Tpg Mortgage Investment Trust, Inc. · NYSE:MITT

Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q3 2014 Earnings Presentation

22 slides from Tpg Mortgage Investment Trust's earnings presentation, Nov 5, 2014

  1. Slide 1: AG Mortgage Investment Trust Q3 2014 Earnings Presentation

    AG Mortgage Investment Trust, Inc. Q3 2014 Earnings Presentation November 5, 2014

  2. 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 future dividends, the credit component of our portfolio book value, deploying capital

  3. Slide 3: Q3 2014 MITT Earnings Call Presenters

    Q3 2014 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

  4. Slide 4: Q3 2014 Performance and Highlights

    Q3 2014 Performance and Highlights  $0.67 per diluted common share of Net Income1  $0.63 per diluted common share of Core Earnings2  $0.64 less a $0.01 retrospective adjustment  Includes $0.04 of dollar roll income associated with the average net position in agency mortgage-backed securities (“M

  5. Slide 5: Q3 2014 Performance and Highlights (cont'd)

    Q3 2014 Performance and Highlights (cont’d)  4.05x “At Risk” Leverage8 including implied leverage from net TBA position and 2.92% Net Interest Margin (“NIM”) excluding net TBA position as of September 30, 20145, 8, 9 12/31/2013 3/31/2014 6/30/2014 9/30/2014 Yield on Investment Portfolio11 4.13% 4.2

  6. Slide 6: 2014 Outlook and Positioning

    2014 Outlook and Positioning  Macro-economic expectation  In October the Federal Reserve completed its taper of QE3. Potentially could raise short term interest rates in early to mid 2015  Domestic economy continues to show modest growth improvement, but global economy regressing  Housing stable

  7. Slide 7: Q3 2014 Investment Portfolio Composition

    Q3 2014 Investment Portfolio Composition 5 Current Premium Amortized Fair Weighted Average Weighted Average Face (mm) (Discount) (mm) Cost (mm) Value (mm) Coupon * Yield *** Agency RMBS 20-30 Year Fixed Rate $1,102.5 $55.7 $1,158.2 $1,158.9 3.9% 3.2% Fixed Rate CMO 90.7 0.9 91.6 92.5 3.0% 2.8% Hybri

  8. Slide 8: Q3 2014 Agency Portfolio Details

    Q3 2014 Agency Portfolio Details Current Face Fair Value Weighted Average Weighted Average Description Funding Cost* NIM** (mm) (mm) Coupon Yield* 20-year fixed rate $130.9 $137.6 3.7% 2.8% 0.3% 2.5% 30-year fixed rate 971.6 1,021.3 3.9% 3.2% 0.4% 2.8% Fixed rate CMO 90.7 92.5 3.0% 2.8% 0.4% 2.4% Hy

  9. Slide 9: Q3 2014 Credit Portfolio Details

    Q3 2014 Credit Portfolio Details Current Face Fair Value Weighted Average Weighted Average Description Funding Cost NIM** (mm) (mm) Coupon* Yield Non-Agency RMBS: Prime*** $398.1 $351.0 4.8% 5.7% 1.8% 3.9% Alt A**** 579.0 479.0 4.2% 5.6% 1.9% 3.7% Subprime 236.0 216.7 2.2% 6.7% 1.7% 5.0% Senior Shor

  10. Slide 10: Financing and Duration Gap

    Financing and Duration Gap  Master Repurchase Agreements with 33 financial institutions  Currently financing investments at 24 of the financial institutions  Weighted average funding cost of 0.4% for Agency RMBS and 1.9% for credit securities Repurchase Agreements ($ in thousands ) Original Repo

  11. Slide 11: Hedging and Interest Rate Sensitivity Summary

    Hedging and Interest Rate Sensitivity Summary  Excluding net TBA position, 106% of total Agency RMBS repo notional and 59% of total repo balance hedged6 as of September 30, 2014. Hedge ratio at quarter end including net TBA position was 93% of Agency RMBS repo notional and 55% of total repo notiona

  12. Slide 12: Q3 2014 Financial Metrics

    Q3 2014 Financial Metrics ($ in thousands) Weighted Average for Operating Metrics5 September 30, 2014 the Quarter Ended September 30, 2014 Investment portfolio including net TBA position4, 5 $3,642,655 $3,723,414 Investment portfolio excluding net TBA position $3,432,014 $3,638,618 Repurchase agreem

  13. Slide 13: Supplemental Information & Financial Statements

    Supplemental Information & Financial Statements NYSE: MITT

  14. Slide 14: Quarter-over-Quarter Snapshot

    Quarter-over-Quarter Snapshot Investment Portfolio Book Value Leverage 4000 88 211 6.00 3500 $20.50 $20.33 $20.26 5.50 3000 1,297 1,447 1,632 2500 1,612 5.00 $20.00 $ Millions 2000 4.50 4.42 4.36 4.25 4.37 $19.53 1500 $19.50 4.05 2,423 2,333 2,202 $19.14 4.00 3.77 1000 1,820 500 $19.00 3.50 0 3.00 Q

  15. Slide 15: Market Snapshot

    Market Snapshot Interest Rates 12/31/2013 3/31/2014 6/30/2014 9/30/2014 Agency RMBS 12/31/2013 3/31/2014 6/30/2014 9/30/2014 Treasuries Fannie Mae Pass-Thrus 2-year 0.382 0.420 0.459 0.569 15 year 2.50% 98-29+ 99-30+ 101-16+ 100-20+ 5-year 1.743 1.719 1.631 1.757 15 year 3.00% 102-00+ 102-23+ 103-25

  16. Slide 16: Quarter-over-Quarter Book Value Roll-Forward

    Quarter-over-Quarter Book Value Roll-Forward Amount (000’s) Per Share3 6/30/14 Book Value $ 575,021 $ 20.26 Common Dividend (17,031) (0.60) Core Earnings 17,813 0.63 Equity based compensation 85 0.00 867 0.03 Net realized gains 10,539 0.37 Net realized and unrealized gains on linked transactions 1,5

  17. Slide 17: Undistributed Taxable Income Roll-Forward

    Undistributed Taxable Income Roll-Forward 10 Amount (000’s) Per Share3 6/30/14 Undistributed Taxable Income $ 54,104 $ 1.91 Q3 Core Earnings 17,813 $0.63 Q3 Recurring Core-Tax Differences (615) (0.03) Q3 Non-Recurring Core-Tax Differences (583) (0.02) Q3 2014 Ordinary Taxable Income, Net of Q3 Prefe

  18. Slide 18: Condensed Consolidated Balance Sheet

    Condensed Consolidated Balance Sheet September 30, 2014 (Unaudited) Amount (000’s) Assets Real estate securities, at fair value $ 3,101,770 Residential mortgage loans, at fair value 83,711 Commercial loans, at fair value 72,800 Investment in affiliates 13,689 Excess mortgage servicing rights, at fai

  19. Slide 19: Condensed Consolidated Statement of Operations

    Condensed Consolidated Statement of Operations Three Months Ended Nine Months Ended September 30, 2014 September 30, 2014 (Unaudited) (Unaudited) Amount (000’s) Net Interest Income Interest income $ 36,198 $ 106,420 Interest expense 6,820 19,750 29,378 86,670 Other Income Net realized gain 10,539 9,

  20. Slide 20: 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 realized and unrealized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or di

  21. Slide 21: Footnotes (cont.)

    Footnotes (cont.) 10. Undistributed taxable income per common share represents total undistributed taxable income as of quarter end. 11. The yield on our investment portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment an

  22. Slide 22: 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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