Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Investor Presentation (June 2021)
34 slides from Tpg Mortgage Investment Trust's investor presentation, Jun 17, 2021
Slide 1: AG Mortgage Investment Trust, Inc. Investor Presentation June 2021
AG Mortgage Investment Trust, Inc. Investor Presentation June 2021
Slide 2: Forward Looking Statements
NYSE: MITT 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, our investments, our business and investment strateg
Slide 3: Table of Contents
3NYSE: MITT Table of Contents I. AG MITT’s Focused Mission…….……………………… 4 II. About Angelo Gordon and AG MITT…………………... 6 III. Market Opportunity: Non-Agency Residential Loans…… 11 A-I. Q1 2021 Financial Performance....……………………..... 19 A-II. Glossary....………………………………….…………..... 31
Slide 4: AG MITT's Focused Mission
AG MITT’s Focused Mission Section I: 4NYSE: MITT
Slide 5: AG MITT's Focused Mission: Non-Agency Residential Loans
5NYSE: MITT AG MITT’s Focused Mission Non-Agency Residential Loans Non-Agency Residential Loan Opportunity Recent regulatory and structural changes have created a dynamic investment period within the Non- Agency new origination mortgage market Current and anticipated market conditions demonstrat
Slide 6: About Angelo Gordon and AG MITT
About Angelo Gordon and AG MITT Section II: 6NYSE: MITT
Slide 7: Angelo Gordon
7NYSE: MITT Angelo Gordon * As of March 31, 2021. ** Approximate as of December 31, 2020. Includes GP, affiliate and employee related investments and accrued performance allocations. Includes committed, but uncalled capital. A leading privately held alternative investment firm with a focus on Credit
Slide 8: AG Mortgage Investment Trust
8NYSE: MITT AG Mortgage Investment Trust AG MITT is well positioned to utilize its differentiated and established infrastructure to both manufacture and acquire Non-Agency residential loans Hybrid mortgage REIT with a focus on acquiring Non- Agency residential loans Securitization platform used to s
Slide 9: AG MITT's Strategic Advantage
Deep Relationships Cultivating and developing relationships with experienced loan originators Flexible framework enables us to meet the specific needs of each originator Focus on building on-going and long-lasting relationships that are mutually beneficial to AG MITT and the originator Establi
Slide 10: AG MITT Leadership Team
10NYSE: MITT AG MITT Leadership Team Investment Professionals with significant experience within the residential mortgage market executing AG MITT’s strategy through an opportunistic and disciplined approach Angelo Gordon Resources Trading & Origination Asset Financing Research & Analytics Accountin
Slide 11: Market Opportunity: Non-Agency Residential Loans
Market Opportunity: Non-Agency Residential Loans Section III: 11NYSE: MITT
Slide 12: Market Opportunity
12NYSE: MITT Market Opportunity (1) A temporary category of Qualifying Mortgages “QM” (known as “The Patch”) for loans eligible to be purchased or guaranteed by the GSEs; “The Patch” is set to expire on July 1, 2021 (2) Part of CFPB’s Ability-to-Repay rule that contains standards for calculating and
Slide 13: Non-Agency Market Overview
13NYSE: MITT Non-Agency Market Overview (1) Bank of America Global Credit Research June 2021. (2) AG Survey conducted June 2021. (3) Source: BofA Global Research, Intex, Federal Reserve, Fannie Mae, Freddie Mac, Ginnie Mae. In today’s market conditions, there is a substantial need for private capita
Slide 14: The Funding Gap for Creditworthy Borrowers
14NYSE: MITT The Funding Gap for Creditworthy Borrowers (1) Source: eMBS, CoreLogic, HMDA, IMF, and Urban Institute. Measures of mortgage credit availability suggest a significant financing gap for Non-Agency borrowers 0 2 4 6 8 10 12 14 16 18 1999 2002 2004 2006 2008 2011 2013 2015 2017 2020 H ou s
Slide 15: AG MITT's Non-Agency Growth
15NYSE: MITT AG MITT’s Non-Agency Growth Substantial acquisition opportunities through both Arc Home and origination relationships built by the Angelo Gordon investment team $- $50 $100 $150 MITT Non-QM Buys Arc Home Non-QM Originations AG MITT acquired over $1.4 billion of Non-QM loans from 2017
Slide 16: AG MITT's GCAT Securitization Strategy
16NYSE: MITT AG MITT’s GCAT Securitization Strategy Providing liquidity to the housing market while investing in residential assets with forecasted equity returns of 14- 18% and emphasizing securitization for term, non-MTM financing AAA AA A BBB Non-IG Residual IO GCAT Shelf Sold to debt investors
Slide 17: GCAT 2021-NQM2 – Transaction Overview
17NYSE: MITT GCAT 2021-NQM2 – Transaction Overview (June 2021) AG MITT securitized a pool of ~$210mm of Non-QM loans, securing non-MTM, term financing through a Rated securitization with a 16% projected IRR on retained securities Executing our Securitization Strategy Aggregated and securitized ~$2
Slide 18: CDFI Partnerships & Impact Investing
18NYSE: MITT CDFI Partnerships & Impact Investing Recognizing the increasing importance of ESG principles, AG MITT partners with CDFIs to acquire investments delivering both Financial and Social returns One way AG MITT incorporates ESG principles in its investment strategy is by purchasing loans f
Slide 19: Q1 2021 Financial Performance
Q1 2021 Financial Performance Appendix I: 19NYSE: MITT
Slide 20: Financial Performance
Financial Performance • $4.92 Book Value per share and $4.76 Adjusted Book Value per share as of March 31, 2021, as compared to $4.13 and $3.94 as of December 31, 2020, respectively1,2 ◦ Adjusted Book Value subtracts the full liquidation preference of our preferred stock from total equity, which doe
Slide 21: Investment Portfolio and Financing
12/31/2019 3/31/2020 6/30/2020 9/30/2020 12/31/2020 3/31/2021 Yield on Investment Portfolio8 4.8% 6.0% 6.5% 5.3% 4.4% 4.4% Cost of Funds9 2.3% 3.3% 3.8% 3.0% 2.1% 1.7% Net Interest Margin10 2.5% 2.7% 2.7% 2.3% 2.3% 2.7% Economic Leverage Ratio7 4.1x 3.3x 0.8x 0.9x 1.5x 2.6x Investment Portfolio • $1
Slide 22: Investment Portfolio Allocation
Fair Value (mm) Percent of Fair Value Allocated Equity (mm)11 Percent of Equity Residential Investments(a) $876.8 46.2% $281.9 61.9% Agency RMBS(a) 918.8 48.4% 111.0 24.4% Commercial Investments 104.0 5.4% 62.4 13.7% Total Investment Portfolio $1,899.6 100.0% $455.3 100.0% Investment Portfolio Highl
Slide 23: Residential Investments
Description Fair Value (mm) Weighted Average Yield 8 Percent of Residential Portfolio Fair Value Percent of Investment Portfolio Fair Value Re/Non-Performing Loans(a) $480.9 7.0% 54.8% 25.3% Non-QM Loans(b) 358.4 7.1% 40.9% 18.9% Non-Agency RMBS(c) 14.8 13.6% 1.7% 0.8% Land Related Financing 22.7 14
Slide 24: Agency Portfolio Details
• 3.3% constant prepayment rate (“CPR”) on the Agency RMBS investment portfolio for Q1 2021. • Reduced prepayment speeds are representative of low coupon, new origination collateral characteristics. Description Fair Value (mm) Weighted Average Yield 8 Percent of Agency Portfolio Fair Value Percent o
Slide 25: Commercial Investments
Description Fair Value (mm) Weighted Average Yield 8 Percent of Commercial Portfolio Fair Value Percent of Investment Portfolio Fair Value Single-Asset/Single-Borrower $29.4 4.5% 28.3% 1.5% Freddie Mac K-Series(a) 16.4 8.7% 15.7% 0.8% Commercial Real Estate Loans 58.2 3.1% 56.0% 3.1% Total Commercia
Slide 26: Arc Home Update
• MITT, alongside other Angelo Gordon funds, owns Arc Home,13 a licensed mortgage originator. MITT indirectly owns approximately 44.6% of Arc Home • Arc Home re-entered the Non-QM market in July of 2020 and has since focused its efforts on growth within this product offering ◦ Non-QM originations gr
Slide 27: Duration Gap
Duration(a) Years Agency RMBS 3.47 Residential Loans(b) 0.88 Hedges (4.05) Subtotal 0.30 Credit Investments,5 excluding Residential Loans(b) 0.16 Duration Gap 0.46 Duration gap was approximately 0.58 years as of December 31, 2020 Duration(a) Years Agency RMBS 1.73 Hedges (2.20) Agency Subtotal (0.47
Slide 28: Book Value Roll-Forward
Amount (000’s) Per Share1 12/31/20 Book Value $ 171,227 $ 4.13 Common dividend (2,791) (0.06) Core earnings 3,474 0.08 Net proceeds from issuance of common stock and preferred share exchange offers(a) 22,247 0.03 Net realized and unrealized gain/(loss) included within equity in earnings/(loss) from
Slide 29: Reconciliation of GAAP Net Income to Core Earnings
Three Months Ended March 31, 2021 Amount (000’s) Per Diluted Share1 Net Income/(loss) available to common stockholders $ 38,683 $ 0.91 Add (Deduct): Net realized (gain)/loss 4,038 0.10 Unrealized (gain)/loss on real estate securities and loans, net 6,658 0.16 Unrealized (gain)/loss on derivative and
Slide 30: Footnotes and Definitions
1. Diluted per share figures are calculated using diluted weighted average outstanding shares in accordance with GAAP. 2. As of March 31, 2021, book value is calculated using stockholders’ equity less net proceeds of our cumulative redeemable preferred stock ($226.3 million) as the numerator. As of
Slide 31: Glossary
Glossary Appendix II: 31NYSE: MITT
Slide 32: Glossary
Adjusted Book Value: As defined in footnote 2 on slide 30. AG: Angelo Gordon or Angelo, Gordon & Co., L.P. Privately held, SEC-registered investment advisor of which AG REIT Management LLC, AG MITT’s external manager, is a wholly owned subsidiary. AG MITT: AG Mortgage Investment Trust, Inc. A hybrid
Slide 33: Contact Information
33 Contact Information Angelo Gordon 245 Park Avenue, 25th Floor | New York, NY 10167 AG Mortgage Investment Trust, Inc. Investor Relations +1(212) 692-2110 ir@agmit.com NYSE: MITT
Slide 34: www.agmit.com
www.agmit.com
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