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MTGE Investment (MTGE Investment) Probability of Financial Distress (%) : 50.00% (As of May. 01, 2024)


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What is MTGE Investment Probability of Financial Distress (%)?

Probability of Financial Distress (%) measures the probability that a company will go bankrupt in the upcoming year given its current financial position. A higher ratio indicates a larger probability of bankruptcy for the company, while a lower ratio indicates a healthier fundamental. As of today, MTGE Investment's Probability of Financial Distress (%) is 50.00%.

Like the Altman Z-Score, the PFD measures a company's bankruptcy risk. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.

Competitive Comparison of MTGE Investment's Probability of Financial Distress (%)

For the REIT - Diversified subindustry, MTGE Investment's Probability of Financial Distress (%), along with its competitors' market caps and Probability of Financial Distress (%) data, can be viewed below:

* Competitive companies are chosen from companies within the same industry, with headquarter located in same country, with closest market capitalization; x-axis shows the market cap, and y-axis shows the term value; the bigger the dot, the larger the market cap. Note that "N/A" values will not show up in the chart.

MTGE Investment's Probability of Financial Distress (%) Distribution in the REITs Industry

For the REITs industry and Real Estate sector, MTGE Investment's Probability of Financial Distress (%) distribution charts can be found below:

* The bar in red indicates where MTGE Investment's Probability of Financial Distress (%) falls into.


MTGE Investment Probability of Financial Distress (%) Calculation

Probability of Financial Distress (%) (PFD) was developed by John Campbell, Jens Hilscher and Jan Szilagyi in their Search of Distress Risk. It measures the probability that a company will go bankrupt within the next 12 months given its current financial position.

The Probability of Financial Distress (%) was obtained by a logit probability model based on eight explanatory variables. The logit formula to compute the probability of financial distress (LPFD) is given below:

LPFD= -20.12 * NIMTAAVG + 1.60 * TLMTA - 7.88 * EXRETAVG + 1.55 * SIGMA - 0.005 * RSIZE - 2.27 * CASHMTA + 0.070 * MB - 0.09 * PRICE -8.87
=0.00

The Probability of Financial Distress (%) (PFD) was then obtianed by:

PFD=1/(1 + e^(-LPFD))*100%
=50.00%

The eight explanatory variables are:

1. NIMTAAVG = Net Income to Market Total Assets

NIMTAAVG=Net Income / Market Total Assets
=Net Income / (Market Cap + Total Liabilities)

*Note that for companies reported quarterly, geometrically declining weighted quarterly Net Income data in latest four quarters are used.

2. TLMTA = Total liabilities to Market Total Assets

TLMTA=Total Liabilities / Market Total Assets

3. CASHMTA = Cash to Market Total Assets

For non-financial companies, CASHMTA is measured as:

CASHMTA=Cash, Cash Equivalents, Marketable Securities / Market Total Assets

4. EXRETAVG = Excess Return compared to the S&P 500

EXRETAVG is the weighted excess return compared to the S&P 500 in past 12 month. Geometrically declining weights are imposed on the monthly excess return to reflect lagged information. The weight is halved each quarter.

5. SIGMA = Standard Deviation of Daily Returns

For sigma, we use the annualized standard deviation of a company's returns over the past 92 days (or 63 trading days).

6. RSIZE = Relative Size

RSIZE=log (Market Cap / Total Market Cap of S&P 500 companies)

7. MB = Market to Adjusted Book Equity Ratio

MB=Market Cap / Adjusted Book Equity
=Market Cap / (Total Stockholders Equity + 0.1 * ( Market Cap - Total Stockholders Equity))

8. PRICE

PRICE is measured as the log of the stock price, capped at log(15).

MTGE Investment  (NAS:MTGEP.PFD) Probability of Financial Distress (%) Explanation

Like the Altman Z-Score, the PFD measures a company's bankruptcy risk in the upcoming year. However, the main drawback of the Z-score is it does not apply to banks and insurance companies. According to Investopedia, the concept of "working capital" does not apply to banks and insurance companies, as financial institutions do not have typical current assets or current liabilities like inventories or accounts payable.

MTGE Investment Probability of Financial Distress (%) Related Terms

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MTGE Investment (MTGE Investment) Business Description

Industry
GURUFOCUS.COM » STOCK LIST » Real Estate » REITs » MTGE Investment Corp (NAS:MTGEP.PFD) » Definitions » Probability of Financial Distress (%)
Comparable Companies
HIFR ASX:CLW BKK:WHART TSE:8977 XTER:HAB XPAR:ARG MIL:IGD JSE:IPF XTAE:RIT1 AFIN XMAD:YZBL AHH XBRU:WEHB XMAD:LRE SGX:CRPU JSE:ATT TSX:AX.UN XBRU:INTO RC TSE:8966
Traded in Other Exchanges
N/A
Address
Website
http://www.mtge.com
MTGE Investment is a hybrid mortgage REIT that invests in, finances, and manages a portfolio of agency mortgage-backed securities, nonagency mortgage investments, and other real estate-related assets. Its residential mortgage-backed securities, or RMBS, include residential mortgage pass-through certificates and collateralised mortgage obligations. Its nonagency mortgage investments comprise RMBS backed by residential mortgages, as well as prime and nonprime residential mortgage loans. The company generates its revenue from the interest earned and lease payments received on its investment assets. MTGE Investment's assets are externally managed by a subsidiary of AGNC Investment.
Executives
Julia Lynn Coronado director C/O DYNEX CAPITAL, INC., 4991 LAKE BROOK DRIVE, SUITE 100, GLEN ALLEN VA 23060
Robert M. Couch director AMERICAN CAPITAL AGENCY CORP., 2 BETHESDA METRO CENTER, 12TH FLOOR, BETHESDA MD 20814
Randy E. Dobbs director C/O VIEMED HEALTHCARE, INC, 625 E. KALISTE SALOOM RD, LAFAYETTE LA 70508
Sean Reid officer: CEO AGNC INVESTMENT CORP., 7373 WISCONSIN AVENUE, 22ND FLOOR, BETHESDA MD 20814
Steven W. Abrahams director MTGE INVESTMENT CORP., 2 BETHESDA METRO CENTER, 12TH FLOOR, BETHESDA MD 20814
Kenneth L. Pollack officer: SVP and Secretary AMERICAN CAPITAL AGENCY CORP., 2 BETHESDA METRO CENTER, 12TH FLOOR, BETHESDA MD 20814
Donald Holley officer: SVP and Chief Accounting Off. AMERICAN CAPITAL MORTGAGE INVESTMENT COR, 2 BETHESDA METRO CENTER, 12TH FLOOR, BETHESDA MD 20814
Aaron Pas officer: SVP AMERICAN CAPITAL MORTGAGE INVESTMENT COR, 2 BETHESDA METRO CENTER, 12TH FLOOR, BETHESDA MD 20814
Prue Larocca director AMERICAN CAPITAL AGENCY CORP., 7373 WISCONSIN AVENUE, 22ND FLOOR, BETHESDA MD 20814
Sab Capital Advisors Llc 10 percent owner 767 FIFTH AVENUE, 45TH FLOOR, NEW YORK NY 10153
Sab Capital Management Llc 10 percent owner 767 FIFTH AVENUE, 21ST FLOOR, NEW YORK NY 10153
Sab Capital Management Lp 10 percent owner 767 FIFTH AVENUE, 45TH FLOOR, NEW YORK NY 10153
Scott A Bommer 10 percent owner 712 FIFTH AVE, NEW YORK NY 10019
Christopher Kuehl officer: SVP, Agency Portfolio Invt AMERICAN CAPITAL AGENCY CORP., 7373 WISCONSIN AVENUE, 22ND FL, BETHESDA MD 20814
John R Erickson director, officer: EVP, CFO and Asst. Sec. 2 BETHESDA METRO CENTER, 14TH FLOOR, BETHESDA MD 20814