Apollo Residential Mortgage Inc
Apollo Residential Mortgage — Q1 2016 Earnings Presentation
18 slides from Apollo Residential Mortgage's earnings presentation, May 9, 2016
Slide 1: Supplemental Financial Information Package – Q1 2016
Information is as of March 31, 2016, except as otherwise noted. It should not be assumed that investments made in the future will be profitable or will equal the performance of investments in this document. Supplemental Financial Information Package – Q1 2016 May 9, 2016 Exhibit 99.2
Slide 2: Forward Looking Statements and Other Disclosures
Forward Looking Statements and Other Disclosures Certain statements contained in this presentation may constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, and Apollo Res
Slide 3: First Quarter 2016 Summary
First Quarter 2016 Summary Reported Operating Earnings(1) of $9.4 million, or $0.29 per share of common stock for the first quarter of 2016(1); Excluding $3.6 million of expenses associated with the proposed acquisition by Apollo Commercial Real Estate Finance, Inc. (NYSE:ARI) (“ARI”), Operating Ear
Slide 4: Financial Summary
Financial Summary Operating Earnings and Operating Earnings per share of common stock are non-GAAP financial measures. Operating Earnings and Operating Earnings per share of common stock presented exclude, as applicable: (i) certain realized and unrealized gains and losses recognized through earning
Slide 5: Financial Summary
Financial Summary Operating Earnings per Share of Common Stock(1) Dividends per Share of Common Stock Quarter-End Book Value per Share of Common Stock Operating Earnings and Operating Earnings per share of common stock are non-GAAP financial measures. Operating Earnings and Operating Earnings per sh
Slide 6: Book Value Roll-Forward
Book Value Roll-Forward Book Value (per share of common stock) - December 31,2015 $16.40 Common stock dividend declared (0.48) Operating Earnings, net of preferred dividend 0.29 Non-Operating Items Impacting Net Income: Rates: Unrealized gain on Agency RMBS, net 0.42 Realized (loss) on sales of Agen
Slide 7: Portfolio Summary and Net Interest Spread
Portfolio Summary and Net Interest Spread Allocation of Portfolio Equity at March 31, 2016(1) Effective Net Interest Spread for the Three Months Ended March 31, 2016(2) Percentages reflect amount of equity allocated to Agency RMBS, non-Agency RMBS and other credit investments and securitized mortgag
Slide 8: Agency RMBS Portfolio Overview
Agency RMBS Portfolio at March 31, 2016 Agency RMBS Portfolio Overview Constant Prepayment Rates (“CPR”) Other includes 30-year pass-throughs backed by relocation mortgages and Agency interest only securities (“Agency IO”). Short Reset ARMs 17% HARP / MHA / High LTV 30 Year Pass - Throughs 4% Loan B
Slide 9: Agency RMBS Portfolio Composition Summary
Agency RMBS Portfolio at March 31, 2016 Agency RMBS Portfolio Composition Summary Amortized cost is reduced by other-than-temporary impairments. Estimated weighted average yield at the date presented incorporates prepayment assumptions and forward interest rate assumptions on Agency RMBS. Agency IO
Slide 10: Non-Agency RMBS and Other Credit Securities Portfolio
Non-Agency RMBS and Other Credit Securities Portfolio at March 31, 2016 Non-Agency RMBS and Other Credit Securities Portfolio Overview(1) Non-Agency RMBS Portfolio Vintage (1) Non-Agency RMBS Cash-Flow Profile(1) Includes $60.9 million of small balance commercial mortgage backed securities and $99.0
Slide 11: Non-Agency RMBS Portfolio
Non-Agency RMBS Portfolio at March 31, 2016 (1) Credit enhancement is expressed as a percentage of all outstanding mortgage loan collateral. The Company's non-Agency RMBS may incur losses if credit enhancement is reduced to zero.
Slide 12: Financing and Derivative Instruments Overview
Financing and Derivative Instruments Overview Borrowings at March 31, 2016 Derivative Instruments at March 31, 2016 Swaps Overview at March 31, 2016 Includes $85,675 of repurchase borrowings collateralized by non-Agency RMBS of $119,442 that were eliminated from the Company’s consolidated balance sh
Slide 13: Swaptions Overview
Swaptions Overview Purchase Contract Swaptions Overview at March 31, 2016 Sale Contract Swaptions Overview at March 31, 2016 ($ in thousands) Sale Contracts: Weighted Average Weighted Weighted Fixed Pay Months Until Average Average Rate for Premium Option Notional Swap Term Fixed-Pay Underlying Swap
Slide 14: Financials
Financials
Slide 15: Balance Sheet
fin thousands—except share and per share data) wreh 31, 2016 Total Stockholders’ Equity Total Liabilities and St Equi Assets ‘(Unaudited Cash and cash eqns 9,129 Restricted ca s4s RMBS, i 2,752,865 fae value 159301 tively) 159917 Other inv 45644 invest wa receivable 7 Interest re 8B tive instruments
Slide 16: Income Statement
Income Statement (in thousands—except per share data) 2016 2015 Interest Income: RMBS 28,577 $ 35,614 $ Securitized mortgage loans and mortgage loans 3,265 2,167 Other 3,019 1,514 Total Interest Income 34,861 39,295 Interest Expense: Repurchase agreements (8,431) (7,465) Securitized debt (250) (366)
Slide 17: Reconciliation of Operating Earnings
Reconciliation of Operating Earnings(1) Operating Earnings and Operating Earnings per share of common stock are non-GAAP financial measures. Operating Earnings and Operating Earnings per share of common stock presented exclude, as applicable: (i) certain realized and unrealized gains and losses reco
Slide 18: Contact Information
Contact Information Hilary Ginsberg Investor Relations Manager 212-822-0767
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