Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q1 2013 Earnings Presentation
24 slides from Tpg Mortgage Investment Trust's earnings presentation, May 6, 2013
Slide 1: Q1 2013 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q1 2013 Earnings Presentation May 6, 2013
Slide 2: Forward Looking Statements
Forward Looking Statements This press release 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 future dividends, the credit component of our portfolio book valve, deploying capita
Slide 3: Q1 2013 MITT Earnings Call Presenters
Q1 2013 MITT Earnings Call Presenters Title David Roberts Chief Executive Officer Jonathan Lieberman Chief Investment Officer Frank Stadelmaier Chief Financial Officer Lisa Yahr Head of Investor Relations NYSE: MITT 2
Slide 4: Q1 2013 Highlights
Q1 2013 Highlights AG Mortgage Investment Trust, Inc. is an actively managed REIT that opportunistically invests in a diversified risk-adjusted portfolio of Agency RMBS, Non-Agency RMBS, ABS, CMBS and commercial loans $0.49 per share of net income available to common stockholders8 Net realized g
Slide 5: Q1 2013 Portfolio Summary
Q1 2013 Portfolio Summary $5.1 billion investment portfolio as of March 31, 20133, 7 73.5% Agency RMBS 26.5% credit securities (Non-Agency RMBS, ABS, CMBS and Commercial Loan Assets) 8.8% constant prepayment rate (“CPR”)4 on the Agency RMBS portfolio for the first quarter 7.7% CPR for the
Slide 6: Economic Outlook
Economic Outlook Our global economic outlook, along with available risk-adjusted returns, liquidity considerations and mark-to-market volatility are the building blocks for portfolio construction and asset allocation Despite the recent growth and interest rate scare, macro-economic and geopolitica
Slide 7: Rates/Agency MBS Sold Off While the Credit Rally Continued
Rates/Agency MBS Sold Off While the Credit Rally Continued Interest Rates 6/30/2012 9/30/2012 12/31/2012 3/31/2013 Agency RMBS 6/30/2012 9/30/2012 12/31/2012 3/31/2013 Treasuries Fannie Mae Pass-Thrus 2-year 0.303 0.232 0.249 0.244 15 year 2.50% $103-03+ $105-04+ $104-14+ 103-21+ 5-year 0.719 0.626
Slide 8: Q1 2013 Investment Portfolio Composition
Q1 2013 Investment Portfolio Composition 7 Current Premium Amortized Fair Weighted Average Weighted Average Face (Discount) Cost Value Coupon * Yield Agency RMBS 15-year fixed rate $795,805,817 $30,264,770 $826,070,587 $842,040,858 3.09% 2.26% 20-year fixed rate 306,812,999 14,157,237 320,970,236 32
Slide 9: Q1 2013 Agency Portfolio
Q1 2013 Agency Portfolio Multi-factor approach to agency portfolio construction, including prepayment risk, duration, economic outlook and integration of our rate outlook with market expectations for interest rates Over 60% of specified pools backed by prepayment protected collateral including low
Slide 10: Q1 2013 Credit Portfolio
Q1 2013 Credit Portfolio Increased investments in credit securities during the quarter to 26.5% Diversified credit portfolio includes securities that offer positive optionality to a continued recovery in the U.S. residential real estate market Discount credit securities integrate with the Agency
Slide 11: Leverage and Portfolio Liquidity
Leverage and Portfolio Liquidity Portfolio leverage of 5.38x as of March 31, 2013 Asset Class Leverage(9)(10) • During the quarter, leverage increased from 5.26x as of Agency RMBS 7.2x December 31, 2012 Non-Agency RMBS 3.6x • Leverage remains within our targeted range while leaving excess capacity t
Slide 12: Financing Summary
Financing Summary Master Repurchase Agreements with 30 financial institutions Weighted average original maturity of 87 days as of March 31, unchanged from December 31, 2012* Maximum exposure to any one counterparty of approximately 9% at quarter end with the weighted average being less than 5%
Slide 13: Hedging Summary
Hedging Summary Hedging policy will not eliminate interest rate risk and market value risk. Rather, we seek to protect net interest margin and book value within a band of risk based upon interest rate expectations. Standard interest rate swaps 83% of total Agency RMBS repo notional hedged12, inc
Slide 14: Duration Gap and Interest Rate Sensitivity
Duration Gap and Interest Rate Sensitivity Duration gap is a measure of the difference in the interest rate sensitivity of our assets and liabilities Duration gap of the portfolio was approximately 1.3 years as of March 31, 2013, a decrease of 0.3 years from December 31, 2012 Duration Years Assets
Slide 15: Q1 2013 Financial Metrics
Q1 2013 Financial Metrics Weighted Average at Weighted Average for the Quarter Operating Metrics7 March 31, 2013 Ended March 31, 2013 Investment portfolio3 $5,113,318,177 $5,015,180,659 Repurchase agreements $4,357,022,229 $4,267,050,037 Stockholders’ equity $800,971,113 $794,488,858 Leverage ratio5
Slide 16: Supplemental Slides
Supplemental Slides NYSE: MITT
Slide 17: Quarter-over-Quarter Snapshot
Quarter-over-Quarter Snapshot Investment Portfolio Book Value Core Earnings 6,000 $24.00 $23.71 $1.10 $1.03 $23.47 5,000 $23.50 $1.00 $23.16 $0.86 $0.85 $973 $1,080 $1,357 $0.90 4,000 $23.00 $0.75 $ Millions $0.80 3,000 $22.50 $0.70 $441 2,000 $3,954 $3,786 $3,757 $22.00 $21.78 $0.60 $2,249 $0.50 1,
Slide 18: MITT Strategy & Competitive Advantages
MITT Strategy & Competitive Advantages Strategy and Investment Philosophy Emphasis on constructing a portfolio reflective of our view of the macro-economy and the current investment landscape Hybrid structure allows us to benefit from the Investment landscape breadth and expertise of Angelo, Gor
Slide 19: Market Landscape and Opportunity
Market Landscape and Opportunity The housing finance market continues to be in a period of transition with private investors likely to play a larger role as the Evolution of Housing government seeks to diminish its role in Finance the mortgage market Domestic banks adapting to ever- changing reg
Slide 20: MITT Prepayments
MITT Prepayments Quarterly CPR 10.0% 8.80% 7.80% 8.0% 6.20% 6.0% 5.50% 4.0% 2.0% 0.0% Q2 2012 Q3 2012 Q4 2012 Q1 2013 MITT single digit prepayment experience despite historically low mortgage rates and elevated refinancing activity 7500 5.5 6500 5 30yr Mortgage Rate 5500 4.5 Refi Index 4500 4 3500 3
Slide 21: Prepayment Themes
Prepayment Themes Over the course of 2013 we expect an increase in organic refinancing activity as capacity constraints ease and the primary/secondary spread continues to revert to historical norms 4.25 1.8 Primary/Secondary Spread 1.7 4 1.6 3.75 1.5 3.5 Primary/Secondary Spread 1.4 1.3 3.25 1.2 3 C
Slide 22: Footnotes
Footnotes 1. Core Earnings is defined as net income excluding both realized and unrealized gains (losses) on the sale or termination of securities, including those underlying linked transactions, investments in affiliates and derivatives. 2. Per share figures are calculated using a denominator of al
Slide 23: Footnotes (cont.)
Footnotes (cont.) 10. Unpledged cash has been allocated using equity by product type as a basis for allocation. 11. Liquidity is defined as unpledged cash and unpledged Agency RMBS, excluding unsettled trades. 12. The swap ratio during the quarter was calculated by dividing our daily weighted averag
Slide 24: Contact Information
Contact Information ANGELO, GORDON & CO. 245 Park Avenue, 26th Floor New York, NY 10167 Telephone: (212) 692-2000 Facsimile: (212) 867-9328 Email: lyahr@angelogordon.com www.agmit.com NYSE: MITT
AG Mortgage Investment Trust — Q1 2013 Earnings Presentation on 6ix