Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — Q3 2021 Earnings Presentation
27 slides from Tpg Mortgage Investment Trust's earnings presentation, Nov 5, 2021
Slide 1: AG Mortgage Investment Trust Q3 2021 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q3 2021 Earnings Presentation September 30, 2021
Slide 2: Forward Looking Statements and Non-GAAP Financial Information
Forward Looking Statements and Non-GAAP Financial Information 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, book value, a
Slide 3: Q3 2021 MITT Earnings Call Presenters
Q3 2021 MITT Earnings Call Presenters David Roberts T.J. Durkin Nicholas Smith Anthony Rossiello Chief Executive Officer President Chief Investment Officer Chief Financial Officer NYSE: MITT 3
Slide 4: MITT: Residential Credit Mortgage REIT
MITT: Residential Credit Mortgage REIT Roadmap of our focused mission Simplify our business Grow in Residential Credit Securitize our portfolio • Book Value increase of 37% year to • Favorable market conditions • Rotating our existing equity into date through Q3 led by profitable supporting Non-Agen
Slide 5: Q3 2021 Performance and Highlights
Q3 2021 Performance and Highlights $16.92 and $16.45 - Increase of approximately 12% from $15.18 and $14.72 as of June 30, 2021, respectively1 Book Value and Adjusted Book - Quarterly economic return of 13.2%, compared with 4.6% for the quarter ended June 30, 20212 Value1 per share - Compared to $2.
Slide 6: Q3 2021 Activity
Q3 2021 Activity Investment Activity Non-Agency Loan Purchases Arc Home Originations Exit of Commercial Investments Other Investment Activity Purchased $397 million of Non- Originated approximately $400 Received full repayment, Received $29.3 million of net QM Loans and $213 million of million of No
Slide 7: Liquidity Positions MITT for Future Growth
Liquidity Positions MITT for Future Growth Total Liquidity as of October 31, 2021 was approximately $91 million, inclusive of $67 million of cash and $24 million of unencumbered Agency RMBS Resulted in $13.0 million of gains during Q3 2021 Represents $39.5 million and $8.2 million of equity invested
Slide 8: Continued Investment Portfolio Migration
Continued Investment Portfolio Migration3,4 Repositioning to a Pure-Play Residential Credit Mortgage REIT, simplifying our investment base while growing our investment portfolio to $2.2 billion Purchased New Origination Loans(a) $1.4bn Exited Commercial Investments $2.2bn As of December 31, 2020 As
Slide 9: Earnings Power Enhanced Through Future Securitizations
Earnings Power Enhanced Through Future Securitizations Redeploying equity into securitizations provides for upside in earnings outlook, targeting forecasted equity returns of 14-18% Approximately 40% of our equity is available to Key Earnings Dynamics to be rotated into securitizations: • Executing
Slide 10: Q3 2021 Residential Portfolio Details
Q3 2021 Residential Portfolio Details Weighted Average Description Fair Value (mm) Financing (mm) Cost of Funds11 Yield10 MITT Non-QM Loans (Warehouse Financed) $545.6 3.7 % $458.7 2.7 % MITT Non-QM Loans (Securitized) 484.4 3.6 % 470.0 1.3 % GSE Non-Owner Occupied Loans (Warehouse Financed) 214.6 3
Slide 11: Non-Agency New Origination Loan Snapshot
Non-Agency New Origination Loan Snapshot Non-QM Loan Growth New Origination Loan Portfolio Characteristics as of September 30, 2021 • Since January 2021, directly acquired $1.1 billion of Non-QM MITT Non-QM MATT(b) Non-QM GSE Non-Owner Loans, of which $433.4 million were acquired from Arc Home Loans
Slide 12: Arc Home: MITT's Proprietary Origination Channel
Arc Home: MITT's Proprietary Origination Channel12 Arc Home’s Earnings Contribution – three months ended September 30, 2021 (in millions) Arc Home Balance Sheet (in millions) Q3 2021 Q2 2021 Operating Pre-Tax Net MITT's After- Equity in Earnings to MSR MTM Elimination(c) Income Income Tax Share(b) M
Slide 13: Arc Home: MITT's Proprietary Origination Channel (continued)
Arc Home: MITT's Proprietary Origination Channel12 (continued) • Arc Home continues to drive growth in Non-Agency originations: ◦ Quarterly origination volumes consistent throughout the year while shifting product mix towards Non-Agency ◦ Non-QM Loan originations grew to approximately $400 million i
Slide 14: Re/Non-Performing Loan Snapshot
Re/Non-Performing Loan Snapshot Collateral and Performance Detail Composition CPR Liquidations COVID Relief Collateral performance relatively Portfolio currently prepaying at Liquidated 49% of the portfolio 26% of borrowers have received stable over last 12 months ~12% on average with CPRs since Jun
Slide 15: Q3 2021 Agency Portfolio Details
Q3 2021 Agency Portfolio Details Agency Portfolio Highlights • As of September 30, 2021, 22.2% of our equity has been allocated to Agency RMBS9 • Reduced our Agency RMBS exposure during the quarter by $190 million and repositioned equity into our Non-Agency loan strategy • As of quarter end, $60.7 m
Slide 16: Financing Profile
Financing Profile4 Continued shift towards securitized debt with warehouse capacity (a) in place to facilitate our future loan purchases $1.9bn of Financing Loan Financing Capacity as of September 30, 2021 as of September 30, 2021 in millions $760 million of Non-QM and GSE Non-Owner Occupied loans a
Slide 17: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Diluted Share6 6/30/21 Book Value $ 245,406 $ 15.18 Common dividend (3,354) (0.21) Core earnings 15,481 0.96 Net repurchase of common stock (2,767) 0.07 Net realized and unrealized gain/(loss) included within equity in earnings/(loss) from affiliates (8,118
Slide 18: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings7 Three Months Ended September 30, 2021 Amount (000’s) Per Diluted Share6 Net Income/(loss) available to common stockholders $ 29,993 $ 1.87 Add (Deduct): Net realized (gain)/loss 5,460 0.34 Unrealized (gain)/loss, net (29,461) (1.83) Equity in (earn
Slide 19: Executing on our Focused Mission
Executing on our Focused Mission With MITT’s strategic advantages and proven platform, we are executing our strategy to drive growth and become a leader in the expanding Non-Agency residential loan space Portfolio Successfully exited all non-Core assets and actively managing our legacy RPL/NPL portf
Slide 20: Appendix
Appendix NYSE: MITT 20
Slide 21: Executing our Securitization Strategy
Executing our Securitization Strategy MITT securitized approximately $267.9 million of Non-QM Loans, securing non-MTM, term financing through a Rated securitization with a high-teens projected IRR on retained securities Hypothetical Securitization Example GCAT 2021-NQM4 Transaction Overview (August
Slide 22: MITT & Corporate Social Responsibility
MITT & Corporate Social Responsibility Angelo Gordon's values of integrity, fairness, honesty, entrepreneurship and long-term value guides MITT's business and commitment to corporate responsibility Responsible Investing Operational Impact/Governance • Industry Recognized Transactions with Community
Slide 23: Market Snapshot
Market Snapshot Interest Rates 9/30/20 12/31/20 3/31/21 6/30/21 9/30/21 Treasuries 2-year 0.127 0.121 0.160 0.249 0.348 5-year 0.277 0.361 0.939 0.889 1.045 10-year 0.684 0.913 1.740 1.468 1.514 Swaps 3 month LIBOR 0.234 0.238 0.194 0.146 0.130 2-year swaps 0.220 0.198 0.292 0.328 0.488 5-year swaps
Slide 24: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet September 30, 2021 (Unaudited) Amount (000’s) Assets Liabilities Residential mortgage loans, at fair value $ 1,607,066 Financing arrangements $ 1,160,519 Real estate securities, at fair value 509,980 Securitized debt, at fair value 708,421 Investments in debt and
Slide 25: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended September 30, 2021 (Unaudited) Amount (000’s) Net Interest Income Total Earnings/(Loss) Per Share of Common Stock Interest income $ 19,629 Earnings/(Loss) Per Share - Basic $ 1.87 Interest expense 7,197 Earnings/(Loss) Per Share - Dil
Slide 26: Footnotes
Footnotes 1. As of September 30, 2021, book value is calculated using stockholders’ equity less net proceeds of our cumulative redeemable preferred stock ($220.5 million) as the numerator. As of September 30, 2021, adjusted book value is calculated using stockholders’ equity less the liquidation pre
Slide 27: www.agmit.com
AG MITT www.agmit.com
TPG Mortgage Investment Trust — Q3 2021 Earnings Presentation on 6ix