Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q4 2018 Earnings Presentation
31 slides from Tpg Mortgage Investment Trust's earnings presentation, Feb 27, 2019
Slide 1: AG Mortgage Investment Trust, Inc. Q4 2018 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q4 2018 Earnings Presentation February 27, 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: Q4 2018 MITT Earnings Call Presenters
Q4 2018 MITT Earnings Call Presenters David Roberts T.J. Durkin Brian Sigman Karen Werbel Chief Executive Officer Chief Investment Officer Chief Financial Officer Head of Investor Relations NYSE: MITT 3
Slide 4: Q4 2018 Performance and Highlights
Q4 2018 Performance and Highlights ▪ Fourth quarter 2018: ▪ $(1.45) of Net Income/(Loss) per diluted common share1 ▪ $0.47 of Core Earnings per diluted common share1, 2 ▪ Includes de minimus retrospective adjustment ▪ (7.6)% Economic Return on Equity for the quarter3 ▪ $17.21 Book value per share1 a
Slide 5: Full Year 2018 Performance and Highlights
Full Year 2018 Performance and Highlights ▪ Full Year 2018 Performance and Highlights: ▪ $(0.42) of Net Income/(Loss) per diluted common share1 ▪ $2.08 of Core Earnings per diluted common share1, 2 ▪ Includes $0.03 retrospective adjustment ▪ $1.975 dividend per diluted common share1 ▪ Increased quar
Slide 6: Q4 2018 Performance and Highlights (cont’d)
Q4 2018 Performance and Highlights (cont’d) ▪ $3.6 billion investment portfolio as of December 31, 2018 as compared to the $3.7 billion investment portfolio as of September 30, 20184,5 ▪ 2.3% Net Interest Margin (“NIM”) as of December 31, 20186 ▪ Net Interest Margin declined primarily due to the inc
Slide 7: Q4 2018 Activity
Q4 2018 Activity ($ in millions) Purchased Sold/Payoff Net Activity Description 30 Year Fixed Rate $311.0 $(229.6) $81.4 Hybrid ARM — (102.6) (102.6) Fixed Rate 30 Year TBA 329.6 (404.7) (75.1) Total Agency RMBS 640.6 (736.9) (96.3) Prime 11.3 (10.1) 1.2 Alt-A/Subprime — (12.5) (12.5) Credit Risk Tr
Slide 8: Q4 2018 Macro-Economic Conditions
Q4 2018 Macro-Economic Conditions ▪ In December, the FOMC increased the federal funds rate by an additional 25 basis points and updated the summary of economic projections by lowering 2019 growth and inflation forecasts and reducing its anticipated number of federal funds rate increases from 3 to 2
Slide 9: Investment Opportunity Set
Investment Opportunity Set ▪ Hypothetical Duration Hedged Levered ROE: 8-14%(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 10: Q4 2018 Investment Portfolio Composition
Q4 2018 Investment Portfolio Composition4,5 Amortized Cost Net Carrying Value Percent of Net Allocated Equity Percent of Leverage Ratio(a) (mm) (mm) Carrying Value (mm)10 Equity Agency RMBS(b) $2,019.6 $2,015.6 56.6% $257.4 39.2% 7.0x Residential Investments(b) 969.5 1,019.1 28.6% 241.3 36.8% 3.4x C
Slide 11: Q4 2018 Agency Portfolio Details
Q4 2018 Agency Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 30 Year Fixed Rate $1,782.0 $1,830.1 90.8% 4.1% 3.7% Fixed Rate CMO 44.4 44.3 2.2% 3.0% 2.8% Inverse Interest Only 310.1 52.4 2.6% 3.7% 9.8% Interest
Slide 12: Market Performance
Market Performance ▪ Most of our 30 Year Fixed Rate holdings are in higher coupon MBS which underperformed during the quarter 30 Year Fixed Rate Coupon Fair Value Percent of Fair Value 30 year 3.50% $455.8 24.9% 30 year 4.00% 621.6 34.0% 30 Year 4.50% 713.0 39.0% 30 Year 5.00% 39.7 2.1% Total $1,830
Slide 13: Q4 2018 Residential Portfolio Details
Q4 2018 Residential Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 Prime $388.0 $316.4 31.0% 4.8% 7.2% Alt-A/Subprime 209.6 137.7 13.5% 4.8% 6.8% Credit Risk Transfer 144.2 149.7 14.7% 6.1% 6.3% RPL/NPL securiti
Slide 14: Q4 2018 Commercial and ABS Portfolio Details
Q4 2018 Commercial and ABS Portfolio Details Weighted Current Face Fair Value Percent of Fair Weighted Description Average (mm) (mm) Value Average Yield8 Coupon12 CMBS $172.1 $129.8 33.6% 6.1% 6.7% Freddie Mac K-Series 202.2 85.3 22.1% 5.9% 12.2% Interest Only 3,534.1 51.3 13.3% 0.2% 6.9% Commercial
Slide 15: Single-Family Rental Portfolio Update
Single-Family Rental Portfolio Update ▪ During the quarter, the SFR portfolio experienced a temporary increase in vacancies due to seasonality and a strategic initiative by our property manager, Conrex, to focus on operational improvements to leasing and the tenant experience ▪ Enhanced credit scree
Slide 16: Arc Home Update
Arc Home Update ▪ During the quarter, Arc Home appointed a new management team to focus on credit originations ▪ During its second fiscal year of mortgage origination, Arc Home originated $1.3 billion of government and agency loans through its four channels of retail, direct, correspondent and whole
Slide 17: Financing
Financing ▪ Financing arrangements with 44 counterparties ▪ Currently financing investments with 31 counterparties ▪ Our weighted average days to maturity is 142 days and our weighted average original days to maturity is 226 days ▪ Financing counterparties remain stable Financing Arrangements(a) ($
Slide 18: Duration Gap
Duration Gap14 Duration gap was approximately 0.74 years as of December 31, 2018 Duration Years Agency 2.40 Residential Loans(a) 0.40 Hedges (2.84) Subtotal (0.04) Credit excluding Residential Loans(a) 0.78 Duration Gap 0.74 Duration gap was approximately 1.12 years as of September 30, 2018 Duration
Slide 19: Hedging
Hedging Hedge Portfolio Summary as of December 31, 2018 ($ in millions) Notional Duration14 Interest Rate Swaps $(1,963.5) (2.83) Swaptions (260.0) (0.03) Eurodollar Futures (500.0) (0.03) U.S. Treasury Futures 30.0 0.06 U.S. Treasuries, net (11.3) (0.01) Total $(2,704.8) (2.84) Interest Rate Swaps
Slide 20: Q4 2018 Financial Metrics
Q4 2018 Financial Metrics Weighted Average for Key Statistics December 31, 2018 the quarter-ended December 31, 2018 Investment portfolio4,5 $3,559.6 $3,577.9 Financing agreements, net5 2,962.2 2,968.7 Total Financing7 2,989.3 2,942.1 Stockholders’ equity 656.0 699.0 GAAP Leverage 4.3x “At Risk” Leve
Slide 21: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 21
Slide 22: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot NYSE: MITT 22
Slide 23: Market Snapshot
Market Snapshot Interest Rates 12/31/17 3/31/18 6/30/18 9/30/18 12/31/18 Agency RMBS 12/31/17 3/31/18 6/30/18 9/30/18 12/31/18 Treasuries Fannie Mae Pass- Throughs 2-year 1.885 2.268 2.530 2.821 2.490 30 year 3.00% 100-01+ 97-17+ 96-25+ 95-20+ 97-11+ 5-year 2.207 2.563 2.739 2.954 2.512 30 year 3.50
Slide 24: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share1 9/30/18 Book Value $550,659 $19.16 Common dividend (14,372) (0.50) Core earnings 13,579 0.47 Net proceeds and accretion/(dilution) from issuance of common stock and RSUs (26) (0.00 Equity based compensation 128 0.00 Property depreciation and amortiza
Slide 25: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended December 31, 2018 Amount (000’s) Per Share1 Net Income/(loss) available to common stockholders $ (41,591) $ (1.45) Add (Deduct): Net realized (gain)/loss 2,398 0.08 Equity in (earnings)/loss from affiliates 1,430 0.05 Net interes
Slide 26: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 9/30/18 Undistributed Taxable Income $ 45,493 $ 1.58 Q4 Core Earnings 13,579 0.47 Q4 Recurring Core-Tax Differences 509 0.03 Q4 Other Core-Tax Differences 70 0.00 Q4 2018 Ordinary Taxable Income, Net of Preferred Distribution 14,158
Slide 27: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet December 31, 2018 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $ 2,896,175 Financing arrangements, net $ 2,822,505 Residential mortgage loans, at fair value 186,096 Securitized debt, at fair value 10,858 Commercial loans, at
Slide 28: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended December 31, 2018 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share of Common Stock Interest income $ 41,403 Basic $ (1.45) Interest expense 21,769 Diluted $ (1.45) Total Net Interest Income 19,634 Other Income/
Slide 29: 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 all shares granted to our Manager and our independent directors under our equity in
Slide 30: Footnotes (cont’d)
Footnotes (cont’d) 8. The yield on our debt investments represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The yield on our SFR portfolio represents annualized net operating income for t
Slide 31: www.agmit.com
AG MITT www.agmit.com
AG Mortgage Investment Trust — Q4 2018 Earnings Presentation on 6ix