EX-99.2 3 d177195dex992.htm EX-99.2

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 April 27, 2016 Exhibit 99.2

Forward Looking Statements and Other Disclosures This presentation may contain forward-looking statements that are 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 such statements are intended to be covered by the safe harbor provided by the same. Forward-looking statements are subject to substantial risks and uncertainties, many of which are difficult to predict and are generally beyond management’s control. These forward-looking statements may include information about possible or assumed future results of Apollo Commercial Real Estate Finance, Inc.’s (“ARI” or the “Company”) business, financial condition, liquidity, results of operations, plans and objectives. When used in this presentation, the words “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may” or similar expressions, are intended to identify forward-looking statements. Statements regarding the following subjects, among others, may be forward-looking: ARI’s business and investment strategy; ARI’s operating results; ARI’s ability to obtain and maintain financing arrangements; the return on equity; the yield on investments; risks associated with investing in real estate assets, including changes in business conditions and the general economy; and expectations regarding the closing of the proposed acquisition of Apollo Residential Mortgage, Inc. The forward-looking statements are based on management’s beliefs, assumptions and expectations of future performance, taking into account all information currently available to ARI. Forward-looking statements are not predictions of future events. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to ARI. Some of these factors are described under “Risk Factors,” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations” included in ARI’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015 and other periodic reports filed with the Securities and Exchange Commission (“SEC”), which are accessible on the SEC’s website at www.sec.gov. If a change occurs, ARI’s business, financial condition, liquidity and results of operations may vary materially from those expressed in ARI’s forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise over time, and it is not possible for management to predict those events or how they may affect ARI. Except as required by law, ARI is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. This presentation contains information regarding ARI’s financial results that is calculated and presented on the basis of methodologies other than in accordance with accounting principles generally accepted in the United States (“GAAP”), including Operating Earnings and Operating Earnings per share. Please refer to slide 3 for a definition of “Operating Earnings” and the reconciliation of “Operating Earnings” to the applicable GAAP financial measure set forth on slide 18. This presentation may contain statistics and other data that in some cases has been obtained from or compiled from information made available by third-party service providers. ARI makes no representation or warranty, expressed or implied, with respect to the accuracy, reasonableness or completeness of such information. Past performance is not indicative nor a guarantee of future returns. Index performance and yield data are shown for illustrative purposes only and have limitations when used for comparison or for other purposes due to, among other matters, volatility, credit or other factors (such as number and types of securities). Indices are unmanaged, do not charge any fees or expenses, assume reinvestment of income and do not employ special investment techniques such as leveraging or short selling. No such index is indicative of the future results of any investment by ARI.

ARI Q1 2016 Earnings Call April 27, 2016 Stuart Rothstein Chief Executive Officer and President Scott Weiner Chief Investment Officer of the Manager Megan Gaul Chief Financial Officer, Treasurer and Secretary Hilary Ginsberg Investor Relations Manager

Financial Summary Operating Earnings is a non-GAAP financial measure that is used by the Company to approximate cash available for distribution and is defined by the Company as net income available to common stockholders, computed in accordance with GAAP, adjusted for (i) equity-based compensation expense (a portion of which may become cash-based upon final vesting and settlement of awards should the holder elect net share settlement to satisfy income tax withholding), (ii) any unrealized gains or losses or other non-cash items included in net income available to common stockholders, (iii) unrealized income from unconsolidated joint ventures, (iv) foreign currency gains/losses, and (v) the non-cash amortization expense related to the reclassification of a portion of the convertible senior notes to stockholders’ equity in accordance with GAAP. Please see slide 18 for a reconciliation of Operating Earnings and Operating Earnings per Share to GAAP net income and GAAP net income per share. Includes Commercial Mortgage-Backed Securities (“CMBS”), held-to-maturity, which are net of a participation sold during June 2014. ARI presents the participation sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. At March 31, 2016, ARI had one such participation sold with a carrying amount of $88,520. Subordinate loans also are net of a participation sold in February 2015. At March 31, 2016, this participation sold had a carrying amount of £19,799 ($28,432). Debt to common equity is net of participations sold. Fixed charge coverage is EBITDA divided by interest expense plus the preferred stock dividends. ($ amounts in thousands, except per share data) Income Statement March 31, 2016 March 31, 2015 % Change 61,447 $ 40,036 $ 53.5% (14,642) $ (11,482) $ 27.5% Net interest income 46,805 $ 28,554 $ 63.9% Operating earnings (1) 29,819 $ 22,222 $ 34.2% 0.44 $ 0.44 $ 0.0% 68,327,718 50,171,687 36.2% Balance sheet March 31, 2016 December 31, 2015 % Change 2,637,715 $ 2,464,897 $ 7.0% 1,602,180 $ 1,569,250 $ 2.1% Common stockholders' equity 1,070,800 $ 1,089,174 $ -1.7% 286,250 $ 286,250 $ 0.0% 1,083,655 $ 925,774 $ 17.1% Convertible senior notes 248,617 $ 248,173 $ 0.2% 1.3x 1.1x 2.5x 2.7x Three Months Ended Interest income Interest expense Operating earnings per diluted share (1) Diluted weighted average shares of common stock outstanding Investments at amortized cost (2) Net equity in investments at cost Preferred stockholders' equity Debt to common equity (3) Outstanding repurchase agreement borrowings Fixed charge coverage (4)

Historical Financial Overview Operating Earnings ($000s) (1) Net Interest Income ($000s) Dividends per Share of Common Stock Operating Earnings per Share of Common Stock(1) Operating Earnings is a non-GAAP financial measure that is used by the Company to approximate cash available for distribution and is defined by the Company as net income available to common stockholders, computed in accordance with GAAP, adjusted for (i) equity-based compensation expense (a portion of which may become cash-based upon final vesting and settlement of awards should the holder elect net share settlement to satisfy income tax withholding), (ii) any unrealized gains or losses or other non-cash items included in net income available to common stockholders, (iii) unrealized income from unconsolidated joint ventures, (iv) foreign currency gains/losses, and (v) the non-cash amortization expense related to the reclassification of a portion of the convertible senior notes to stockholders’ equity in accordance with GAAP. Please see slide 18 for a reconciliation of Operating Earnings and Operating Earnings per Share to GAAP net income and GAAP net income per share.

Q1 Financial Highlights Financial Results & Earnings Per Share Operating Earnings for the quarter ended March 31, 2016 of $29.8 million, or $0.44 per diluted share of common stock(1); Excluding $5.1 million of expenses in connection with the proposed acquisition of Apollo Residential Mortgage, Inc. (“AMTG”), Operating Earnings for the quarter ended March 31, 2016 of $34.9 million, or $0.51 per diluted share of common stock Net interest income of $46.8 million Total expenses of $13.4 million, comprised of management fees of $5.2 million, G&A of $6.5 million (including $5.1 million in connection with AMTG transaction) and equity-based compensation of $1.7 million Net income available to common stockholders for the quarter ended March 31, 2016 of $12.8 million, or $0.18 per diluted share of common stock Dividends Declared a dividend of $0.46 per share of common stock for the quarter ended March 31, 2016 11.6% annualized dividend yield based on $15.89 closing price on April 25, 2016 Declared a dividend on the Company’s 8.625% Series A Cumulative Redeemable Perpetual Preferred Stock of $0.5391 per share for stockholders of record on March 31, 2016 Declared a dividend on the Company’s 8.00% Fixed-to-Floating Series B Cumulative Redeemable Perpetual Preferred Stock of $0.50 per share for stockholders of record on March 31, 2016 Book Value GAAP book value of $15.89 per share as of March 31, 2016 (1)Operating Earnings is a non-GAAP financial measure that is used by the Company to approximate cash available for distribution and is defined by the Company as net income available to common stockholders, computed in accordance with GAAP, adjusted for (i) equity-based compensation expense (a portion of which may become cash-based upon final vesting and settlement of awards should the holder elect net share settlement to satisfy income tax withholding), (ii) any unrealized gains or losses or other non-cash items included in net income available to common stockholders, (iii) unrealized income from unconsolidated joint ventures, (iv) foreign currency gains/losses, and (v) the non-cash amortization expense related to the reclassification of a portion of the convertible senior notes to stockholders’ equity in accordance with GAAP. Please see slide 18 for a reconciliation of Operating Earnings and Operating Earnings per Share to GAAP net income and GAAP net income per share.

Q1 – New Investments and Funding Summary of New Investments Based upon committed amount of loan. The Internal Rate of Return (“IRR”) for the investments shown in this presentation reflect the returns underwritten by ACREFI Management, LLC, the Company’s external manager (the “Manager”), taking into account leverage and calculated on a weighted average basis assuming no dispositions, early prepayments or defaults but assuming that extension options are exercised and that the cost of borrowings remains constant over the remaining term. With respect to certain loans, the IRR calculation assumes certain estimates with respect to the timing and magnitude of future fundings for the remaining commitments and associated loan repayments, and assumes no defaults. IRR is the annualized effective compounded return rate that accounts for the time-value of money and represents the rate of return on an investment over a holding period expressed as a percentage of the investment. It is the discount rate that makes the net present value of all cash outflows (the costs of investment) equal to the net present value of cash inflows (returns on investment). It is derived from the negative and positive cash flows resulting from or produced by each transaction (or for a transaction involving more than one investment, cash flows resulting from or produced by each of the investments), whether positive, such as investment returns, or negative, such as transaction expenses or other costs of investment, taking into account the dates on which such cash flows occurred or are expected to occur, and compounding interest accordingly. There can be no assurance that the actual IRRs will equal the underwritten IRRs shown herein. See “Item 1A—Risk Factors—The Company may not achieve its underwritten internal rate of return on its investments which may lead to future returns that may be significantly lower than anticipated” included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 for a discussion of some of the factors that could adversely impact the returns received by the Company from the investments shown in the table over time.

Commercial Real Estate Debt Portfolio Overview CMBS includes $55.8 million of restricted cash related to the Company’s master repurchase agreement with UBS AG (the “UBS Facility”). Remaining Weighted Average Life assumes all extension options are exercised. The underwritten IRR for the investments shown in this table reflect the returns underwritten by the Manager, taking into account leverage and calculated on a weighted average basis assuming no dispositions, early prepayments or defaults but assuming that extension options are exercised and that the cost of borrowings remains constant over the remaining term. With respect to certain loans, the underwritten IRR calculation assumes certain estimates with respect to the timing and magnitude of future fundings for the remaining commitments and associated loan repayments, and assumes no defaults. IRR is the annualized effective compounded return rate that accounts for the time-value of money and represents the rate of return on an investment over a holding period expressed as a percentage of the investment. It is the discount rate that makes the net present value of all cash outflows (the costs of investment) equal to the net present value of cash inflows (returns on investment). It is derived from the negative and positive cash flows resulting from or produced by each transaction (or for a transaction involving more than one investment, cash flows resulting from or produced by each of the investments), whether positive, such as investment returns, or negative, such as transaction expenses or other costs of investment, taking into account the dates on which such cash flows occurred or are expected to occur, and compounding interest accordingly. There can be no assurance that the actual IRRs will equal the underwritten IRRs shown in the table. See “Item 1A—Risk Factors—The Company may not achieve its underwritten internal rate of return on its investments which may lead to future returns that may be significantly lower than anticipated” included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 for a discussion of some of the factors that could adversely impact the returns received by the Company from the investments shown in the table over time. Represents an underwritten levered weighted average IRR. The Company's ability to achieve the underwritten levered weighted average IRR additionally depends upon the availability of the JPMorgan Facility or any replacement facility with similar terms with regard to its portfolio of first mortgage loans. Without such availability, the levered weighted average underwritten IRR will be lower than the amount shown above. Subordinate loans are net of a participation sold during February 2015. The Company presents the participation sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. At March 31, 2016, the Company had one such participation sold with a carrying amount of £19,799 ($28,432). Subordinate loans also include CMBS (Held-to-Maturity), which are net of a participation sold during June 2014. At March 31, 2016, the Company presented the participation sold as an asset of $88,520 and non-recourse liability of $88,520 because the participation does not qualify as a sale according to GAAP. Asset Type ($000s) Amortized Cost Borrowings Equity at Cost(1) Remaining Weighted Average Life (years)(2) Current Weighted Average Underwritten IRR(3) Fully-Levered Weighted Average Underwritten IRR(3)(4) First Mortgage Loans $ 1,173,185 $ 680,549 $ 492,636 2.9 17.4% 18.2% Subordinate Loans(5)(6) 965,900 - 965,900 3.7 13.0 13.2 CMBS 498,630 410,767 143,644 1.4 12.0 12.0 Investments at March 31, 2016 $ 2,637,715 $ 1,091,316 $ 1,602,180 2.9 Years 14.2% 14.5%

Commercial Real Estate Debt Portfolio Overview Net Invested Equity at Amortized Cost Basis(1) Geographic Diversification by Net Equity Property Type by Net Equity Subordinate loans include CMBS, held-to-maturity and are net of participations sold of $116,952. ARI presents the participations sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. Gross Assets at Amortized Cost Basis

Commercial Real Estate Loan Portfolio – Maturity and Type ($ in Millions) Fully Extended Loan Maturities and Future Fundings (1)(2)(3)(4) Based upon face amount of loans; does not include CMBS, but does include CMBS, held-to-maturity. Maturities reflect the fully funded amounts of the loans. Subordinate loans include CMBS, held-to-maturity and are net of participations sold of $116,952. ARI presents the participations sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. Future funding dates are based upon the Manager’s projections and are subject to change. Loan Position and Rate Type(1)(3) 84% Floating Rate/16% Fixed Rate

Loan Portfolio – Loan Level LTV (Through Last Invested Dollar) This includes three first mortgage loans with outstanding balances of $85,770, $23,000 and $5,910 respectively, secured by cross collateralized retail parcels. LTV is based upon fully committed loan amount of $121,410. This whole loan includes a first mortgage with an outstanding balance of $98,854 and a mezzanine loan with an outstanding balance of $5,166. This whole loan includes a first mortgage with an outstanding balance of $49,692 and a mezzanine loan with an outstanding balance of $5,014. LTV is based upon the fully committed loan amount of $65,100. This whole loan includes a first mortgage loan with an outstanding balance of $24,114 and a mezzanine loan with an outstanding balance of $6,385. Senior Loans

Loan Portfolio – Loan Level LTV (Through Last Invested Dollar) Subordinate Loans LTV is based upon the fully committed loan amount of $105,000; Both loans are secured by the same property. The $30,000 loan is structured as a corporate loan and has additional collateral. Based upon £55.0 million face amount converted to USD based upon the conversion rate on March 31, 2016. This is CMBS, held-to-maturity and is net of a participation sold. ARI presents the participation sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. At March 31, 2015, this participation sold had a carrying amount of $88,520. Based upon £34.4 million face amount plus PIK converted to USD based upon the conversion rate on March 31, 2016. Based upon £19.8 million face amount converted to USD based upon the conversion rate on March 31, 2016, net of participation sold of $28,432. LTV is based upon the fully committed loan amount of $75,000. Based upon the fully committed loan amount of $77,000. Mezzanine loan and preferred equity are secured by the same portfolio of properties. Description ($ in thousands) Location Balance at 3/31/2016 Starting LTV Ending LTV Subordinate - Condo development (1) New York 91,605 $ 50% 60% Subordinate - Pre-development loan (2) London 78,980 $ 40% 72% Subordinate - Hotels Various 75,000 $ 64% 70% Subordinate - Hotel (3) Aruba 63,952 $ 34% 59% Subordinate - Pre-development loan New York 55,000 $ 33% 81% Subordinate - Condo conversion New York 54,125 $ 41% 50% Subordinate - Pre-development loan (4) London 49,383 $ 45% 81% Subordinate - Healthcare portfolio (5) UK 49,072 $ 51% 69% Subordinate - Hotel New York 50,000 $ 30% 73% Subordinate - Industrial portfolio New York 45,000 $ 61% 79% Subordinate - Healthcare portfolio Various 39,223 $ 56% 60% Subordinate - Condo development (6) New York 39,044 $ 26% 50% Subordinate - Industrial portfolio Various 32,000 $ 64% 72% Subordinate - Condo development (1) New York 30,000 $ 60% 63% Subordinate - Hotel Arizona 25,000 $ 46% 58% Subordinate - Hotel portfolio Minnesota 24,102 $ 55% 67% Subordinate - Condo conversion (7) New York 23,633 $ 50% 62% Subordinate - Multifamily (8) Florida 22,000 $ 66% 80% Subordinate - Hotel Washington D.C. 20,000 $ 61% 69% Subordinate - Hotel California 20,000 $ 58% 74% Preferred Equity - Multifamily (8) Florida 15,500 $ 80% 89% Subordinate - Ski resort Montana 15,000 $ 40% 54% Subordinate - Office New York 14,000 $ 60% 69% Subordinate - Office Missouri 9,528 $ 59% 68% Subordinate - Office Michigan 8,736 $ 40% 52% Subordinate - Mixed-use North Carolina 6,525 $ 61% 74% Total/Weighted Average 956,408 $ 67% 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

CMBS Portfolio(1) Face Amortized Cost Remaining Weighted Average Life with Extensions (years) Estimated Fair Value Debt Net Equity at Cost(2) CMBS – Total $ 505,134 $ 498,630 1.4 Years $ 472,464 $ 410,767 $ 143,644 CUSIP Description 92978PAJ8 WBCMT 2006-C29 AJ 07388QAH2 BSCMS 2007-PW17 AJ 07401DAH4 BSCMS 2007PW18 AJ 46625YVZ3 JPMCC 2005-CB13 AJ 50180CAG5 LBUBS 2006-C7 AJ 60688CAJ5 MLCFC 2007-9 AJ 05947US25 BACM 2005-3 AJ 61756UAJ0 MSC 2007-1Q16 AJ 46629YAH2 JPMCC 2007-CB18AJ 17311QAE0 CGCMT 2007-C6 AJFX CUSIP Description 59025KAG7 MLMT 2007-C1 AM 22546BAH3 CSMC 2007-C5 AM 36159XAH3 GECMC 2007-C1 AM 46627QBC1 JMPCC 2006-CB15 AM 46631BAJ4 JPMCC 2007-LD11 AM 14986DAJ9 CD 2006-CD3 AJ 17311QBN9 CGCMT 2007-C6 AJ 17313KAK7 CGCMT 2008-C7 AJ 20047QAH8 COMM 2006-C7 AJ 61755YAK0 MSC 2007-IQ15 AJ Does not include CMBS, held-to-maturity. Includes $55.8 million of restricted cash related to the UBS Facility.

Portfolio Metrics – Quarterly Migration Summary Subordinate loans include CMBS, held-to-maturity and are net of participations sold of $116,952. ARI presents the participations sold as both assets and non-recourse liabilities because the participation does not qualify as a sale according to GAAP. The underwritten IRR for the investments shown in this presentation reflect the returns underwritten by the Manager, taking into account leverage and calculated on a weighted average basis assuming no dispositions, early prepayments or defaults but assuming that extension options are exercised and that the cost of borrowings remains constant over the remaining term. With respect to certain loans, the underwritten IRR calculation assumes certain estimates with respect to the timing and magnitude of future fundings for the remaining commitments and associated loan repayments, and assumes no defaults. IRR is the annualized effective compounded return rate that accounts for the time-value of money and represents the rate of return on an investment over a holding period expressed as a percentage of the investment. It is the discount rate that makes the net present value of all cash outflows (the costs of investment) equal to the net present value of cash inflows (returns on investment). It is derived from the negative and positive cash flows resulting from or produced by each transaction (or for a transaction involving more than one investment, cash flows resulting from or produced by each of the investments), whether positive, such as investment returns, or negative, such as transaction expenses or other costs of investment, taking into account the dates on which such cash flows occurred or are expected to occur, and compounding interest accordingly. There can be no assurance that the actual IRRs will equal the underwritten IRRs shown in the table. See “Item 1A—Risk Factors—The Company may not achieve its underwritten internal rate of return on its investments which may lead to future returns that may be significantly lower than anticipated” included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 for a discussion of some of the factors that could adversely impact the returns received by the Company from the investments shown in the table over time. Does not include CMBS. Includes $55.8 million of restricted cash related to the UBS Facility. Includes $30.1 million of restricted cash related to the UBS Facility. Represents an underwritten levered weighted average IRR. The Company's ability to achieve the underwritten levered weighted average IRR additionally depends upon the availability under the JPMorgan Facility or any replacement facility with similar terms with regard to its portfolio of first mortgage loans. Without such availability, the levered weighted average underwritten IRR will be lower than the amount shown above. Net of participations sold. Portfolio Metrics ($ in thousands) Q1 2016 Q4 2015 Q3 2015 Q2 2015 Q1 2015 (Investment balances represent amortized cost) First Mortgage Loans 1,173,185 $ 994,301 $ 905,681 $ 704,040 $ 563,390 $ Subordinate Loans (1) 965,900 966,343 926,304 894,926 736,838 CMBS 498,630 504,253 512,107 511,412 510,740 Total Investments 2,637,715 $ 2,464,897 $ 2,344,092 $ 2,110,378 $ 1,810,968 $ (Investment balances represent net equity, at cost) First Mortgage Loans 492,636 $ 502,431 $ 604,148 $ 275,205 $ 421,862 $ Subordinate Loans (1) 965,900 966,343 896,200 847,968 707,201 CMBS 143,644 (4) 100,476 (5) 108,330 (5) 107,635 (5) 106,963 (5) Net Equity in Investments at Cost 1,602,180 $ 1,569,250 $ 1,608,678 $ 1,230,808 $ 1,236,026 $ Fully- Levered Weighted Average Underwritten IRR (2) 14.5% (6) 13.8% (6) 13.9% (6) 14.6% (6) 14.2% (6) Weighted Average Duration 2.9 Years 3.1 Years 3.3 Years 3.1 Years 3.0 Years Loan Portfolio Weighted Average Ending LTV (3) 64.0% 65.0% 61.0% 62.0% 62.0% Borrowings Under Repurchase Agreements 1,083,665 $ 925,774 $ 735,437 $ 878,352 $ 575,433 $ Convertible Senior Notes 248,617 $ 248,173 $ 247,736 $ 247,305 $ 246,881 $ Debt-to-Common Equity 1.3x (7) 1.1x (7) 0.9x (7) 1.2x (7) 0.9x (7)

Financing Overview and Interest Rate Sensitivity Facility ($000s) Debt Balance Weighted Average Remaining Maturity(1) Weighted Average Rate UBS Facility $ 133,899 2.5 Years 2.8% Deutsche Bank Facility 276,868 2.0 Years 3.7% JPMorgan Facility (2) 635,676 2.8 Years 2.6% Goldman Sachs Loan 44,873 3.1 Years 4.0% Total Borrowings at March 31, 2016 $ 1,091,316 2.5 Years 2.9% Variable Rate Investments & Liabilities ($000s) Variable Rate Liabilities ARI anticipates a 0.5% increase in LIBOR results in approximately a $0.09 per diluted share of common stock increase in Operating Earnings annually(3) Assumes extension options on the UBS Facility are exercised. The debt balance as of March 31, 2016 includes $115,375 of borrowings for the first mortgage loans secured by an assemblage of properties in the Design District of Miami that does not count toward the maximum capacity under the JPM Facility. Based upon the Company’s portfolio as of March 31, 2016, any such hypothetical impact on interest rates on the Company’s variable rate borrowings does not consider the effect of any change in overall economic activity that could occur in a rising interest rate environment. Further, in the event of a change in interest rates of that magnitude, the Company may take actions to further mitigate the Company’s exposure to such a change. However, due to the uncertainty of the specific actions that would be taken and their possible effects, this analysis assumes no changes in the Company’s financial structure.

Financials

Consolidated Balance Sheets

Consolidated Statements of Operations

Reconciliation of Operating Earnings to Net Income

Financial Metrics – Quarterly Migration Summary Operating Earnings is a non-GAAP financial measure that is used by the Company to approximate cash available for distribution and is defined by the Company as net income available to common stockholders, computed in accordance with GAAP, adjusted for (i) equity-based compensation expense (a portion of which may become cash-based upon final vesting and settlement of awards should the holder elect net share settlement to satisfy income tax withholding), (ii) any unrealized gains or losses or other non-cash items included in net income available to common stockholders, (iii) unrealized income from unconsolidated joint ventures, (iv) foreign currency gains/losses, and (v) the non-cash amortization expense related to the reclassification of a portion of the convertible senior notes to stockholders’ equity in accordance with GAAP. Please see slide 18 for a reconciliation of Operating Earnings and Operating Earnings per Share to GAAP net income and GAAP net income per share. Return on common equity is calculated as annualized Operating Earnings for the period as a percentage of average stockholders’ equity for the period. Financial Metrics ($ in thousands, except per share data) Q1 2016 Q4 2015 Q3 2015 Q2 2015 Q1 2015 Net Interest Income 46,805 $ 43,241 $ 38,691 $ 32,817 $ 28,554 $ Management Fee 5,229 5,294 4,097 3,887 3,341 General and Administrative Costs 1,444 1,693 1,343 1,238 1,238 AMTG Transaction Expenses 5,073 - - - - Non-Cash Stock Based Compensation 1,668 1,286 756 821 1,117 Net Income Available to Common Stockholders 12,801 $ 21,378 $ 23,543 $ 22,798 $ 23,653 $ GAAP Diluted EPS 0.18 $ 0.32 $ 0.39 $ 0.39 $ 0.47 $ Operating Earnings (1) 29,819 $ 32,352 $ 31,742 $ 26,385 $ 22,222 $ Operating Diluted EPS (1) 0.44 $ 0.48 $ 0.53 $ 0.45 $ 0.44 $ Distributions Declared to Common Stockholders 0.46 $ 0.46 $ 0.44 $ 0.44 $ 0.44 $ GAAP Book Value per Share of Common Stock 15.89 $ 16.21 $ 16.35 $ 16.41 $ 16.44 $ Total Stockholders' Equity 1,357,050 $ 1,375,424 $ 1,384,395 $ 1,044,844 $ 1,046,482 $ Diluted weighted average shares of common stock outstanding 68,327,718 67,754,673 59,934,008 59,022,217 50,171,687 Return on Common Equity Based on Operating Earnings (2) 11.1% 11.8% 12.8% 11.0% 10.9%