Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q3 2016 Earnings Presentation
29 slides from Tpg Mortgage Investment Trust's earnings presentation, Nov 4, 2016
Slide 1: AG Mortgage Investment Trust, Inc. Q3 2016 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q3 2016 Earnings Presentation November 4, 2016
Slide 2: Forward Looking Statements
Forward Looking Statements This presentation includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 related to dividends, our strategy related to our investments and portfolio, liquidity and finan
Slide 3: Q3 2016 MITT Earnings Call Presenters
Q3 2016 MITT Earnings Call Presenters Title David Roberts Chief Executive Officer Jonathan Lieberman President/Chief Investment Officer Brian Sigman Chief Financial Officer Karen Werbel Head of Investor Relations NYSE: MITT 2
Slide 4: Q3 2016 Performance and Highlights
Q3 2016 Performance and Highlights $1.54 of Net Income/(Loss) per diluted common share1 $0.50 of Core Earnings2 per diluted common share Includes $0.01 attributable to Arc Home and a de minimis retrospective adjustment during the quarter 8.9% economic return on equity for the quarter, 35.5%
Slide 5: Q3 2016 Performance and Highlights (cont'd)
Q3 2016 Performance and Highlights (cont’d) Repurchased 181,842 shares or $2.9 mm of common stock during the quarter for an average purchase price of $15.74; net accretion to book value of $0.01 To date, repurchased 741,410 shares of common stock at a cost of $10.4 mm; $14.6 mm remains authorize
Slide 6: Q3 2016 Performance and Highlights (cont'd)
Q3 2016 Performance and Highlights (cont’d) 2.97% Net Interest Margin (“NIM”) as of September 30, 20169 Decline in yield primarily due to the monetization of higher yielding investments, resulting in a decline in Net Interest Margin 3.2x “At Risk” Leverage5, 8 9/30/2015 12/31/2015 3/31/2016 6/
Slide 7: Q3 2016 Performance and Highlights (cont'd)
Q3 2016 Performance and Highlights (cont’d) Agency RMBS and Derivatives: Converted $100.0 mm of TBA to Agency RMBS 30 year new production pools at a minimal payup18 over TBA Reduced payup risk in portfolio on the margin Sold face value of $73.7 mm higher coupon call protected Agency RMBS 30
Slide 8: Arc Home Update
Arc Home17 Update Arc Home serves as both an offensive and defensive strategy for the Company Should rates fall, Arc Home is positioned to participate in a refinancing wave Should rates rise, Arc Home is expected to benefit from the increased value of servicing strips created by Mortgage Servi
Slide 9: Outlook and Positioning
Outlook and Positioning Macro-economic expectation In September, the FOMC maintained rates and revised inflation marginally lower The FOMC is widely expected to increase the federal funds rate by year-end The FOMC lowered forward guidance for the short run median federal funds rate and the l
Slide 10: Q3 2016 Investment Portfolio Composition
Q3 2016 Investment Portfolio Composition 4,5 Current Premium Amortized Fair Weighted Average Weighted Average Face (mm) (Discount) (mm) Cost (mm) Value (mm) Coupon * Yield Agency RMBS 30 Year Fixed Rate 807.1 33.9 841.0 863.6 3.6% 2.9% Fixed Rate CMO 67.5 0.5 68.0 70.0 3.0% 2.8% Hybrid ARM 217.2 (2.
Slide 11: Q3 2016 Agency Portfolio Details
Q3 2016 Agency Portfolio Details Current Face Fair Value Weighted Weighted Description Funding Cost NIM (mm) (mm) Average Coupon Average Yield* 30-year fixed rate 807.1 863.6 3.6% 2.9% 0.8% 2.1% Fixed rate CMO 67.5 70.0 3.0% 2.8% 0.8% 2.0% Hybrid ARM 217.2 224.4 2.4% 2.8% 0.9% 1.9% Inverse Interest
Slide 12: Q3 2016 Credit Portfolio Details
Q3 2016 Credit Portfolio Details Current Face Fair Value Weighted Average Weighted Average Description Funding Cost NIM(c) (mm) (mm) Coupon(b) Yield Residential Investments: Prime(a) 653.2 548.8 4.0% 5.6% 2.0% 3.6% Alt-A(a) 254.3 222.0 4.2% 5.0% 2.1% 2.9% Subprime(a) 124.9 119.7 3.8% 5.0% 2.0% 3.0%
Slide 13: Q3 2016 Credit Portfolio Details (cont'd)
Q3 2016 Credit Portfolio Details (cont’d) Residential Investments (Fair Value) Commercial Investments (Fair Value) Residential Excess MSR, Securitized Loans, 3.8% 0.0% Commercial Whole Loans, 4.3% Loans, 15.3% CMBS RPL/NPL, 10.5% Interest Only, 18.5% Credit Risk Transfer Securities, 6.2% CMBS, 49.9%
Slide 14: Financing
Financing Financing arrangements with 38 counterparties Currently financing investments at 22 of the counterparties Weighted average funding cost of 0.8% for Agency RMBS and 2.2% for Credit Investments Financing counterparties remain stable Repurchase Agreements* ($ in thousands ) Maturing W
Slide 15: Duration Gap and Interest Rate Sensitivity Summary
Duration Gap14 and Interest Rate Sensitivity Summary Duration gap of the Agency and Credit portfolio was approximately 1.81 years as of September 30, 2016, versus 1.63 years as of June 30, 2016 Duration Years Agency 1.17 Credit 1.23 Hedges (0.50) Repo Agreements (0.09) Duration Gap 1.81 The inte
Slide 16: Hedging
Hedging Added Eurodollar hedges in Q2 immediately post-Brexit vote when probability of Fed tightening of monetary policy in 2016 fell to 0% Duration gap increased in Q3 as we unwound these hedges when market implied probability of Fed tightening of monetary policy by year-end reached more reason
Slide 17: Q3 2016 Financial Metrics
Q3 2016 Financial Metrics ($ in thousands) Weighted Average for Key Statistics5 September 30, 2016 the Quarter Ended September 30, 2016 Investment portfolio including net TBA position4, 5 $2,748,922 $2,654,436 Investment portfolio excluding net TBA position $2,748,922 $2,676,571 Repurchase agreement
Slide 18: Non-GAAP Financial Information
Non-GAAP Financial Information In addition to the results presented in accordance with GAAP, this presentation includes certain non-GAAP financial results and financial metrics derived therefrom, which are calculated by including or excluding unconsolidated investments in affiliates, TBAs, and U.S
Slide 19: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT
Slide 20: Quarter-over-Quarter Snapshot
Quarter-over-Quarter Snapshot FMV of Investment Portfolio Book Value Leverage 3500 77 $20.00 $18.49 5.00 3000 104 $17.88 $17.22 $17.42 2500 4.00 3.5 3.4 3.4 3.4 3.2 3.2 $15.00 $ Millions 2000 1,617 1,560 1,497 1,550 3.00 1500 $10.00 2.00 1000 500 1,201 1,183 1,167 1,199 1.00 $5.00 0 0.00 Q4 2015 Q1
Slide 21: Market Snapshot
Market Snapshot Interest Rates 9/30/15 12/31/15 3/31/16 6/30/16 9/30/16 Agency RMBS 9/30/15 12/31/15 3/31/16 6/30/16 9/30/16 Treasuries Fannie Mae Pass-Thrus 2-year 0.631 1.050 0.723 0.584 0.764 15 year 2.50% 102-00+ 100-27+ 102-22+ 103-16+ 103-18+ 5-year 1.358 1.761 1.206 1.000 1.150 15 year 3.00%
Slide 22: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share3 6/30/16 Book Value $ 485,307 $ 17.42 Common dividend (13,157) (0.48) Core earnings 14,013 0.50 Equity based compensation 106 - Repurchase of common stock (2,862) (0.10) Accretion/(dilution) from common stock buyback - 0.11 Capital Appreciation/(Reduc
Slide 23: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Amount (000’s) Per Share1 3 Months Ended September 30, 2016 Net Income/(loss) available to common stockholders $ 42,765 $ 1.54 Add (Deduct): Net realized (gain)/loss (9,578) (0.34) Drop income 130 0.00 Equity in (earnings)/loss from affiliates (534
Slide 24: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share3 6/30/16 Undistributed Taxable Income $ 51,930 $ 1.86 Net accretion/(dilution) from common stock buyback - 0.01 Q3 Core Earnings 14,013 0.50 Q3 Recurring Core-Tax Differences 1,204 0.05 Q3 Non-Recurring Core-Tax Differences 1,115 0.0
Slide 25: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet September 30, 2016 (Unaudited) Amount (000’s) Assets Real estate securities, at fair value $ 2,608,901 Residential mortgage loans, at fair value 42,648 Commercial loans, at fair value 44,800 U.S. Treasury Securities, at fair value 101,612 Investments in debt and
Slide 26: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended September 30, 2016 (Unaudited) Amount (000’s) Net Interest Income Interest income $ 30,573 Interest expense 8,525 22,048 Other Income Net realized gain/(loss) 9,578 Realized loss on periodic interest settlements of derivative instrume
Slide 27: Footnotes
Footnotes 1. Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. 2. Core Earnings are defined as net income excluding both unrealized and realized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or di
Slide 28: Footnotes (cont.)
Footnotes (cont.) 10. The yield on our investment portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter end. The yield on our investment portfolio during the quarter was calculated by
Slide 29: Contact Information
Contact Information ANGELO, GORDON & CO. 245 Park Avenue, 26th Floor New York, NY 10167 Telephone: (212) 692-2110 Email: ir@agmit.com www.agmit.com NYSE: MITT
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