|
|
$
|
11,315
|
|
|
$
|
40,751
|
|
Interest
expense
|
|
(1,816)
|
|
|
(1,642)
|
|
|
(6,236)
|
|
Total net interest
income
|
|
7,499
|
|
|
9,673
|
|
|
34,515
|
|
EXPENSES
|
|
|
|
|
|
|
Management
fees
|
|
545
|
|
|
557
|
|
|
2,304
|
|
Professional
fees
|
|
152
|
|
|
144
|
|
|
574
|
|
Compensation expense
(1)
|
|
87
|
|
|
168
|
|
|
621
|
|
Other operating
expenses(1)
|
|
405
|
|
|
406
|
|
|
1,646
|
|
Total
expenses
|
|
1,189
|
|
|
1,275
|
|
|
5,145
|
|
OTHER INCOME
(LOSS)
|
|
|
|
|
|
|
Net realized gains
(losses) on securities
|
|
817
|
|
|
596
|
|
|
9,577
|
|
Net realized gains
(losses) on financial derivatives
|
|
(7,595)
|
|
|
(3,252)
|
|
|
(23,432)
|
|
Change in net
unrealized gains (losses) on securities
|
|
(11,230)
|
|
|
4,862
|
|
|
(18,904)
|
|
Change in net
unrealized gains (losses) on financial derivatives
|
|
12,678
|
|
|
(15,421)
|
|
|
3,419
|
|
Total other income
(loss)
|
|
(5,330)
|
|
|
(13,215)
|
|
|
(29,340)
|
|
NET INCOME
(LOSS)
|
|
$
|
980
|
|
|
$
|
(4,817)
|
|
|
$
|
30
|
|
NET INCOME (LOSS)
PER COMMON SHARE:
|
|
|
|
|
|
|
Basic and
Diluted
|
|
$
|
0.11
|
|
|
$
|
(0.53)
|
|
|
$
|
ā
|
|
WEIGHTED AVERAGE
SHARES OUTSTANDING
|
|
9,135,219
|
|
|
9,140,452
|
|
|
9,143,508
|
|
CASH DIVIDENDS PER
SHARE:
|
|
|
|
|
|
|
Dividends
declared
|
|
$
|
0.45
|
|
|
$
|
0.45
|
|
|
$
|
2.00
|
|
(1)
|
Conformed to current
period presentation.
|
ELLINGTON RESIDENTIAL
MORTGAGE REIT
CONSOLIDATED BALANCE
SHEET
(UNAUDITED)
|
|
|
|
As
of
|
|
|
December 31,
2015
|
|
September 30,
2015
|
|
December 31,
2014(1)
|
(In thousands
except share amounts)
|
|
|
|
|
|
|
ASSETS
|
|
|
|
|
|
|
Cash and cash
equivalents
|
|
$
|
40,166
|
|
|
$
|
40,482
|
|
|
$
|
45,237
|
|
Mortgage-backed
securities, at fair value
|
|
1,242,266
|
|
|
1,280,892
|
|
|
1,393,303
|
|
Due from
brokers
|
|
33,297
|
|
|
41,068
|
|
|
18,531
|
|
Financial
derivativesāassets, at fair value
|
|
2,183
|
|
|
1,527
|
|
|
3,072
|
|
Reverse repurchase
agreements
|
|
78,632
|
|
|
76,610
|
|
|
13,987
|
|
Receivable for
securities sold
|
|
155,526
|
|
|
70,087
|
|
|
41,834
|
|
Interest
receivable
|
|
4,325
|
|
|
4,784
|
|
|
4,793
|
|
Other
assets
|
|
289
|
|
|
407
|
|
|
317
|
|
Total
Assets
|
|
$
|
1,556,684
|
|
|
$
|
1,515,857
|
|
|
$
|
1,521,074
|
|
LIABILITIES AND
SHAREHOLDERS' EQUITY
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
Repurchase
agreements
|
|
$
|
1,222,719
|
|
|
$
|
1,225,905
|
|
|
$
|
1,323,080
|
|
Payable for
securities purchased
|
|
98,949
|
|
|
45,333
|
|
|
4,227
|
|
Due to
brokers
|
|
439
|
|
|
2,654
|
|
|
583
|
|
Financial
derivativesāliabilities, at fair value
|
|
4,725
|
|
|
16,414
|
|
|
8,700
|
|
U.S. Treasury
securities sold short, at fair value
|
|
78,447
|
|
|
70,671
|
|
|
13,959
|
|
Dividend
payable
|
|
4,111
|
|
|
4,111
|
|
|
5,032
|
|
Accrued
expenses
|
|
533
|
|
|
771
|
|
|
890
|
|
Management fee
payable
|
|
545
|
|
|
557
|
|
|
551
|
|
Interest
payable
|
|
1,361
|
|
|
1,416
|
|
|
687
|
|
Total
Liabilities
|
|
1,411,829
|
|
|
1,367,832
|
|
|
1,357,709
|
|
SHAREHOLDERS'
EQUITY
|
|
|
|
|
|
|
Preferred shares, par
value $0.01 per share, 100,000,000 shares authorized; (0 shares
issued and outstanding, respectively)
|
|
ā
|
|
|
ā
|
|
|
ā
|
|
Common shares, par
value $0.01 per share, 500,000,000 shares authorized; (9,135,103,
9,135,021, and 9,149,274 shares issued and outstanding,
respectively)
|
|
92
|
|
|
91
|
|
|
91
|
|
Additional
paid-in-capital
|
|
181,027
|
|
|
181,066
|
|
|
181,282
|
|
Accumulated
deficit
|
|
(36,264)
|
|
|
(33,132)
|
|
|
(18,008)
|
|
Total
Shareholders' Equity
|
|
144,855
|
|
|
148,025
|
|
|
163,365
|
|
Total Liabilities
and Shareholders' Equity
|
|
$
|
1,556,684
|
|
|
$
|
1,515,857
|
|
|
$
|
1,521,074
|
|
PER SHARE
INFORMATION
|
|
|
|
|
|
|
Common shares, par
value $0.01 per share
|
|
$
|
15.86
|
|
|
$
|
16.20
|
|
|
$
|
17.86
|
|
(1)
|
Derived from audited
financial statements as of December 31, 2014.
|
Investor Contact: Ania Pritchard, Investor Relations,
or Lisa Mumford, Chief Financial Officer, Ellington
Residential Mortgage REIT, (203) 409-3773;
Media Contact: Steve Bruce or Taylor
Ingraham, ASC Advisors, for Ellington Residential
Mortgage REIT, (203) 992-1230
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SOURCE Ellington Residential Mortgage REIT