Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q3 2019 Earnings Presentation
28 slides from Tpg Mortgage Investment Trust's earnings presentation, Nov 5, 2019
Slide 1: Q3 2019 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q3 2019 Earnings Presentation November 5, 2019
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, o
Slide 3: Q3 2019 MITT Earnings Call Presenters
Q3 2019 MITT Earnings Call Presenters David Roberts T.J. Durkin Brian Sigman Raul E. Moreno Chief Executive Officer Chief Investment Officer Chief Financial Officer General Counsel NYSE: MITT 3
Slide 4: Performance and Highlights
Q3 2019 Performance and Highlights ▪ Third quarter 2019: ▪ $0.19 of Net Income/(Loss) per diluted common share1 ▪ $0.40 of Core Earnings per diluted common share1, 2 ▪ Includes $(0.02) retrospective adjustment ▪ 1.3% economic return on equity for the quarter, 5.2% annualized3 ▪ $17.16 Book Value per
Slide 5: Performance and Highlights (cont'd)
Q3 2019 Performance and Highlights (cont’d) ▪ $4.9 billion investment portfolio as of September 30, 2019 as compared to the $4.0 billion investment portfolio as of June 30, 20194,5 ▪ Increase due to deploying preferred equity raised during the quarter. See next slide for additional details. ▪ 2.0% N
Slide 6: Activity
Q3 2019 Activity ($ in millions) Purchased Sold/Payoff Net Activity Description 30 Year Fixed Rate $904.7 $(118.1) $786.6 Fixed Rate CMO — (40.1) (40.1) Inverse Interest Only 1.9 (5.0) (3.1) Interest Only 26.7 (31.9) (5.2) Fixed Rate 30 Year TBA 482.0 (454.4) 27.6 Total Agency RMBS 1,415.3 (649.5) 7
Slide 7: Macro-Economic Conditions
Q3 2019 Macro-Economic Conditions ▪ The Federal Reserve's easing bias remains in place given slowing global economic growth and ongoing trade uncertainty, both of which have shown signs of weighing on business sentiment ▪ Inflation has remained persistently low, giving the Fed room to further cut th
Slide 8: Investment Opportunity Set
Investment Opportunity Set ▪ Hypothetical Duration Hedged Levered ROE: 9-14%(a)(b) Agency RMBS ▪ 30/20/15 Year Fixed Rate, Hybrid ARM, Fixed Rate CMO, Agency IO, Inverse IO, Excess MSRs ▪ Hypothetical Levered ROE: 8-14%(b) Residential Investments ▪ CRT, NPL, RPL, Non-QM, Legacy ▪ Hypothetical Levere
Slide 9: Investment Portfolio Composition
Q3 2019 Investment Portfolio Composition4,5 Amortized Cost Net Carrying Value Percent of Net Allocated Equity Percent of Economic (mm) (mm) Carrying Value (mm)10 Equity Leverage Ratio7,(a) Agency RMBS(b) $2,900.7 $2,965.7 60.0% $342.5 41.1% 7.8x Residential Investments(b) 1,294.5 1,369.8 27.7% 307.4
Slide 10: Agency Portfolio Details
Q3 2019 Agency Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 30 Year Fixed Rate $2,578.9 $2,721.7 91.8% 3.8% 3.2% Inverse Interest Only 219.0 36.5 1.2% 4.1% 6.7% Interest Only 273.2 35.8 1.2% 3.6% 2.9% Excess M
Slide 11: Residential Portfolio Details
Q3 2019 Residential Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 Prime $316.1 $259.2 18.9% 4.9% 7.5% Alt-A/Subprime 208.0 144.6 10.6% 4.7% 7.1% Credit Risk Transfer 249.9 259.2 18.9% 5.4% 5.5% Non-U.S. RMBS 38
Slide 12: Commercial and ABS Portfolio Details
Q3 2019 Commercial and ABS Portfolio Details Weighted Current Face Fair Value Percent of Fair Weighted Description Average (mm) (mm) Value Average Yield8 Coupon12 CMBS $173.2 $168.0 35.7% 5.5% 5.9% Freddie Mac K-Series 201.6 97.3 20.7% 5.9% 12.3% Interest Only 3,293.7 46.0 9.8% 0.2% 7.1% Commercial
Slide 13: Single-Family Rental Portfolio Update
Single-Family Rental Portfolio Update ▪ Occupancy remained stable throughout the third quarter in the 92-93% range ▪ Decline in operating margin primarily due to elevated repair, maintenance and turnover expenses 6/30/2019 9/30/2019 Gross Carrying Value(a) $ 141.3 $ 142.1 Accumulated Depreciation an
Slide 14: Financing
Financing ▪ Financing arrangements with 45 counterparties ▪ Currently financing investments with 32 counterparties ▪ Our weighted average days to maturity is 101 days and our weighted average original days to maturity is 172 days ▪ Financing counterparties remain stable Financing Arrangements(a) ($
Slide 15: Duration Gap
Duration Gap14 Duration gap was approximately 0.73 years as of September 30, 2019 Duration Years Agency 1.02 Residential Loans(a) 0.36 Hedges (1.27) Subtotal 0.11 Credit excluding Residential Loans(a) 0.62 Duration Gap 0.73 Duration gap was approximately 0.98 years as of June 30, 2019 Duration Years
Slide 16: Hedging
Hedging Hedge Portfolio Summary as of September 30, 2019 ($ in millions) Notional Duration14 Interest Rate Swaps $(1,437.9) (1.21) Swaptions (895.0) (0.10) British Pounds Futures (6.4) (0.00) U.S. Treasury Futures 25.0 0.04 Total $(2,314.3) (1.27) Interest Rate Swaps as of September 30, 2019 ($ in m
Slide 17: Financial Metrics
Q3 2019 Financial Metrics Weighted Average for the Key Statistics quarter-ended September September 30, 2019 30, 2019 Investment portfolio4,5 $4,941.7 $3,985.7 Financing arrangements, net5 3,823.0 3,287.5 Total Economic Leverage7 3,886.8 3,251.5 Stockholders’ equity 834.2 745.2 GAAP Leverage Ratio 4
Slide 18: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 18
Slide 19: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot NYSE: MITT 19
Slide 20: Market Snapshot
Market Snapshot Interest Rates 9/30/18 12/31/18 3/31/19 6/30/19 9/30/19 Agency RMBS 9/30/18 12/31/18 3/31/19 6/30/19 9/30/19 Treasuries Fannie Mae Pass- Throughs 2-year 2.821 2.490 2.263 1.755 1.622 30 year 3.00% 95-20+ 97-11+ 99-18+ 100-25+ 100-15+ 5-year 2.954 2.512 2.234 1.766 1.544 30 year 3.50%
Slide 21: Undepreciated Book Value Roll-Forward
Undepreciated Book Value Roll-Forward Amount (000’s) Per Share1 6/30/19 Undepreciated Book Value $574,613 $17.57 Common dividend (14,731) (0.45) Core earnings 13,003 0.40 Net proceeds and accretion/(dilution) from issuance of stock 176 0.01 Undeclared Series C preferred dividend 353 0.01 Foreign cur
Slide 22: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended September 30, 2019 Amount (000’s) Per Diluted Common Share1 Net Income/(loss) available to common stockholders $6,329 $0.19 Add (Deduct): Net realized (gain)/loss 16,132 0.50 Unrealized (gain)/loss on real estate securities and l
Slide 23: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 6/30/19 Undistributed Taxable Income $41,797 $1.28 Q3 Core Earnings 13,003 0.40 Q3 Recurring Core-Tax Differences (566) (0.02) Q3 Other Core-Tax Differences (3,214) (0.10) Q3 Ordinary Taxable Income, Net of Preferred Distribution 9,
Slide 24: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet September 30, 2019 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $3,829,488 Financing arrangements, net $3,627,002 Residential mortgage loans, at fair value 379,377 Securitized debt, at fair value 229,567 Commercial loans, at
Slide 25: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended September 30, 2019 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share of Common Stock Interest income $40,735 Basic $0.19 Interest expense 23,134 Diluted $0.19 Total Net Interest Income 17,601 Other Income/(Loss)
Slide 26: Footnotes
Footnotes 1. Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. Per share figures are calculated using a denominator of all outstanding common shares including vested shares granted to our Manager and our independent directors under our equity
Slide 27: Footnotes (cont'd)
Footnotes (cont’d) 7. The Economic Leverage Ratio is calculated by dividing total Economic Leverage, including any net TBA position, by our GAAP stockholders’ equity at quarter-end. Our net TBA position (at cost) was $154.0 million, $23.4 million, $125.8 million, $0.0 million, and $75.2 million for
Slide 28: www.agmit.com
AG MITT www.agmit.com
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